FDS Options History — February 2014

In February 2014, FDS traded between $101.99 and $105.58. ATM implied volatility averaged 25.1%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.6% (HV 20d: 20.5%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 6.16.

Notable Days

2014-02-11: Highest Volume — 861 contracts
2014-02-13: Largest IV spike — 41.2% change
2014-02-28: Highest IV Rank — 52.2%
2014-02-28: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103.56	$101.99	$105.58	$102.01	$105.29
Max Pain	$113.95	$110.00	$115.00	$110.00	$115.00
ATM IV	25.1%	18.5%	29.3%	24.6%	29.3%
Expected Move	7.6%	6.5%	8.4%	7.0%	8.4%
HV 20d	20.5%	18.1%	21.7%	21.3%	18.1%
HV 60d	20.9%	20.8%	21.2%	21.2%	20.9%
IV Rank	38.6%	16.0%	52.2%	38.7%	52.2%
IV Percentile	65.8%	21.0%	83.7%	67.9%	83.7%
Term Structure	-0.8%	-4.9%	6.1%	4.3%	-4.9%
VWIV	27.1%	21.3%	31.7%	23.6%	29.0%
Skew 25d	4.6%	3.7%	5.5%	3.8%	4.5%
Skew 10d	8.7%	0.9%	14.0%	6.9%	11.2%
Call IV 25d	25.1%	20.9%	27.3%	22.6%	27.3%
Put IV 25d	29.7%	24.8%	32.5%	26.4%	31.8%
Bid-Ask Spread %	75.10	62.89	85.79	73.29	83.56
Gamma HHI	0.25	0.21	0.45	0.24	0.21
Net GEX	-548.5K	-1.1M	-417.3K	-445.2K	-487.4K
Net DEX	11.9M	9.1M	14.3M	12.3M	9.1M
Net VEX	-39.3K	-44.9K	-34.5K	-36.1K	-40.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.16	0.00	70.75	0.32	0.99
Total Volume	124.684	7	861	204	147
Total OI	4,816.263	4,220	5,382	4,220	4,795

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
2014-02-03	$102.01	$110.00	24.6%	7.0%	21.3%	38.7%	23.6%	3.8%	4.3%	-445.2K	12.3M	-36.1K	0.32	73.29	155	49	1,667	2,553
2014-02-04	$102.48	$110.00	23.3%	6.7%	20.5%	34.8%	22.6%	3.7%	5.2%	-428.7K	12.2M	-36.3K	9.50	75.35	2	19	1,807	2,575
2014-02-05	$101.99	$110.00	23.3%	6.7%	20.3%	34.7%	21.8%	3.7%	5.3%	-421.1K	12.3M	-37.0K	0.58	72.22	71	41	1,808	2,588
2014-02-06	$102.13	$110.00	22.6%	6.5%	20.3%	32.5%	21.3%	3.9%	6.1%	-426.0K	12.6M	-36.0K	1.06	71.79	34	36	1,827	2,608
2014-02-07	$103.23	$115.00	18.9%	7.5%	20.8%	17.5%	27.9%	5.0%	-0.9%	-446.8K	11.5M	-37.1K	4.07	62.89	15	61	1,831	2,622
2014-02-10	$102.16	$115.00	21.6%	8.2%	20.8%	26.3%	0.0%	4.9%	-2.2%	-455.5K	12.6M	-34.5K	0.00	64.50	110	0	1,841	2,644
2014-02-11	$103.40	$115.00	19.6%	7.6%	21.5%	19.7%	26.5%	4.2%	-1.1%	-417.3K	11.4M	-35.3K	70.75	70.64	12	849	1,929	2,644
2014-02-12	$103.87	$115.00	18.5%	7.5%	21.4%	16.0%	27.9%	4.3%	-1.0%	-584.0K	13.1M	-44.9K	0.00	70.41	0	7	1,935	3,246
2014-02-13	$103.60	$115.00	26.1%	7.5%	21.3%	41.5%	26.3%	5.0%	-0.7%	-595.8K	13.1M	-43.4K	1.32	72.13	25	33	1,935	3,253
2014-02-14	$103.25	$115.00	26.0%	7.5%	21.2%	41.3%	0.0%	4.8%	-2.4%	-613.8K	13.7M	-42.7K	0.74	79.69	96	71	1,960	3,273
2014-02-18	$102.96	$115.00	27.1%	7.8%	20.9%	44.7%	30.7%	4.6%	-1.8%	-635.0K	14.3M	-40.5K	11.00	75.00	2	22	1,997	3,319
2014-02-19	$103.32	$115.00	27.2%	7.8%	20.0%	45.2%	28.9%	4.9%	-2.0%	-648.0K	14.0M	-40.5K	0.73	73.83	70	51	1,999	3,328
2014-02-20	$105.58	$115.00	27.0%	7.7%	21.6%	44.4%	27.0%	5.5%	-1.6%	-726.3K	11.1M	-43.0K	0.38	74.99	32	12	2,026	3,353
2014-02-21	$104.77	$115.00	27.5%	7.9%	21.7%	46.2%	29.8%	4.9%	-2.2%	-1.1M	12.5M	-41.6K	1.00	77.89	23	23	2,035	3,347
2014-02-24	$104.96	$115.00	28.4%	8.1%	19.7%	49.1%	27.0%	4.7%	-3.5%	-513.9K	9.9M	-40.1K	0.18	79.70	68	12	1,638	2,976
2014-02-25	$104.17	$115.00	28.3%	8.1%	19.8%	48.7%	28.6%	5.1%	-3.3%	-492.9K	10.2M	-39.0K	0.21	85.79	34	7	1,705	2,981
2014-02-26	$103.97	$115.00	28.4%	8.1%	19.6%	49.1%	30.7%	5.4%	-3.8%	-486.2K	10.2M	-40.0K	5.08	80.48	12	61	1,733	2,988
2014-02-27	$104.55	$115.00	28.9%	8.3%	19.2%	50.9%	31.7%	5.4%	-4.5%	-476.9K	9.7M	-39.5K	2.96	82.79	27	80	1,739	3,004
2014-02-28	$105.29	$115.00	29.3%	8.4%	18.1%	52.2%	29.0%	4.5%	-4.9%	-487.4K	9.1M	-40.0K	0.99	83.56	74	73	1,755	3,040