FDS Options History — October 2012

In October 2012, FDS traded between $90.55 and $95.29. ATM implied volatility averaged 23.4%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.6% (HV 20d: 20.8%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.40.

Notable Days

  • 2012-10-01: Highest Volume — 924 contracts
  • 2012-10-12: Largest IV spike — 20.4% change
  • 2012-10-12: Highest IV Rank — 21.5%
  • 2012-10-12: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.11$90.55$95.29$95.29$90.55
Max Pain$97.86$95.00$100.00$100.00$95.00
ATM IV23.4%20.9%27.3%26.1%21.6%
Expected Move6.8%6.0%7.8%7.5%6.2%
HV 20d20.8%11.2%29.7%29.7%11.2%
HV 60d22.1%20.2%24.0%23.7%20.2%
IV Rank15.2%11.1%21.5%19.6%12.2%
IV Percentile33.7%17.9%55.6%45.6%23.4%
Term Structure4.5%-1.2%9.5%-0.9%9.5%
VWIV22.7%19.3%27.5%27.5%20.8%
Skew 25d3.1%0.9%7.9%3.5%3.1%
Skew 10d4.0%-3.0%8.5%-3.0%2.5%
Call IV 25d22.0%19.6%24.9%23.9%20.9%
Put IV 25d25.1%23.0%27.5%27.5%24.0%
Bid-Ask Spread %65.2934.3595.0155.0495.01
Gamma HHI0.300.220.450.270.34
Net GEX-616.0K-961.0K-165.4K-953.0K-289.5K
Net DEX15.0M5.1M22.7M18.0M7.1M
Net VEX-43.6K-65.9K-31.3K-65.9K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.400.0019.0919.090.00
Total Volume143.5241592492415
Total OI7,461.4294,7588,9478,7875,097

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$95.29$100.0026.1%7.5%29.7%19.6%27.5%3.5%-0.9%-953.0K18.0M-65.9K19.0955.04468784,3234,464
2012-10-02$93.63$100.0025.6%7.3%29.7%18.8%25.5%2.4%-1.2%-904.1K22.7M-56.0K0.5534.352431334,3234,624
2012-10-03$94.36$100.0025.0%7.2%29.3%17.8%24.1%0.9%-0.5%-747.0K16.4M-56.4K0.0548.292014,2884,028
2012-10-04$94.85$100.0024.4%7.0%29.0%16.8%24.4%1.9%-0.4%-765.7K15.7M-55.8K0.2158.9973154,2914,027
2012-10-05$95.06$100.0022.7%6.8%28.6%14.1%22.8%2.6%4.0%-813.2K15.8M-54.2K1.0749.0028304,2744,026
2012-10-08$94.80$100.0022.7%6.7%28.6%14.1%24.1%1.9%4.7%-836.0K16.4M-50.4K1.7644.0242744,2724,016
2012-10-09$93.95$100.0022.4%6.7%22.4%13.6%0.0%3.0%4.7%-837.8K18.0M-48.4K0.7150.4314104,2864,079
2012-10-10$94.10$100.0022.9%6.9%21.6%14.4%23.9%3.9%4.1%-843.8K17.9M-47.0K0.1662.513254,2864,085
2012-10-11$93.75$100.0022.6%6.5%20.7%14.0%0.0%3.3%6.9%-837.9K18.6M-44.8K13.0070.272264,2804,085
2012-10-12$93.28$100.0027.3%7.8%19.9%21.5%0.0%7.9%-0.5%-740.8K18.7M-44.3K2.0089.2915304,2824,111
2012-10-15$92.99$100.0023.3%6.7%19.9%15.1%0.0%3.0%5.6%-819.1K20.5M-39.8K1.4359.1314204,2764,134
2012-10-16$93.41$100.0021.5%6.2%20.2%12.1%21.1%3.5%7.6%-961.0K19.8M-38.8K0.0170.9126324,2844,134
2012-10-17$93.15$95.0020.9%6.0%20.2%11.1%21.0%2.3%7.0%-680.1K19.9M-38.3K0.5453.58124674,4894,109
2012-10-18$92.44$95.0024.0%6.9%19.9%16.2%20.9%2.6%5.0%-500.4K19.6M-36.5K0.0262.5810924,5373,985
2012-10-19$91.07$95.0024.1%6.9%20.2%16.4%22.0%3.3%4.1%-460.5K21.0M-34.7K0.7465.2581604,6433,983
2012-10-22$92.02$95.0022.2%6.4%18.5%13.2%22.0%1.3%7.5%-170.4K5.3M-33.9K1.7871.5945802,6512,107
2012-10-23$92.01$95.0022.9%6.6%12.2%14.4%22.3%2.4%8.0%-168.8K5.4M-35.8K1.5276.1148732,6822,180
2012-10-24$91.86$95.0023.5%6.7%11.8%15.3%0.0%3.7%5.0%-165.4K5.1M-35.7K0.0894.97124102,7302,227
2012-10-25$91.80$95.0022.5%6.4%11.8%13.7%22.2%3.6%7.4%-213.6K5.9M-34.4K4.8387.8212582,7482,227
2012-10-26$90.85$95.0022.9%6.6%11.7%14.4%19.3%5.0%7.0%-227.5K6.5M-33.5K0.9671.8646442,7602,257
2012-10-31$90.55$95.0021.6%6.2%11.2%12.2%20.8%3.1%9.5%-289.5K7.1M-31.3K0.0095.011502,8032,294