FDS Options History — July 2012

In July 2012, FDS traded between $88.59 and $94.91. ATM implied volatility averaged 22.5%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 8.7% (HV 20d: 31.2%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 9.33.

Notable Days

2012-07-27: Highest Volume — 229 contracts
2012-07-09: Largest IV spike — 43.6% change
2012-07-24: Highest IV Rank — 22.1%
2012-07-24: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.35	$88.59	$94.91	$93.27	$92.96
Max Pain	$95.71	$95.00	$100.00	$100.00	$95.00
ATM IV	22.5%	17.9%	29.5%	19.6%	21.4%
Expected Move	6.4%	5.6%	8.5%	5.6%	6.2%
HV 20d	31.2%	19.4%	52.3%	52.3%	22.9%
HV 60d	34.9%	34.3%	35.5%	34.8%	35.5%
IV Rank	10.5%	3.1%	22.1%	9.0%	8.5%
IV Percentile	20.8%	3.6%	57.1%	7.5%	16.3%
Term Structure	4.1%	0.8%	6.3%	2.5%	4.7%
VWIV	22.0%	17.7%	26.8%	19.6%	22.9%
Skew 25d	5.4%	-0.9%	9.9%	-0.9%	4.1%
Skew 10d	13.7%	3.9%	26.9%	3.9%	13.2%
Call IV 25d	19.1%	16.2%	22.0%	17.4%	20.5%
Put IV 25d	24.5%	16.5%	28.2%	16.5%	24.6%
Bid-Ask Spread %	79.58	47.00	105.22	105.22	81.48
Gamma HHI	0.26	0.19	0.54	0.20	0.24
Net GEX	38.5K	-350.7K	964.3K	23.3K	-62.3K
Net DEX	10.3M	3.3M	17.4M	11.1M	4.5M
Net VEX	-38.9K	-49.9K	-33.0K	-49.0K	-37.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.33	0.00	86.00	2.20	0.00
Total Volume	91.619	16	229	32	16
Total OI	5,678.714	4,199	6,528	5,976	4,675

Daily Data (21 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
2012-07-02	$93.27	$100.00	19.6%	5.6%	52.3%	9.0%	19.6%	-0.9%	2.5%	23.3K	11.1M	-49.0K	2.20	105.22	10	22	2,774	3,202
2012-07-03	$93.88	$100.00	19.5%	5.6%	51.7%	5.8%	21.2%	5.5%	2.1%	35.5K	10.8M	-49.9K	1.01	47.00	80	81	2,784	3,222
2012-07-05	$93.69	$100.00	19.5%	5.6%	50.8%	5.8%	0.0%	5.2%	1.9%	61.8K	11.1M	-44.7K	0.31	102.86	32	10	2,844	3,272
2012-07-06	$92.54	$95.00	17.9%	6.3%	50.7%	3.1%	23.3%	5.1%	4.0%	23.5K	12.9M	-44.7K	0.52	70.98	95	49	2,864	3,282
2012-07-09	$91.93	$95.00	25.8%	6.8%	50.5%	15.8%	24.4%	5.0%	4.8%	-5.2K	13.9M	-41.3K	1.03	63.08	30	31	2,933	3,302
2012-07-10	$91.20	$95.00	28.6%	7.3%	50.4%	20.5%	19.0%	8.1%	1.3%	-33.5K	13.4M	-40.5K	0.30	71.75	30	9	2,963	3,323
2012-07-11	$90.92	$95.00	21.7%	6.4%	19.4%	8.8%	25.6%	6.5%	3.9%	-138.0K	15.6M	-35.7K	86.00	65.18	1	86	2,993	3,330
2012-07-12	$88.59	$95.00	24.3%	7.0%	21.0%	13.3%	26.8%	7.9%	4.4%	-350.7K	17.4M	-33.0K	6.57	59.29	7	46	2,992	3,409
2012-07-13	$91.21	$95.00	21.4%	6.1%	23.8%	8.3%	21.1%	2.0%	5.3%	-213.3K	16.0M	-34.5K	1.25	88.90	16	20	2,994	3,423
2012-07-16	$91.61	$95.00	22.8%	6.5%	23.5%	10.7%	0.0%	4.6%	4.0%	-113.0K	15.3M	-34.7K	63.00	65.67	1	63	3,010	3,443
2012-07-17	$91.99	$95.00	22.5%	6.4%	23.3%	10.2%	20.7%	5.8%	4.4%	-45.6K	14.4M	-36.3K	1.27	94.21	26	33	3,011	3,488
2012-07-18	$93.78	$95.00	22.1%	6.3%	24.4%	9.6%	22.3%	3.9%	4.3%	480.6K	12.1M	-38.6K	0.07	77.31	191	14	3,017	3,511
2012-07-19	$94.91	$95.00	21.2%	6.1%	24.7%	8.0%	20.9%	4.4%	5.9%	964.3K	9.1M	-40.8K	0.69	83.26	32	22	3,004	3,434
2012-07-20	$93.56	$95.00	20.7%	5.9%	23.1%	7.2%	24.0%	5.3%	6.0%	372.5K	11.8M	-37.8K	22.83	77.14	6	137	3,008	3,453
2012-07-23	$93.00	$95.00	22.5%	6.5%	22.7%	10.2%	21.8%	3.6%	5.5%	-12.2K	4.1M	-36.9K	0.00	69.11	19	0	2,152	2,047
2012-07-24	$90.56	$95.00	29.5%	8.5%	23.8%	22.1%	17.7%	9.9%	0.8%	-105.8K	5.4M	-33.8K	0.37	97.50	81	30	2,154	2,047
2012-07-25	$90.58	$95.00	25.9%	7.4%	23.8%	16.1%	19.1%	7.9%	3.6%	-114.1K	5.9M	-33.1K	0.34	69.39	96	33	2,226	2,067
2012-07-26	$92.40	$95.00	23.3%	6.7%	24.7%	11.5%	22.9%	6.7%	6.3%	20.7K	4.3M	-37.5K	1.31	91.20	80	105	2,288	2,098
2012-07-27	$93.65	$95.00	20.2%	5.8%	24.7%	6.4%	23.4%	7.1%	6.0%	63.8K	3.3M	-38.5K	6.90	95.03	29	200	2,358	2,173
2012-07-30	$93.05	$95.00	22.4%	6.4%	22.9%	10.1%	21.5%	6.2%	5.2%	-43.4K	4.4M	-38.1K	0.00	95.70	55	0	2,370	2,313
2012-07-31	$92.96	$95.00	21.4%	6.2%	22.9%	8.5%	22.9%	4.1%	4.7%	-62.3K	4.5M	-37.1K	0.00	81.48	16	0	2,362	2,313