FDS Options History — February 2012

In February 2012, FDS traded between $87.40 and $93.05. ATM implied volatility averaged 28.0%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.4% (HV 20d: 21.6%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 12.30.

Notable Days

2012-02-09: Highest Volume — 916 contracts
2012-02-29: Largest IV spike — 31.2% change
2012-02-29: Highest IV Rank — 55.1%
2012-02-29: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.21	$87.40	$93.05	$89.60	$87.40
Max Pain	$90.00	$90.00	$90.00	$90.00	$90.00
ATM IV	28.0%	20.7%	37.6%	25.0%	37.6%
Expected Move	8.2%	6.9%	10.8%	7.2%	10.8%
HV 20d	21.6%	18.3%	24.2%	22.4%	18.9%
HV 60d	28.0%	25.2%	30.2%	30.0%	25.4%
IV Rank	32.7%	15.4%	55.1%	25.5%	55.1%
IV Percentile	56.0%	14.7%	93.7%	41.7%	93.7%
Term Structure	-1.8%	-13.0%	3.1%	2.9%	-13.0%
VWIV	28.3%	24.2%	32.6%	29.3%	31.8%
Skew 25d	6.4%	3.9%	11.3%	11.3%	6.6%
Skew 10d	15.0%	10.4%	24.4%	10.6%	11.9%
Call IV 25d	25.7%	17.1%	29.8%	17.1%	28.1%
Put IV 25d	32.0%	27.8%	37.6%	28.4%	34.7%
Bid-Ask Spread %	65.86	37.04	98.41	98.41	91.34
Gamma HHI	0.58	0.29	0.84	0.68	0.43
Net GEX	-1.2M	-3.1M	-184.0K	-1.1M	-576.1K
Net DEX	5.3M	1.3M	11.3M	7.9M	8.7M
Net VEX	-32.6K	-38.6K	-28.0K	-33.0K	-32.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	12.30	0.21	82.50	2.14	2.97
Total Volume	307.15	61	916	242	123
Total OI	4,449.1	3,705	5,300	3,932	4,769

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-02-01	$89.60	$90.00	25.0%	7.2%	22.4%	25.5%	29.3%	11.3%	2.9%	-1.1M	7.9M	-33.0K	2.14	98.41	77	165	1,008	2,924
2012-02-02	$89.52	$90.00	24.2%	6.9%	22.0%	23.6%	24.2%	5.4%	3.1%	-1.2M	8.8M	-33.9K	2.38	70.69	32	76	1,072	3,064
2012-02-03	$91.04	$90.00	24.1%	7.4%	22.7%	23.4%	25.3%	8.9%	-1.3%	-1.1M	5.5M	-33.2K	1.04	89.81	56	58	1,102	3,076
2012-02-06	$91.32	$90.00	20.7%	7.9%	22.1%	15.4%	25.3%	4.4%	-1.8%	-1.1M	5.7M	-31.3K	0.45	84.19	101	45	1,152	3,126
2012-02-07	$93.05	$90.00	25.8%	8.5%	22.7%	27.3%	25.8%	8.0%	0.6%	-1.1M	2.0M	-31.3K	0.42	54.32	155	65	1,242	3,141
2012-02-08	$92.75	$90.00	25.7%	7.7%	22.4%	27.2%	26.7%	4.6%	-1.2%	-1.4M	1.9M	-30.9K	0.23	52.09	97	22	1,310	3,187
2012-02-09	$92.98	$90.00	26.0%	7.4%	22.4%	27.8%	27.0%	5.3%	0.2%	-1.4M	1.3M	-30.6K	1.60	53.33	352	564	1,348	3,204
2012-02-10	$91.48	$90.00	30.0%	8.6%	23.3%	37.4%	30.0%	5.3%	-3.8%	-1.4M	4.6M	-38.6K	22.00	89.15	22	484	1,575	3,649
2012-02-13	$90.16	$90.00	30.3%	8.7%	23.1%	38.0%	29.9%	7.4%	-0.9%	-1.6M	7.6M	-38.2K	0.62	46.09	108	67	1,597	3,622
2012-02-14	$90.92	$90.00	31.0%	8.9%	23.0%	39.7%	27.7%	7.0%	-3.7%	-2.1M	5.9M	-36.9K	0.30	53.75	128	38	1,596	3,641
2012-02-15	$89.09	$90.00	30.6%	8.8%	24.2%	38.8%	30.9%	7.8%	-1.2%	-2.2M	11.3M	-35.9K	75.80	87.06	10	758	1,643	3,657
2012-02-16	$90.40	$90.00	30.3%	8.7%	20.4%	37.9%	32.6%	8.3%	-2.5%	-3.1M	5.5M	-35.4K	21.19	67.17	27	572	1,653	3,362
2012-02-17	$89.46	$90.00	28.9%	8.3%	20.7%	34.8%	26.4%	6.2%	-0.5%	-2.3M	7.4M	-33.0K	12.71	39.97	41	521	1,675	2,944
2012-02-21	$88.75	$90.00	28.6%	8.2%	20.8%	34.0%	28.7%	6.4%	-0.4%	-216.6K	3.8M	-29.4K	0.51	37.04	121	62	1,547	2,158
2012-02-22	$89.83	$90.00	28.8%	8.3%	21.2%	34.6%	30.5%	5.0%	-1.4%	-184.0K	2.7M	-30.0K	0.91	59.32	32	29	1,580	2,171
2012-02-23	$89.85	$90.00	27.8%	8.0%	20.9%	32.2%	27.0%	3.9%	-2.3%	-184.5K	2.4M	-29.5K	0.35	50.35	122	43	1,609	2,183
2012-02-24	$88.99	$90.00	27.6%	7.9%	20.7%	31.6%	28.3%	5.3%	-3.2%	-189.2K	3.5M	-29.0K	0.21	65.45	61	13	1,717	2,211
2012-02-27	$88.90	$90.00	29.0%	8.3%	20.3%	35.0%	28.9%	5.7%	-2.1%	-188.1K	3.2M	-28.0K	17.73	71.90	30	532	1,754	2,210
2012-02-28	$88.77	$90.00	28.6%	8.2%	18.3%	34.1%	29.4%	5.0%	-3.6%	-492.8K	6.2M	-31.5K	82.50	55.84	4	330	1,779	2,724
2012-02-29	$87.40	$90.00	37.6%	10.8%	18.9%	55.1%	31.8%	6.6%	-13.0%	-576.1K	8.7M	-32.3K	2.97	91.34	31	92	1,782	2,987