FDS Options History — September 2012

In September 2012, FDS traded between $92.58 and $103.76. ATM implied volatility averaged 25.8%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 3.1% (HV 20d: 22.7%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.61.

Notable Days

2012-09-24: Highest Volume — 9,432 contracts
2012-09-24: Largest IV spike — 53.5% change
2012-09-24: Highest IV Rank — 47.6%
2012-09-24: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$99.02	$92.58	$103.76	$93.95	$96.42
Max Pain	$97.37	$95.00	$100.00	$100.00	$100.00
ATM IV	25.8%	18.6%	43.3%	35.3%	24.7%
Expected Move	7.9%	5.5%	12.4%	10.1%	7.1%
HV 20d	22.7%	14.9%	29.7%	16.7%	29.4%
HV 60d	23.6%	20.6%	33.8%	33.8%	23.7%
IV Rank	19.2%	7.4%	47.6%	34.6%	17.3%
IV Percentile	40.7%	6.0%	97.2%	88.1%	38.5%
Term Structure	-1.2%	-8.5%	8.1%	-7.3%	-0.6%
VWIV	28.0%	22.2%	45.4%	35.3%	23.8%
Skew 25d	4.9%	2.6%	11.1%	6.3%	3.1%
Skew 10d	11.1%	-0.8%	22.9%	22.9%	6.5%
Call IV 25d	26.0%	21.0%	40.7%	33.4%	23.4%
Put IV 25d	30.9%	24.3%	47.7%	39.7%	26.6%
Bid-Ask Spread %	75.49	57.52	97.20	67.23	64.66
Gamma HHI	0.33	0.17	0.58	0.19	0.29
Net GEX	-226.9K	-2.4M	788.7K	-207.9K	-1.0M
Net DEX	1.3M	-10.3M	24.3M	4.9M	16.1M
Net VEX	-45.3K	-104.5K	-29.4K	-32.7K	-70.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.61	0.03	7.87	0.38	0.38
Total Volume	1,091	49	9,432	288	194
Total OI	6,062.579	2,626	10,077	4,738	8,669

Daily Data (19 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
2012-09-04	$93.95	$100.00	35.3%	10.1%	16.7%	34.6%	35.3%	6.3%	-7.3%	-207.9K	4.9M	-32.7K	0.38	67.23	208	80	2,276	2,462
2012-09-05	$92.58	$100.00	27.4%	7.8%	14.9%	21.7%	33.1%	11.1%	3.0%	-188.3K	5.0M	-32.1K	7.87	90.12	31	244	2,420	2,506
2012-09-06	$93.93	$100.00	19.3%	5.5%	15.8%	8.5%	23.0%	3.3%	8.1%	-100.3K	4.1M	-29.4K	2.39	97.20	97	232	2,451	2,511
2012-09-07	$95.17	$95.00	18.6%	7.2%	16.4%	7.4%	26.9%	4.4%	1.8%	-57.5K	2.8M	-30.1K	0.51	63.92	182	92	2,461	2,497
2012-09-10	$95.39	$95.00	20.1%	7.6%	15.9%	9.9%	24.8%	4.3%	-0.1%	-16.9K	2.9M	-31.3K	0.55	57.52	55	30	2,551	2,589
2012-09-11	$100.04	$95.00	19.5%	8.5%	22.7%	8.8%	29.5%	6.7%	-1.9%	19.6K	-2.5M	-34.5K	0.05	75.33	407	19	2,551	2,589
2012-09-12	$101.44	$95.00	19.4%	7.8%	22.5%	8.7%	25.6%	5.7%	-1.7%	166.4K	-5.7M	-38.0K	0.11	73.05	156	17	2,840	2,603
2012-09-13	$102.70	$95.00	26.6%	7.6%	22.7%	20.4%	28.7%	4.4%	-1.4%	490.8K	-7.5M	-38.0K	0.03	88.51	140	4	2,961	2,603
2012-09-14	$103.76	$95.00	27.1%	7.8%	22.8%	21.3%	27.5%	3.2%	-2.1%	788.7K	-10.3M	-38.5K	1.02	87.01	50	51	3,027	2,603
2012-09-17	$102.99	$95.00	26.8%	7.7%	23.2%	20.7%	25.7%	4.9%	-1.6%	561.0K	-8.7M	-37.4K	0.11	82.25	155	17	3,024	2,642
2012-09-18	$102.66	$95.00	27.0%	7.7%	23.3%	21.1%	27.0%	5.9%	-2.1%	515.0K	-8.3M	-37.5K	0.29	76.36	38	11	3,118	2,654
2012-09-19	$102.58	$95.00	26.6%	7.6%	23.4%	20.4%	26.3%	4.9%	-1.8%	394.5K	-8.4M	-35.9K	0.86	82.91	37	32	3,154	2,664
2012-09-20	$101.04	$95.00	29.2%	8.4%	24.3%	24.7%	28.7%	5.5%	-2.6%	-86.5K	-6.1M	-36.4K	0.93	74.23	72	67	3,176	2,672
2012-09-21	$100.55	$100.00	28.2%	8.1%	24.3%	23.0%	29.5%	2.6%	-3.0%	-664.9K	-6.3M	-35.5K	5.61	83.06	85	477	3,130	2,654
2012-09-24	$102.80	$100.00	43.3%	12.4%	25.1%	47.6%	45.4%	7.1%	-8.5%	223.4K	-4.5M	-37.1K	3.80	62.54	1,965	7,467	1,455	1,171
2012-09-25	$98.49	$100.00	25.4%	7.3%	29.5%	18.5%	26.7%	2.7%	-1.0%	-2.4M	24.3M	-104.5K	1.67	67.41	2,386	3,982	2,824	7,253
2012-09-26	$97.40	$100.00	24.1%	6.9%	29.7%	16.3%	22.8%	2.8%	-0.1%	-1.8M	20.7M	-85.3K	3.81	71.64	302	1,151	4,115	5,619
2012-09-27	$97.52	$100.00	22.0%	6.3%	29.7%	13.0%	22.2%	3.3%	0.9%	-989.8K	12.9M	-75.1K	0.20	69.38	164	32	4,272	4,422
2012-09-28	$96.42	$100.00	24.7%	7.1%	29.4%	17.3%	23.8%	3.1%	-0.6%	-1.0M	16.1M	-70.9K	0.38	64.66	141	53	4,219	4,450