FDS Options History — February 2013

In February 2013, FDS traded between $93.06 and $98.00. ATM implied volatility averaged 24.9%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 11.5% (HV 20d: 13.3%). Max pain ranged from $90.00 to $100.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 3.93.

Notable Days

2013-02-19: Highest Volume — 1,806 contracts
2013-02-07: Largest IV spike — 109.8% change
2013-02-28: Highest IV Rank — 33.7%
2013-02-28: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$95.12	$93.06	$98.00	$93.59	$97.29
Max Pain	$95.00	$90.00	$100.00	$90.00	$95.00
ATM IV	24.9%	12.5%	33.7%	13.3%	33.7%
Expected Move	7.8%	6.9%	9.7%	6.9%	9.7%
HV 20d	13.3%	10.0%	16.4%	13.2%	16.4%
HV 60d	18.6%	17.3%	19.2%	19.2%	18.9%
IV Rank	19.4%	0.0%	33.7%	0.0%	33.7%
IV Percentile	52.9%	0.0%	86.5%	0.0%	86.5%
Term Structure	-3.4%	-8.5%	-0.4%	-0.5%	-8.5%
VWIV	28.8%	24.2%	34.3%	28.3%	32.5%
Skew 25d	4.6%	2.9%	6.3%	5.3%	5.7%
Skew 10d	11.0%	6.5%	14.6%	10.6%	13.2%
Call IV 25d	26.0%	22.8%	30.3%	22.8%	30.3%
Put IV 25d	30.6%	28.1%	35.9%	28.1%	35.9%
Bid-Ask Spread %	51.26	24.74	80.71	42.40	32.46
Gamma HHI	0.38	0.30	0.51	0.39	0.30
Net GEX	317.0K	-41.8K	739.0K	547.7K	6.4K
Net DEX	-4.1M	-8.2M	-123.6K	-5.8M	-3.1M
Net VEX	-46.8K	-58.0K	-37.3K	-39.6K	-57.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.93	0.00	22.62	1.57	0.73
Total Volume	271.211	4	1,806	18	126
Total OI	5,490.737	4,403	6,653	4,403	6,653

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
2013-02-01	$93.59	$90.00	13.3%	6.9%	13.2%	0.0%	28.3%	5.3%	-0.5%	547.7K	-5.8M	-39.6K	1.57	42.40	7	11	2,661	1,742
2013-02-04	$93.51	$90.00	15.3%	7.1%	12.6%	3.1%	33.8%	4.8%	-1.1%	540.7K	-5.6M	-38.6K	0.90	66.72	10	9	2,665	1,751
2013-02-05	$93.49	$90.00	15.3%	7.2%	12.5%	3.2%	34.3%	4.6%	-1.0%	555.9K	-6.0M	-38.1K	4.83	38.62	6	29	2,675	1,756
2013-02-06	$93.64	$90.00	12.5%	7.5%	12.1%	0.0%	24.8%	4.5%	-1.8%	583.8K	-6.2M	-37.3K	8.26	54.66	34	281	2,681	1,759
2013-02-07	$93.84	$95.00	26.3%	7.5%	12.1%	21.8%	28.5%	5.0%	-2.2%	543.3K	-4.9M	-39.3K	22.62	46.00	26	588	2,707	1,974
2013-02-08	$93.60	$95.00	25.9%	7.4%	11.9%	21.3%	25.9%	4.5%	-1.8%	380.5K	-3.2M	-43.9K	0.00	30.94	204	0	2,725	2,415
2013-02-11	$93.16	$95.00	26.4%	7.6%	12.2%	22.0%	27.9%	5.4%	-2.2%	424.7K	-3.2M	-43.7K	12.57	47.83	14	176	2,929	2,415
2013-02-12	$93.06	$95.00	26.3%	7.5%	12.2%	22.0%	28.5%	4.9%	-2.4%	355.2K	-3.0M	-43.3K	0.00	24.74	4	0	2,943	2,545
2013-02-13	$93.92	$95.00	25.7%	7.4%	10.2%	20.9%	27.3%	6.3%	-1.8%	493.5K	-4.3M	-42.3K	0.07	44.55	186	13	2,943	2,545
2013-02-14	$93.10	$95.00	25.3%	7.3%	10.0%	20.4%	28.1%	4.0%	-1.8%	383.0K	-3.3M	-43.2K	2.10	57.10	29	61	2,978	2,491
2013-02-15	$94.30	$95.00	24.3%	7.0%	10.2%	18.7%	24.2%	4.4%	-0.4%	739.0K	-4.7M	-42.9K	0.12	63.07	297	37	2,994	2,546
2013-02-19	$97.29	$95.00	27.1%	7.8%	14.7%	23.1%	26.3%	2.9%	-4.4%	486.4K	-8.2M	-42.6K	2.19	61.62	566	1,240	2,695	2,094
2013-02-20	$96.97	$100.00	28.0%	8.0%	14.8%	24.7%	28.0%	2.9%	-4.6%	3.6K	-1.6M	-58.0K	1.46	40.50	46	67	2,964	3,257
2013-02-21	$96.25	$100.00	28.8%	8.3%	14.9%	26.0%	29.0%	3.4%	-5.0%	2.3K	-123.6K	-57.9K	1.92	71.61	36	69	2,983	3,294
2013-02-22	$97.85	$100.00	26.6%	7.6%	15.6%	22.4%	26.9%	4.7%	-4.8%	-41.8K	-3.1M	-56.9K	0.68	64.96	68	46	2,993	3,308
2013-02-25	$97.53	$100.00	29.8%	8.6%	15.7%	27.5%	30.1%	4.4%	-6.4%	-348	-3.3M	-54.1K	7.16	63.49	43	308	3,024	3,328
2013-02-26	$96.95	$95.00	32.3%	9.3%	15.9%	31.5%	30.8%	5.0%	-7.4%	2.1K	-2.5M	-54.9K	0.51	80.71	140	72	3,026	3,336
2013-02-27	$98.00	$95.00	29.5%	8.5%	16.3%	27.1%	30.9%	5.6%	-7.0%	17.0K	-5.0M	-54.4K	7.00	41.89	38	266	3,133	3,396
2013-02-28	$97.29	$95.00	33.7%	9.7%	16.4%	33.7%	32.5%	5.7%	-8.5%	6.4K	-3.1M	-57.3K	0.73	32.46	73	53	3,135	3,518