FDS Options History — May 2012

In May 2012, FDS traded between $103.39 and $108.52. ATM implied volatility averaged 26.2%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 7.2% (HV 20d: 19.0%). Max pain ranged from $90.00 to $105.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.56.

Notable Days

  • 2012-05-09: Highest Volume — 1,504 contracts
  • 2012-05-10: Largest IV spike — 30.9% change
  • 2012-05-31: Highest IV Rank — 48.7%
  • 2012-05-31: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.67$103.39$108.52$104.82$105.43
Max Pain$92.95$90.00$105.00$100.00$100.00
ATM IV26.2%16.5%34.9%16.5%34.9%
Expected Move7.8%4.7%10.0%4.7%10.0%
HV 20d19.0%16.5%21.1%18.1%20.9%
HV 60d24.1%23.5%24.7%24.1%24.4%
IV Rank28.3%5.5%48.7%5.5%48.7%
IV Percentile44.8%0.8%86.9%0.8%86.9%
Term Structure-1.3%-7.2%7.0%6.4%-7.2%
VWIV27.1%15.1%34.7%16.5%34.7%
Skew 25d5.8%3.5%8.4%7.8%8.4%
Skew 10d11.5%4.5%18.9%12.1%11.8%
Call IV 25d24.5%12.5%30.9%12.5%30.6%
Put IV 25d30.3%18.9%39.0%20.3%39.0%
Bid-Ask Spread %74.5745.96105.79105.7975.35
Gamma HHI0.350.270.430.410.35
Net GEX387.4K176.1K544.5K466.3K212.0K
Net DEX-7.3M-10.2M-3.3M-8.0M-3.3M
Net VEX-58.6K-83.9K-23.5K-25.4K-82.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.009.000.690.77
Total Volume215.22701,5048178
Total OI4,407.5452,8195,6102,8195,525

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$104.82$100.0016.5%4.7%18.1%5.5%16.5%7.8%6.4%466.3K-8.0M-25.4K0.69105.7948331,4141,405
2012-05-02$105.22$105.0016.5%4.7%18.1%5.6%16.5%6.3%7.0%490.4K-8.2M-24.7K0.67101.0315101,4461,435
2012-05-03$104.26$105.0017.2%4.9%18.1%7.2%0.0%4.1%5.4%440.0K-7.5M-25.0K0.0090.12001,4241,416
2012-05-04$103.53$90.0017.6%6.7%18.4%8.3%0.0%5.3%0.9%413.8K-6.7M-25.5K0.0045.96601,4241,416
2012-05-07$103.39$90.0018.3%7.2%17.3%9.8%23.3%3.5%-0.4%418.7K-6.4M-25.2K0.0055.341501,4241,416
2012-05-08$104.70$90.0018.3%7.4%16.5%9.9%28.1%4.0%-0.4%480.2K-7.4M-23.8K5.0064.442101,4171,416
2012-05-09$104.38$90.0019.6%7.2%16.6%12.8%21.9%5.4%-0.3%464.2K-7.4M-23.5K1.9763.335069981,4171,426
2012-05-10$105.18$90.0025.6%7.4%16.5%27.0%24.0%5.3%-1.4%397.9K-6.1M-59.9K0.2457.25136331,9192,424
2012-05-11$108.52$90.0026.1%7.5%19.2%28.0%27.0%7.7%-1.2%376.4K-10.0M-59.2K0.0261.06660102,0072,439
2012-05-14$106.33$90.0030.4%8.7%21.1%38.2%31.5%6.1%-2.7%544.5K-9.7M-67.0K9.0060.22181622,3642,449
2012-05-15$106.73$90.0030.8%8.8%18.8%39.2%34.0%5.6%-3.1%516.8K-9.5M-67.5K2.4573.3933812,3822,541
2012-05-16$107.27$90.0030.8%8.8%18.8%39.2%15.1%5.7%-3.5%485.2K-10.2M-67.5K0.1983.9159112,3772,592
2012-05-17$106.09$90.0031.6%9.1%18.0%41.0%0.0%5.4%-3.3%543.9K-9.2M-68.7K2.7382.8511302,4312,602
2012-05-18$103.39$90.0032.2%9.2%20.4%42.2%33.0%4.1%-0.9%473.7K-5.1M-68.4K2.3872.361904522,4422,632
2012-05-21$104.81$90.0030.4%8.7%20.3%38.1%29.0%5.9%-0.8%176.1K-4.8M-79.7K0.4363.64115492,3002,836
2012-05-22$105.67$90.0028.3%8.1%20.3%33.1%32.3%4.9%-2.9%239.1K-6.3M-80.4K0.6893.412121442,3512,875
2012-05-23$106.23$90.0031.3%9.0%19.6%40.3%28.5%6.6%-4.9%258.8K-6.5M-83.9K2.2165.0234752,5182,989
2012-05-24$107.04$90.0029.5%8.4%19.7%35.9%28.1%5.1%-2.8%274.8K-7.8M-83.7K0.8059.1246372,5213,035
2012-05-25$108.01$90.0027.5%7.9%19.8%31.2%25.0%4.9%-1.5%298.8K-8.8M-82.6K0.2991.4341122,5453,065
2012-05-29$107.69$95.0028.8%8.3%19.9%34.3%32.5%8.4%-4.0%301.4K-6.7M-81.1K1.1687.97971132,3163,066
2012-05-30$105.96$100.0034.1%9.8%20.9%46.9%33.3%6.4%-6.3%248.9K-4.7M-83.7K1.0487.5875782,3773,150
2012-05-31$105.43$100.0034.9%10.0%20.9%48.7%34.7%8.4%-7.2%212.0K-3.3M-82.5K0.7775.3544342,3633,162