FDS Options History — March 2012

In March 2012, FDS traded between $86.17 and $100.19. ATM implied volatility averaged 28.2%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.2% (HV 20d: 28.0%). Max pain ranged from $85.00 to $95.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.07.

Notable Days

  • 2012-03-13: Highest Volume — 7,416 contracts
  • 2012-03-12: Largest IV spike — 58.5% change
  • 2012-03-12: Highest IV Rank — 100.0%
  • 2012-03-02: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.93$86.17$100.19$87.76$99.04
Max Pain$91.59$85.00$95.00$90.00$95.00
ATM IV28.2%20.4%56.8%29.4%20.9%
Expected Move6.9%5.8%9.3%8.4%6.0%
HV 20d28.0%16.1%35.1%18.2%31.9%
HV 60d25.2%20.4%26.6%25.4%25.2%
IV Rank32.9%14.6%100.0%36.0%15.9%
IV Percentile46.9%10.3%100.0%64.3%13.9%
Term Structure0.2%-4.4%1.8%-4.4%0.7%
VWIV24.1%18.7%31.5%31.5%19.9%
Skew 25d3.5%0.4%7.3%7.3%0.4%
Skew 10d9.9%4.5%14.9%12.4%5.6%
Call IV 25d22.6%19.1%29.4%28.3%20.1%
Put IV 25d26.1%20.5%35.7%35.7%20.5%
Bid-Ask Spread %61.1838.1094.8194.8148.13
Gamma HHI0.390.280.690.470.29
Net GEX151.9K-2.3M2.9M-623.1K576.8K
Net DEX-4.0M-28.1M15.7M8.6M-8.7M
Net VEX-36.5K-48.7K-27.9K-30.0K-34.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.0510.731.150.05
Total Volume890.31807,416430
Total OI6,116.1363,10313,3934,7653,491

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$87.76$90.0029.4%8.4%18.2%36.0%31.5%7.3%-4.4%-623.1K8.6M-30.0K1.1594.8120231,7752,990
2012-03-02$86.26$90.0032.3%9.3%19.1%42.7%30.4%5.9%-2.5%-625.4K11.2M-27.9K0.0838.10485401,7852,993
2012-03-05$86.61$85.0035.9%7.6%17.9%51.3%26.3%5.7%1.0%-539.7K10.0M-31.2K0.5872.6143252,1923,005
2012-03-06$86.17$85.0035.6%8.1%17.8%50.4%0.0%5.6%0.1%-576.1K10.4M-29.6K10.7371.94525582,0903,000
2012-03-07$86.49$85.0036.1%8.0%16.1%51.6%24.6%5.7%0.4%-834.3K11.8M-32.1K9.0069.222081,8712,1173,482
2012-03-08$88.50$85.0032.5%7.4%18.7%43.1%25.8%5.6%1.0%-1.8M15.7M-42.8K7.8859.841441,1352,2834,927
2012-03-09$90.14$85.0035.9%7.5%20.0%51.0%26.0%2.5%0.5%-2.3M13.9M-48.7K1.2967.042333002,3515,895
2012-03-12$90.81$85.0056.8%8.3%19.4%100.0%28.1%4.5%-1.1%-1.6M10.8M-45.9K3.2970.651,1373,7442,4655,900
2012-03-13$98.66$90.0036.4%6.5%34.8%52.1%24.0%4.5%0.6%101.5K-18.5M-34.4K0.4667.135,0812,3353,1318,467
2012-03-14$97.77$95.0033.4%6.5%35.1%45.1%23.5%3.1%0.8%1.6M-21.2M-43.2K0.2051.766211275,3318,011
2012-03-15$98.77$95.0022.7%6.5%33.9%20.1%23.4%3.7%1.8%2.3M-25.6M-38.7K0.0855.23458355,4047,989
2012-03-16$99.54$95.0022.2%6.4%33.8%18.9%22.2%1.3%1.7%2.9M-28.1M-37.8K0.1844.8292175,3628,024
2012-03-19$99.34$95.0021.8%6.2%33.4%17.9%21.3%3.4%-0.3%506.3K-8.8M-36.0K0.8376.5199821,9101,193
2012-03-20$98.91$95.0021.8%6.2%33.2%17.9%22.0%3.1%-0.1%520.3K-8.3M-37.7K1.1074.2961671,9701,245
2012-03-21$99.26$95.0021.0%6.0%33.1%16.1%21.1%1.9%-0.8%525.5K-8.9M-36.9K0.2667.27166431,9981,292
2012-03-22$98.43$95.0021.3%6.1%33.5%16.7%20.9%1.8%0.9%544.3K-7.9M-37.0K0.8240.2634282,0131,320
2012-03-23$98.62$95.0021.5%6.2%33.1%17.2%0.0%1.0%-0.4%562.8K-8.2M-36.3K1.2564.638102,0311,338
2012-03-26$100.19$95.0020.4%5.8%33.2%14.6%23.3%3.5%0.2%565.1K-9.7M-35.3K1.8652.9729542,0271,348
2012-03-27$99.81$95.0020.4%5.9%33.3%14.8%18.7%2.9%0.8%551.6K-9.7M-34.8K0.2458.9882202,0351,401
2012-03-28$99.05$95.0020.5%5.9%32.7%14.8%19.9%2.1%1.1%549.7K-8.4M-36.8K0.0548.631912,0621,421
2012-03-29$98.34$95.0021.1%6.0%33.0%16.3%0.0%2.4%1.5%546.4K-7.9M-36.1K0.0051.11002,0701,421
2012-03-30$99.04$95.0020.9%6.0%31.9%15.9%0.0%0.4%0.7%576.8K-8.7M-34.1K0.0048.13002,0701,421