FDS Options History — August 2012

In August 2012, FDS traded between $90.59 and $94.99. ATM implied volatility averaged 25.3%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.3% (HV 20d: 21.0%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 3.37.

Notable Days

  • 2012-08-20: Highest Volume — 308 contracts
  • 2012-08-16: Largest IV spike — 98.2% change
  • 2012-08-30: Highest IV Rank — 35.6%
  • 2012-08-30: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.37$90.59$94.99$92.35$92.27
Max Pain$99.35$95.00$100.00$95.00$100.00
ATM IV25.3%14.1%35.9%27.4%33.6%
Expected Move8.2%5.9%10.3%7.9%9.6%
HV 20d21.0%15.4%26.2%22.9%15.4%
HV 60d35.0%33.6%35.9%35.5%33.6%
IV Rank16.9%0.0%35.6%18.5%31.8%
IV Percentile39.7%0.0%90.1%43.7%82.9%
Term Structure-1.1%-6.5%7.8%1.4%-5.8%
VWIV30.8%21.6%37.6%21.6%36.8%
Skew 25d6.3%1.8%9.4%5.4%5.9%
Skew 10d12.9%2.9%20.6%3.4%12.1%
Call IV 25d26.3%18.5%31.3%20.1%30.7%
Put IV 25d32.7%20.4%39.1%25.5%36.6%
Bid-Ask Spread %70.8343.79108.68106.9085.37
Gamma HHI0.250.160.410.240.22
Net GEX-24.3K-233.8K458.0K-87.0K-233.8K
Net DEX4.5M2.4M6.6M4.8M5.7M
Net VEX-34.0K-37.5K-30.7K-37.3K-33.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.370.0025.180.0010.00
Total Volume88.08753082511
Total OI4,800.6964,0245,2744,6874,727

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$92.35$95.0027.4%7.9%22.9%18.5%21.6%5.4%1.4%-87.0K4.8M-37.3K0.00106.902502,3742,313
2012-08-02$90.59$95.0024.8%7.1%23.8%14.1%24.5%6.8%4.2%-209.8K6.6M-34.3K11.4091.11101142,3892,313
2012-08-03$92.70$95.0020.7%5.9%25.0%7.2%0.0%1.8%7.8%-38.2K4.6M-35.5K25.18108.68112772,3992,371
2012-08-06$92.60$100.0019.0%7.8%24.9%4.4%0.0%7.2%0.2%-102.6K5.2M-35.9K1.5058.37232,4092,594
2012-08-07$94.94$100.0021.4%7.9%26.1%8.4%28.6%6.2%1.0%150.7K2.4M-37.5K0.6958.141392,4092,597
2012-08-08$94.47$100.0019.0%7.8%26.2%4.3%30.7%5.9%0.1%166.0K2.8M-36.3K0.8364.2569572,4182,604
2012-08-09$93.94$100.0017.8%7.7%24.2%2.2%34.3%6.8%-0.8%149.2K3.5M-35.6K10.0090.882202,4282,658
2012-08-10$92.99$100.0016.7%7.7%22.5%0.3%32.3%6.9%0.4%-84.4K5.3M-34.2K0.0082.904102,4282,678
2012-08-13$94.07$100.0015.3%8.3%22.8%0.0%28.9%4.2%-1.8%218.7K3.7M-33.4K2.4655.37571402,4682,678
2012-08-14$93.27$100.0019.1%7.7%23.0%6.3%25.8%7.5%0.2%27.8K4.6M-33.9K0.3460.0062212,5002,729
2012-08-15$93.47$100.0014.1%8.1%22.0%0.0%27.0%6.1%-0.8%216.6K4.8M-33.0K0.0057.241102,5262,748
2012-08-16$93.91$100.0027.9%8.0%21.6%22.5%0.0%6.0%-0.2%449.6K4.2M-31.2K0.5055.7620102,4892,721
2012-08-17$93.87$100.0027.8%8.0%21.0%22.4%31.6%7.0%-0.4%458.0K4.4M-30.7K1.2657.6127342,5092,731
2012-08-20$94.58$100.0029.0%8.3%21.0%24.3%30.9%4.5%-2.8%-210.5K4.5M-30.9K0.5070.562061021,8882,136
2012-08-21$94.99$100.0027.3%7.8%18.4%21.6%34.0%7.5%-0.1%-145.1K3.4M-33.0K3.2860.16461512,0762,183
2012-08-22$94.95$100.0030.3%8.7%18.4%26.5%30.9%6.3%-4.3%-128.1K3.7M-34.2K1.6488.8639642,1192,306
2012-08-23$94.48$100.0030.0%8.6%17.3%25.9%33.2%6.6%-3.4%-141.7K4.0M-34.9K1.2261.8727332,1412,346
2012-08-24$94.19$100.0028.7%8.2%16.7%23.9%30.4%7.0%-2.3%-175.1K4.2M-34.2K0.3654.8733122,1662,361
2012-08-27$92.86$100.0029.0%8.3%17.4%24.3%37.6%9.4%-1.3%-188.5K4.7M-33.5K1.3058.3310132,1992,372
2012-08-28$92.18$100.0034.1%9.8%17.6%32.7%31.8%7.2%-4.2%-212.9K5.8M-32.3K0.0789.812922,2092,384
2012-08-29$92.69$100.0032.8%9.4%17.5%30.5%33.6%5.0%-6.5%-204.8K5.4M-33.0K2.8468.26381082,2242,386
2012-08-30$91.24$100.0035.9%10.3%17.0%35.6%36.8%9.0%-5.8%-232.6K5.8M-33.9K2.1943.7921462,2562,456
2012-08-31$92.27$100.0033.6%9.6%15.4%31.8%0.0%5.9%-5.8%-233.8K5.7M-33.0K10.0085.371102,2752,452