FDS Options History — April 2012

In April 2012, FDS traded between $96.71 and $104.86. ATM implied volatility averaged 20.7%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.9% (HV 20d: 21.6%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.46.

Notable Days

2012-04-25: Highest Volume — 195 contracts
2012-04-12: Largest IV drop — 21.3% change
2012-04-11: Highest IV Rank — 30.7%
2012-04-10: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$100.95	$96.71	$104.86	$100.24	$104.86
Max Pain	$99.00	$95.00	$100.00	$95.00	$100.00
ATM IV	20.7%	17.4%	27.2%	22.7%	17.4%
Expected Move	5.9%	5.0%	6.9%	6.5%	5.0%
HV 20d	21.6%	13.5%	32.8%	31.9%	18.4%
HV 60d	24.9%	24.0%	25.5%	25.3%	24.2%
IV Rank	15.5%	7.6%	30.7%	20.0%	7.6%
IV Percentile	13.1%	1.2%	49.6%	21.8%	1.2%
Term Structure	3.1%	0.4%	6.6%	0.4%	6.6%
VWIV	20.1%	17.4%	30.6%	19.0%	17.4%
Skew 25d	4.2%	1.9%	8.1%	3.7%	6.7%
Skew 10d	10.0%	0.4%	19.7%	9.3%	9.0%
Call IV 25d	17.9%	13.0%	21.5%	19.5%	13.0%
Put IV 25d	22.0%	18.7%	25.3%	23.3%	19.7%
Bid-Ask Spread %	80.65	30.59	108.05	59.52	88.26
Gamma HHI	0.34	0.26	0.49	0.28	0.40
Net GEX	553.3K	313.8K	689.7K	583.0K	438.9K
Net DEX	-9.1M	-14.6M	-5.7M	-9.8M	-7.8M
Net VEX	-28.0K	-33.5K	-23.1K	-32.5K	-25.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.46	0.00	40.00	0.00	1.35
Total Volume	59.85	0	195	74	87
Total OI	3,328.85	2,515	3,759	3,491	2,768

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
2012-04-02	$100.24	$95.00	22.7%	6.5%	31.9%	20.0%	19.0%	3.7%	0.4%	583.0K	-9.8M	-32.5K	0.00	59.52	74	0	2,070	1,421
2012-04-03	$100.24	$95.00	19.8%	5.7%	31.7%	13.3%	18.3%	2.2%	0.7%	634.9K	-10.2M	-32.0K	2.50	67.36	4	10	2,118	1,421
2012-04-04	$99.25	$95.00	20.7%	5.9%	32.3%	15.3%	30.6%	2.3%	2.3%	616.6K	-9.4M	-32.4K	40.00	84.95	1	40	2,115	1,431
2012-04-05	$99.52	$95.00	18.9%	5.4%	31.8%	11.2%	0.0%	1.9%	1.1%	611.3K	-9.5M	-33.5K	5.00	30.59	2	10	2,115	1,471
2012-04-09	$98.00	$100.00	20.8%	6.1%	32.3%	15.7%	0.0%	5.2%	2.6%	638.9K	-8.0M	-31.3K	0.31	59.31	13	4	2,115	1,479
2012-04-10	$96.71	$100.00	22.9%	6.9%	32.8%	20.6%	0.0%	5.2%	2.1%	633.4K	-6.5M	-32.3K	0.00	65.40	0	0	2,128	1,483
2012-04-11	$97.46	$100.00	27.2%	6.9%	14.1%	30.7%	23.8%	4.3%	2.7%	616.6K	-7.2M	-31.6K	2.33	65.51	18	42	2,128	1,483
2012-04-12	$98.50	$100.00	21.4%	6.1%	14.2%	17.1%	0.0%	5.2%	4.1%	680.6K	-8.4M	-30.9K	0.00	65.43	40	0	2,140	1,494
2012-04-13	$98.78	$100.00	21.8%	6.2%	13.8%	18.0%	21.9%	3.4%	3.2%	659.3K	-9.0M	-28.6K	0.27	85.05	11	3	2,126	1,494
2012-04-16	$98.65	$100.00	23.5%	6.8%	13.5%	22.1%	0.0%	1.9%	1.9%	689.7K	-8.9M	-26.3K	2.60	88.36	5	13	2,117	1,495
2012-04-17	$101.60	$100.00	23.3%	6.7%	17.2%	21.6%	20.4%	4.2%	1.4%	561.6K	-11.8M	-26.0K	0.04	80.23	157	6	2,117	1,495
2012-04-18	$101.56	$100.00	20.2%	5.8%	17.0%	14.2%	18.3%	4.3%	4.2%	644.5K	-12.5M	-26.4K	0.00	79.51	33	0	2,260	1,499
2012-04-19	$103.78	$100.00	20.1%	5.8%	18.5%	14.0%	0.0%	8.1%	4.7%	631.2K	-14.5M	-23.3K	0.26	99.54	31	8	2,260	1,499
2012-04-20	$103.69	$100.00	17.4%	5.0%	18.1%	7.7%	18.1%	3.3%	4.5%	614.3K	-14.6M	-23.1K	0.30	89.64	112	34	2,259	1,499
2012-04-23	$102.28	$100.00	20.9%	6.0%	19.0%	15.9%	0.0%	4.3%	3.5%	313.8K	-6.0M	-25.0K	2.05	91.40	20	41	1,306	1,209
2012-04-24	$101.80	$100.00	20.4%	5.8%	18.4%	14.7%	18.2%	4.9%	3.6%	315.7K	-5.7M	-26.3K	1.25	96.47	8	10	1,326	1,236
2012-04-25	$103.48	$100.00	19.3%	5.5%	19.1%	12.2%	19.0%	2.8%	3.5%	353.7K	-6.8M	-24.5K	2.90	104.17	50	145	1,332	1,246
2012-04-26	$103.97	$100.00	17.9%	5.1%	18.8%	8.8%	18.2%	4.7%	4.2%	385.0K	-7.2M	-25.4K	1.74	104.21	23	40	1,376	1,315
2012-04-27	$104.61	$100.00	17.8%	5.1%	18.5%	8.6%	17.9%	4.6%	4.7%	442.4K	-7.8M	-23.9K	2.78	108.05	27	75	1,392	1,339
2012-04-30	$104.86	$100.00	17.4%	5.0%	18.4%	7.6%	17.4%	6.7%	6.6%	438.9K	-7.8M	-25.3K	1.35	88.26	37	50	1,393	1,375