FDS Options History — June 2012

In June 2012, FDS traded between $90.46 and $106.60. ATM implied volatility averaged 34.1%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 9.4% (HV 20d: 43.5%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 6.56.

Notable Days

  • 2012-06-12: Highest Volume — 5,240 contracts
  • 2012-06-11: Largest IV spike — 53.4% change
  • 2012-06-11: Highest IV Rank — 100.0%
  • 2012-06-01: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.48$90.46$106.60$101.46$92.94
Max Pain$102.62$100.00$110.00$100.00$100.00
ATM IV34.1%18.6%75.4%42.9%18.6%
Expected Move7.9%5.3%12.3%12.3%5.3%
HV 20d43.5%24.8%52.6%24.8%52.4%
HV 60d30.4%19.9%34.8%25.9%34.8%
IV Rank38.5%7.4%100.0%67.3%7.4%
IV Percentile58.7%5.6%100.0%97.6%5.6%
Term Structure0.1%-11.1%5.4%-11.1%4.4%
VWIV28.2%19.1%39.4%38.3%19.1%
Skew 25d6.5%3.2%9.7%7.8%4.4%
Skew 10d13.6%2.1%18.9%2.1%13.1%
Call IV 25d24.6%17.7%35.7%35.7%17.7%
Put IV 25d31.1%22.1%43.4%43.4%22.1%
Bid-Ask Spread %53.5118.7393.5993.5990.70
Gamma HHI0.250.160.340.320.19
Net GEX-178.1K-855.4K206.1K102.6K-71.4K
Net DEX13.3M-4.1M44.9M20.7K12.5M
Net VEX-62.6K-96.2K-39.6K-82.1K-46.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.560.0077.963.860.22
Total Volume677.381345,24068110
Total OI6,670.5715,15510,5705,5675,866

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$101.46$100.0042.9%12.3%24.8%67.3%38.3%7.8%-11.1%102.6K20.7K-82.1K3.8693.5914542,3943,173
2012-06-04$102.37$110.0043.5%9.0%25.0%68.7%34.8%7.0%-1.4%83.0K986.9K-78.7K1.4566.9042612,3873,198
2012-06-05$104.27$110.0040.6%8.5%25.9%61.9%33.2%8.4%-2.0%148.7K-1.2M-81.1K7.3062.84332412,4113,245
2012-06-06$106.60$110.0037.9%8.0%26.7%55.7%29.1%7.6%-0.2%206.1K-4.1M-82.0K15.6055.93355462,4433,439
2012-06-07$105.18$110.0043.4%8.0%27.1%68.5%28.7%5.3%-1.2%-71.6K-226.2K-84.0K0.0767.34136102,4423,893
2012-06-08$106.00$105.0049.1%8.8%27.1%82.0%31.5%7.6%-1.0%-21.6K-1.1M-86.8K77.9647.06272,1052,5503,889
2012-06-11$104.57$105.0075.4%10.1%25.0%100.0%39.4%9.7%-4.0%-855.4K9.1M-96.2K1.9744.399931,9522,5735,741
2012-06-12$91.70$105.0050.0%9.7%52.1%58.5%28.9%5.4%-1.9%-643.4K44.9M-66.1K1.5036.282,0973,1433,0157,148
2012-06-13$92.56$100.0039.8%8.3%52.3%41.9%32.3%7.3%1.7%-628.3K38.9M-57.6K2.0018.732304613,6596,682
2012-06-14$92.82$100.0027.8%8.0%52.3%22.4%28.4%8.0%1.7%-656.4K38.1M-58.3K1.6142.241091753,7936,760
2012-06-15$93.78$100.0027.1%7.8%52.6%21.2%27.3%6.1%2.3%-481.0K38.7M-56.1K4.0137.40893573,8086,762
2012-06-18$94.67$100.0025.1%7.2%52.4%17.8%24.7%5.6%0.9%-133.6K9.1M-56.2K2.1143.21571202,4012,754
2012-06-19$94.57$100.0024.3%7.0%51.9%16.5%23.1%5.4%1.0%-142.4K8.8M-57.3K0.0037.6313802,4412,836
2012-06-20$94.07$100.0022.1%6.3%51.7%13.0%21.6%4.8%2.7%-81.3K9.7M-54.6K0.8785.3955482,5342,836
2012-06-21$91.50$100.0027.2%7.8%52.1%21.3%28.0%6.4%5.4%-90.6K11.8M-49.2K1.4553.71711032,5852,872
2012-06-22$92.82$100.0021.2%6.1%52.4%11.5%22.8%5.6%2.4%-52.3K10.8M-49.1K1.8537.1534632,5782,801
2012-06-25$91.20$100.0025.9%7.4%52.2%19.3%28.9%7.3%0.3%-75.9K12.4M-44.6K2.4045.3610242,6072,858
2012-06-26$90.94$100.0026.1%7.5%52.2%19.6%24.3%5.9%-0.3%-80.6K12.6M-43.9K1.0657.8434362,6172,877
2012-06-27$91.53$100.0026.1%7.5%52.3%19.5%25.2%6.9%-0.1%-55.6K12.1M-45.6K4.7851.03271292,6372,907
2012-06-28$90.46$100.0022.4%6.4%52.4%13.5%22.1%3.2%2.9%-138.2K14.6M-39.6K5.7448.99382182,6593,011
2012-06-29$92.94$100.0018.6%5.3%52.4%7.4%19.1%4.4%4.4%-71.4K12.5M-46.6K0.2290.7090202,6843,182