FDS Options History — December 2012

In December 2012, FDS traded between $87.45 and $96.39. ATM implied volatility averaged 33.5%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 12.9% (HV 20d: 20.6%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 3.32.

Notable Days

2012-12-18: Highest Volume — 4,710 contracts
2012-12-13: Largest IV drop — 39.7% change
2012-12-12: Highest IV Rank — 62.2%
2012-12-03: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.74	$87.45	$96.39	$92.42	$88.06
Max Pain	$92.75	$90.00	$95.00	$95.00	$90.00
ATM IV	33.5%	22.7%	52.2%	41.5%	23.7%
Expected Move	8.6%	6.5%	11.9%	11.9%	6.8%
HV 20d	20.6%	14.8%	25.4%	16.7%	24.8%
HV 60d	19.4%	17.7%	21.2%	20.6%	18.7%
IV Rank	31.6%	14.0%	62.2%	44.7%	15.7%
IV Percentile	71.8%	34.9%	99.2%	96.4%	43.3%
Term Structure	-2.7%	-12.1%	4.0%	-11.1%	-0.3%
VWIV	30.6%	23.0%	43.0%	41.5%	25.3%
Skew 25d	5.6%	3.4%	9.0%	8.4%	3.7%
Skew 10d	13.9%	6.5%	26.3%	24.5%	7.7%
Call IV 25d	28.0%	21.8%	39.5%	36.6%	23.9%
Put IV 25d	33.7%	25.9%	45.9%	45.0%	27.5%
Bid-Ask Spread %	41.27	19.65	81.37	56.49	20.70
Gamma HHI	0.30	0.20	0.50	0.21	0.46
Net GEX	-54.6K	-805.8K	901.2K	-400.3K	901.2K
Net DEX	2.2M	-6.2M	15.1M	4.0M	-524.8K
Net VEX	-55.4K	-68.7K	-45.4K	-56.9K	-48.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.32	0.03	19.02	1.33	0.24
Total Volume	712.75	47	4,710	77	47
Total OI	8,505.3	5,440	13,425	7,536	6,077

Daily Data (20 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
2012-12-03	$92.42	$95.00	41.5%	11.9%	16.7%	44.7%	41.5%	8.4%	-11.1%	-400.3K	4.0M	-56.9K	1.33	56.49	33	44	3,071	4,465
2012-12-04	$91.94	$95.00	41.3%	11.8%	16.9%	44.4%	40.9%	9.0%	-10.2%	-399.8K	4.6M	-58.0K	0.94	45.78	32	30	3,103	4,509
2012-12-05	$93.36	$95.00	38.3%	11.0%	17.6%	39.5%	41.3%	7.9%	-10.0%	-374.6K	2.3M	-56.3K	3.90	81.37	63	246	3,125	4,509
2012-12-06	$93.65	$95.00	40.7%	11.7%	16.8%	43.4%	43.0%	6.4%	-12.1%	-367.0K	1.6M	-58.3K	0.82	41.50	28	23	3,180	4,697
2012-12-07	$93.25	$90.00	41.4%	8.3%	16.9%	44.6%	29.7%	6.9%	-1.8%	-390.3K	2.4M	-58.6K	19.00	31.86	6	114	3,189	4,711
2012-12-10	$94.00	$95.00	46.8%	8.6%	17.0%	53.4%	29.0%	6.1%	-1.8%	-362.9K	820.8K	-55.9K	0.59	49.93	297	174	3,191	4,771
2012-12-11	$96.19	$95.00	50.9%	9.0%	17.6%	60.0%	32.1%	6.5%	-3.4%	-214.3K	-3.0M	-56.7K	19.02	55.93	41	780	3,368	4,868
2012-12-12	$94.37	$95.00	52.2%	9.0%	19.4%	62.2%	29.9%	7.4%	-3.2%	-472.2K	2.0M	-58.3K	1.22	46.93	78	95	3,370	5,302
2012-12-13	$94.05	$95.00	31.5%	9.0%	19.0%	28.4%	35.1%	7.2%	-3.0%	-494.0K	3.2M	-56.9K	1.22	49.57	642	784	3,439	5,302
2012-12-14	$94.00	$95.00	32.8%	9.4%	14.8%	30.5%	32.3%	7.2%	-3.6%	-588.2K	4.8M	-58.7K	0.03	41.02	1,055	33	3,404	5,785
2012-12-17	$96.39	$95.00	34.8%	10.0%	16.8%	33.8%	34.9%	5.5%	-4.8%	-68.7K	-6.2M	-63.5K	0.50	53.89	2,056	1,033	4,428	5,808
2012-12-18	$92.19	$95.00	24.7%	7.1%	23.9%	17.3%	24.3%	4.1%	3.0%	-330.9K	5.1M	-59.0K	0.25	47.52	3,778	932	5,859	6,208
2012-12-19	$90.64	$90.00	24.6%	7.1%	24.7%	17.2%	24.0%	4.3%	3.1%	160.7K	2.8M	-68.7K	4.49	35.43	55	247	7,431	5,994
2012-12-20	$90.16	$90.00	23.9%	6.8%	24.7%	16.0%	24.5%	4.0%	3.5%	-805.8K	6.0M	-56.7K	1.29	46.05	65	84	6,297	5,761
2012-12-21	$88.63	$90.00	23.1%	6.6%	25.4%	14.6%	25.7%	3.8%	4.0%	55.0K	15.1M	-50.3K	8.78	33.24	46	404	6,298	5,912
2012-12-24	$88.85	$90.00	22.7%	6.5%	24.2%	14.0%	23.0%	4.1%	-0.1%	844.7K	-1.9M	-47.9K	0.69	22.37	211	146	3,657	1,783
2012-12-26	$87.49	$90.00	25.6%	7.3%	24.7%	18.8%	24.8%	3.4%	-0.3%	742.7K	524.0K	-46.7K	1.68	23.51	38	64	3,784	1,901
2012-12-27	$87.45	$90.00	25.6%	7.3%	24.7%	18.8%	26.6%	3.6%	-0.7%	725.6K	883.7K	-45.4K	0.27	19.65	45	12	3,810	1,944
2012-12-28	$87.68	$90.00	23.5%	6.7%	24.7%	15.4%	24.5%	3.4%	-0.4%	746.3K	318.2K	-46.4K	0.21	22.59	326	68	3,842	1,953
2012-12-31	$88.06	$90.00	23.7%	6.8%	24.8%	15.7%	25.3%	3.7%	-0.3%	901.2K	-524.8K	-48.2K	0.24	20.70	38	9	4,057	2,020