FDS Options History — November 2012

In November 2012, FDS traded between $87.79 and $93.15. ATM implied volatility averaged 27.7%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 11.7% (HV 20d: 16.0%). Max pain ranged from $90.00 to $100.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 6.92.

Notable Days

  • 2012-11-15: Highest Volume — 1,585 contracts
  • 2012-11-15: Largest IV spike — 76.8% change
  • 2012-11-30: Highest IV Rank — 41.0%
  • 2012-11-30: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.79$87.79$93.15$92.22$92.39
Max Pain$94.76$90.00$100.00$95.00$95.00
ATM IV27.7%16.8%39.2%20.2%39.2%
Expected Move9.0%5.8%11.2%5.8%11.2%
HV 20d16.0%12.0%19.3%12.0%17.8%
HV 60d20.8%20.0%21.5%20.5%20.8%
IV Rank22.3%4.5%41.0%9.9%41.0%
IV Percentile57.8%2.0%95.6%13.5%95.6%
Term Structure-3.3%-9.4%8.9%8.9%-9.4%
VWIV31.7%17.5%45.2%20.9%38.9%
Skew 25d6.1%-1.2%8.1%-1.2%7.3%
Skew 10d12.9%-7.3%25.3%-6.1%25.3%
Call IV 25d28.5%17.8%34.2%20.9%34.2%
Put IV 25d34.6%19.6%41.5%19.6%41.5%
Bid-Ask Spread %62.8337.2398.5396.8851.38
Gamma HHI0.310.190.510.360.21
Net GEX-294.6K-661.1K70.2K-251.9K-390.5K
Net DEX4.4M-2.4M10.0M5.8M3.8M
Net VEX-38.5K-60.2K-27.9K-32.5K-60.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.920.2383.001.071.03
Total Volume309.333311,58531120
Total OI5,790.9055,1027,4745,1027,474

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$92.22$95.0020.2%5.8%12.0%9.9%20.9%-1.2%8.9%-251.9K5.8M-32.5K1.0796.8815162,8082,294
2012-11-02$90.72$95.0025.7%7.4%12.8%18.9%17.5%4.2%3.9%-227.6K6.1M-32.5K8.9498.53171522,8232,310
2012-11-05$90.55$100.0023.2%9.1%12.5%14.9%32.9%5.7%-3.5%-322.9K7.4M-29.7K1.8346.56711302,8262,348
2012-11-06$90.62$100.0025.1%9.3%12.5%18.0%33.0%6.0%-4.1%-301.3K6.2M-30.7K2.2447.00541212,8372,305
2012-11-07$89.46$100.0022.1%8.9%13.0%13.1%30.9%5.9%-2.9%-410.9K7.8M-29.5K83.0045.241832,8762,370
2012-11-08$89.30$100.0020.6%8.9%12.8%10.7%29.5%5.9%-3.1%-470.0K8.3M-28.8K0.2362.8960142,8772,435
2012-11-09$89.83$100.0020.8%8.9%13.1%11.0%29.7%6.6%-2.4%-464.7K7.8M-29.6K0.5851.20109632,9372,449
2012-11-12$88.78$95.0021.5%9.3%13.5%12.1%33.1%7.7%-5.2%-493.7K8.5M-28.0K2.5770.91872243,0142,467
2012-11-13$88.56$95.0021.4%8.9%13.5%11.9%28.8%6.9%-3.1%-528.1K9.5M-29.9K0.4172.7551213,0952,656
2012-11-14$87.79$95.0016.8%8.6%13.7%4.5%29.8%7.8%-2.5%-425.2K10.0M-27.9K0.3978.7638153,1092,677
2012-11-15$90.96$95.0029.7%8.5%19.2%25.5%30.9%4.7%-1.4%-661.1K6.0M-30.1K0.2381.381,2853003,1252,611
2012-11-16$90.67$90.0030.4%8.7%19.2%26.7%30.3%6.0%-2.8%-640.2K1.6M-42.4K6.4083.22452884,0882,911
2012-11-19$90.72$90.0030.6%8.8%19.0%27.0%35.4%6.7%-2.5%33.8K414.5K-42.3K0.7244.9632232,7102,507
2012-11-20$91.03$90.0031.1%8.9%18.4%27.8%32.5%5.4%-3.8%40.0K-135.1K-41.6K1.4355.801482112,7422,518
2012-11-21$91.07$90.0031.3%9.0%18.0%28.0%31.6%6.4%-4.3%36.5K204.6K-44.1K3.0051.4114422,8632,674
2012-11-23$91.39$90.0031.3%9.0%18.0%28.1%30.1%5.9%-3.8%40.6K-576.7K-42.5K1.5346.5260922,8642,715
2012-11-26$93.15$90.0032.1%9.2%19.3%29.4%32.5%6.9%-5.0%70.2K-2.4M-43.3K4.6437.231577282,8242,807
2012-11-27$92.76$95.0033.0%9.5%19.3%30.9%37.1%7.3%-6.0%-119.3K395.1K-49.6K14.6768.56608802,9593,390
2012-11-28$92.28$95.0038.1%10.9%19.0%39.3%35.7%8.1%-8.3%-311.6K2.8M-55.1K2.8378.961323742,9693,978
2012-11-29$92.33$95.0037.9%10.9%19.0%38.8%45.2%7.5%-8.4%-388.9K3.6M-59.1K7.5849.36191443,0394,328
2012-11-30$92.39$95.0039.2%11.2%17.8%41.0%38.9%7.3%-9.4%-390.5K3.8M-60.2K1.0351.3859613,0434,431