FDS Options History — March 2013

In March 2013, FDS traded between $89.91 and $100.60. ATM implied volatility averaged 20.1%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.3% (HV 20d: 19.8%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.90.

Notable Days

2013-03-01: Highest Volume — 5,129 contracts
2013-03-14: Largest IV spike — 69.9% change
2013-03-18: Highest IV Rank — 29.7%
2013-03-18: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$96.22	$89.91	$100.60	$97.26	$92.60
Max Pain	$95.00	$95.00	$95.00	$95.00	$95.00
ATM IV	20.1%	14.4%	31.2%	18.5%	19.2%
Expected Move	6.8%	5.3%	8.9%	5.3%	5.5%
HV 20d	19.8%	15.6%	25.7%	15.9%	25.6%
HV 60d	18.5%	15.1%	19.3%	18.9%	19.2%
IV Rank	12.1%	3.1%	29.7%	9.5%	10.6%
IV Percentile	26.7%	1.2%	83.7%	11.1%	18.3%
Term Structure	-0.2%	-4.7%	10.2%	10.2%	0.3%
VWIV	24.2%	19.1%	32.3%	19.9%	19.1%
Skew 25d	3.9%	2.2%	5.5%	3.4%	2.2%
Skew 10d	8.2%	3.4%	10.9%	10.1%	5.0%
Call IV 25d	22.6%	18.5%	29.5%	18.5%	19.5%
Put IV 25d	26.5%	21.5%	34.5%	21.9%	21.6%
Bid-Ask Spread %	29.32	15.39	77.50	77.50	23.14
Gamma HHI	0.40	0.22	0.82	0.38	0.26
Net GEX	-546.0K	-3.6M	566.7K	120.0K	138.6K
Net DEX	-3.8M	-22.9M	12.0M	-2.7M	3.5M
Net VEX	-70.7K	-88.1K	-49.5K	-49.5K	-87.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.03	2.60	1.37	1.82
Total Volume	1,242.2	66	5,129	5,129	96
Total OI	9,172.1	5,757	11,059	6,702	9,726

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
2013-03-01	$97.26	$95.00	18.5%	5.3%	15.9%	9.5%	19.9%	3.4%	10.2%	120.0K	-2.7M	-49.5K	1.37	77.50	2,160	2,969	3,167	3,535
2013-03-04	$97.87	$95.00	16.4%	7.0%	15.6%	6.1%	25.3%	4.0%	0.6%	-467.0K	-2.8M	-65.6K	1.33	32.14	860	1,142	4,212	5,338
2013-03-05	$99.09	$95.00	16.7%	6.9%	15.9%	6.7%	24.8%	4.2%	0.5%	-794.5K	-8.2M	-64.9K	0.59	22.75	287	169	4,010	5,545
2013-03-06	$99.20	$95.00	16.9%	7.2%	15.9%	7.0%	26.3%	4.6%	-0.6%	-833.3K	-9.1M	-62.7K	0.34	25.17	325	110	3,978	5,535
2013-03-07	$99.75	$95.00	15.4%	7.2%	15.9%	4.7%	0.0%	4.4%	-0.3%	-940.0K	-12.0M	-59.8K	0.24	35.34	158	38	3,962	5,565
2013-03-08	$99.37	$95.00	14.4%	7.2%	16.1%	3.1%	24.8%	4.2%	-0.6%	-1.1M	-9.9M	-57.7K	2.60	39.33	43	112	3,909	5,538
2013-03-11	$99.99	$95.00	16.8%	7.5%	16.0%	6.9%	27.8%	4.5%	-1.4%	-1.0M	-14.0M	-50.6K	0.29	33.28	90	26	3,899	5,501
2013-03-12	$100.60	$95.00	17.3%	7.8%	15.8%	7.6%	27.9%	4.0%	-1.6%	-998.2K	-17.2M	-49.5K	0.43	32.55	1,095	475	3,909	5,511
2013-03-13	$99.37	$95.00	16.4%	7.9%	16.7%	6.1%	27.6%	3.6%	-2.1%	-1.1M	-13.4M	-60.3K	0.27	35.46	933	250	4,736	5,761
2013-03-14	$100.48	$95.00	27.8%	8.0%	16.8%	24.3%	27.6%	5.5%	-2.0%	-3.6M	-22.9M	-71.3K	0.12	28.53	416	50	4,996	5,631
2013-03-15	$99.29	$95.00	28.1%	8.1%	17.1%	24.9%	28.7%	5.1%	-2.3%	-1.4M	-14.6M	-79.6K	0.95	30.84	715	682	5,408	5,651
2013-03-18	$98.03	$95.00	31.2%	8.9%	17.6%	29.7%	32.3%	4.9%	-4.7%	566.7K	-10.0M	-82.4K	1.13	23.11	1,694	1,910	3,584	2,173
2013-03-19	$92.82	$95.00	19.8%	5.7%	23.9%	11.6%	20.4%	4.9%	1.6%	227.1K	6.3M	-78.0K	0.90	24.38	1,894	1,712	4,684	3,261
2013-03-20	$92.52	$95.00	20.5%	5.9%	23.9%	12.7%	21.0%	3.8%	0.2%	195.4K	6.7M	-81.7K	1.26	29.25	482	605	4,695	3,517
2013-03-21	$89.91	$95.00	21.6%	6.2%	25.7%	14.5%	22.1%	3.0%	0.1%	-23.9K	12.0M	-76.2K	1.59	15.39	394	625	4,875	3,791
2013-03-22	$90.81	$95.00	22.1%	6.3%	25.1%	15.3%	22.2%	3.9%	-0.0%	-83.7K	11.9M	-82.2K	1.19	15.62	230	274	5,134	4,173
2013-03-25	$90.84	$95.00	22.3%	6.4%	25.1%	15.6%	21.7%	3.6%	-0.6%	-130.0K	11.7M	-82.0K	0.03	18.14	1,543	45	5,107	4,204
2013-03-26	$91.76	$95.00	21.5%	6.2%	25.6%	14.3%	20.6%	2.8%	-0.6%	138.7K	6.1M	-85.0K	0.47	20.48	45	21	5,360	4,232
2013-03-27	$92.93	$95.00	19.2%	5.5%	25.7%	10.6%	19.4%	2.4%	-0.1%	153.5K	2.9M	-88.1K	1.11	23.96	80	89	5,378	4,251
2013-03-28	$92.60	$95.00	19.2%	5.5%	25.6%	10.6%	19.1%	2.2%	0.3%	138.6K	3.5M	-87.1K	1.82	23.14	34	62	5,411	4,315