FDS Options History — January 2013

In January 2013, FDS traded between $88.43 and $93.86. ATM implied volatility averaged 18.8%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.7% (HV 20d: 19.5%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.81.

Notable Days

2013-01-11: Highest Volume — 944 contracts
2013-01-23: Largest IV drop — 15.4% change
2013-01-02: Highest IV Rank — 13.2%
2013-01-02: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.95	$88.43	$93.86	$89.72	$92.52
Max Pain	$90.00	$90.00	$90.00	$90.00	$90.00
ATM IV	18.8%	15.1%	22.2%	22.2%	15.1%
Expected Move	5.4%	4.3%	6.4%	6.4%	4.3%
HV 20d	19.5%	12.7%	25.9%	25.9%	12.7%
HV 60d	19.4%	19.0%	19.8%	19.1%	19.0%
IV Rank	7.7%	1.7%	13.2%	13.2%	1.7%
IV Percentile	11.7%	0.4%	30.6%	30.6%	0.4%
Term Structure	5.7%	-0.1%	9.1%	0.1%	9.1%
VWIV	19.8%	15.8%	23.3%	22.3%	18.3%
Skew 25d	3.7%	2.3%	4.7%	4.1%	2.8%
Skew 10d	8.3%	2.4%	14.7%	2.4%	9.7%
Call IV 25d	17.6%	13.6%	21.4%	21.4%	15.4%
Put IV 25d	21.3%	17.0%	25.5%	25.5%	18.3%
Bid-Ask Spread %	35.69	13.15	84.50	26.26	22.73
Gamma HHI	0.48	0.19	0.78	0.49	0.31
Net GEX	1.2M	212.0K	3.0M	1.2M	439.2K
Net DEX	-4.5M	-13.9M	284.2K	-4.1M	-4.2M
Net VEX	-41.9K	-50.0K	-35.1K	-50.0K	-39.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.00	3.21	0.13	0.01
Total Volume	223.429	3	944	115	137
Total OI	5,729.476	3,712	7,422	6,095	4,337

Daily Data (21 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
2013-01-02	$89.72	$90.00	22.2%	6.4%	25.9%	13.2%	22.3%	4.1%	0.1%	1.2M	-4.1M	-50.0K	0.13	26.26	102	13	4,068	2,027
2013-01-03	$90.01	$90.00	21.6%	6.2%	25.9%	12.3%	21.6%	3.5%	-0.1%	1.3M	-5.0M	-49.9K	0.06	32.89	31	2	4,147	2,035
2013-01-04	$89.25	$90.00	20.3%	6.0%	25.3%	10.1%	21.1%	4.2%	4.8%	1.3M	-2.6M	-46.5K	1.30	36.59	162	210	4,164	2,036
2013-01-07	$88.91	$90.00	20.9%	6.1%	25.2%	11.2%	21.1%	4.5%	4.5%	1.4M	-1.5M	-44.3K	1.57	21.32	101	159	4,293	2,138
2013-01-08	$88.47	$90.00	20.6%	6.0%	25.2%	10.7%	21.2%	4.1%	4.8%	1.3M	-400.5K	-43.9K	0.57	18.53	63	36	4,371	2,197
2013-01-09	$88.92	$90.00	19.9%	5.9%	25.1%	9.5%	20.2%	4.0%	4.7%	1.5M	-1.6M	-44.7K	0.64	13.15	130	83	4,426	2,231
2013-01-10	$88.43	$90.00	20.2%	5.8%	23.2%	10.1%	21.7%	3.5%	5.3%	1.4M	284.2K	-42.6K	1.00	24.90	63	63	4,535	2,285
2013-01-11	$88.87	$90.00	20.8%	6.0%	22.7%	11.0%	20.8%	3.3%	5.1%	1.6M	-1.4M	-44.1K	0.03	19.21	919	25	4,595	2,338
2013-01-14	$89.09	$90.00	21.0%	6.0%	22.8%	11.3%	22.8%	3.5%	4.7%	1.8M	-1.3M	-41.6K	3.04	14.16	28	85	4,522	2,361
2013-01-15	$91.06	$90.00	20.8%	6.0%	24.4%	10.9%	23.3%	4.6%	5.0%	2.2M	-9.4M	-42.9K	2.43	68.77	37	90	4,546	2,429
2013-01-16	$90.15	$90.00	20.2%	5.8%	22.4%	10.0%	21.9%	2.3%	5.7%	2.6M	-6.5M	-41.8K	0.03	70.12	395	12	4,581	2,471
2013-01-17	$91.14	$90.00	19.0%	5.4%	16.8%	8.0%	19.4%	3.1%	6.6%	3.0M	-13.8M	-39.6K	3.21	16.69	14	45	4,966	2,456
2013-01-18	$91.39	$90.00	18.4%	5.3%	15.7%	7.0%	17.4%	3.9%	5.8%	1.8M	-13.9M	-36.8K	0.11	30.82	684	76	4,585	2,501
2013-01-22	$91.53	$90.00	18.8%	5.4%	15.5%	7.7%	18.5%	4.7%	6.2%	212.0K	-1.6M	-35.1K	0.98	60.56	96	94	2,095	1,617
2013-01-23	$92.55	$90.00	15.9%	4.6%	14.4%	3.0%	15.8%	3.6%	7.9%	251.3K	-2.7M	-36.6K	0.41	39.77	59	24	2,164	1,666
2013-01-24	$93.45	$90.00	15.2%	4.4%	14.7%	1.9%	16.7%	3.5%	7.6%	314.3K	-3.9M	-36.9K	0.14	77.43	448	63	2,205	1,690
2013-01-25	$93.50	$90.00	16.2%	4.7%	13.1%	3.5%	16.6%	2.7%	7.5%	445.7K	-5.1M	-41.7K	1.33	84.50	46	61	2,538	1,733
2013-01-28	$93.68	$90.00	16.6%	4.7%	13.0%	4.1%	0.0%	3.6%	7.2%	482.3K	-5.5M	-41.0K	0.00	28.98	26	0	2,565	1,740
2013-01-29	$93.86	$90.00	15.5%	4.4%	13.0%	2.3%	0.0%	4.5%	8.8%	504.1K	-5.8M	-40.7K	0.00	26.27	3	0	2,591	1,740
2013-01-30	$93.44	$90.00	15.7%	4.5%	13.3%	2.7%	16.1%	3.1%	8.7%	491.1K	-5.4M	-40.3K	0.00	15.78	7	0	2,594	1,740
2013-01-31	$92.52	$90.00	15.1%	4.3%	12.7%	1.7%	18.3%	2.8%	9.1%	439.2K	-4.2M	-39.5K	0.01	22.73	135	2	2,597	1,740