FDS Options History — April 2013

In April 2013, FDS traded between $89.41 and $94.07. ATM implied volatility averaged 20.3%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.0% (HV 20d: 22.3%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.66.

Notable Days

  • 2013-04-18: Highest Volume — 927 contracts
  • 2013-04-10: Largest IV drop — 12.3% change
  • 2013-04-01: Highest IV Rank — 14.3%
  • 2013-04-01: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.29$89.41$94.07$91.69$94.07
Max Pain$95.00$95.00$95.00$95.00$95.00
ATM IV20.3%18.0%21.5%21.5%18.0%
Expected Move5.8%5.2%6.2%6.2%5.2%
HV 20d22.3%16.7%27.3%25.8%17.4%
HV 60d19.6%19.0%20.0%19.0%20.0%
IV Rank12.5%8.7%14.3%14.3%8.7%
IV Percentile27.3%12.7%37.3%36.5%12.7%
Term Structure4.7%-0.3%7.1%-0.3%7.1%
VWIV19.7%12.4%24.0%20.9%12.7%
Skew 25d3.1%-2.9%6.4%3.2%4.9%
Skew 10d6.9%1.1%12.8%4.1%7.0%
Call IV 25d18.8%14.8%21.0%20.2%14.8%
Put IV 25d21.9%16.1%24.3%23.3%19.7%
Bid-Ask Spread %63.7716.2097.2421.8986.35
Gamma HHI0.240.200.590.240.24
Net GEX44.2K-1.6M511.9K65.9K511.9K
Net DEX7.1M-3.2M18.1M7.6M-3.2M
Net VEX-61.5K-78.3K-49.5K-78.3K-55.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.660.0823.501.264.12
Total Volume192.591692788261
Total OI8,460.0455,04410,2179,7755,433

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$91.69$95.0021.5%6.2%25.8%14.3%20.9%3.2%-0.3%65.9K7.6M-78.3K1.2621.8939495,4074,368
2013-04-02$91.75$95.0020.9%6.0%25.6%13.4%19.4%2.7%-0.1%67.0K7.3M-76.9K0.0021.1201605,4254,385
2013-04-03$90.00$95.0020.6%5.9%25.5%12.9%20.3%3.5%0.0%49.3K12.8M-68.3K5.9816.20553295,4254,346
2013-04-04$90.07$95.0021.2%6.1%25.5%13.9%21.2%3.3%-0.2%-104.8K13.1M-69.8K0.0824.62373295,4414,526
2013-04-05$90.08$95.0020.5%5.9%25.2%12.8%20.4%3.0%4.8%-110.1K12.9M-69.1K0.9931.261441435,4304,525
2013-04-08$90.56$95.0021.3%5.9%25.5%14.0%0.0%3.9%5.1%-115.5K12.3M-68.1K5.2529.118425,4694,622
2013-04-09$91.36$95.0021.3%5.8%25.7%14.0%21.6%2.4%5.8%-72.6K9.1M-70.1K0.4828.82136655,4754,605
2013-04-10$93.23$95.0018.7%5.4%26.9%9.9%20.9%3.5%5.8%-57.3K2.6M-71.1K15.1830.09284255,4954,610
2013-04-11$92.65$95.0019.0%5.5%26.7%10.4%19.6%2.6%5.6%54.7K4.1M-70.5K0.6732.1349335,5064,451
2013-04-12$92.23$95.0020.4%5.8%26.2%12.5%0.0%5.4%5.4%65.7K5.8M-65.8K1.2588.2420255,5014,456
2013-04-15$90.34$95.0021.4%6.1%26.7%14.1%0.0%3.2%5.7%177.7K11.9M-60.3K23.5086.74122825,5064,465
2013-04-16$91.55$95.0020.4%5.9%27.3%12.6%0.0%4.5%5.5%169.2K10.3M-58.9K0.2091.79515,5054,712
2013-04-17$90.34$95.0020.8%6.0%19.9%13.2%12.4%2.1%6.3%294.6K13.5M-56.3K7.2992.657515,5084,612
2013-04-18$89.41$95.0021.1%6.0%20.2%13.6%20.8%2.6%5.7%268.2K18.1M-53.3K0.1491.158151125,4694,650
2013-04-19$90.19$95.0021.4%6.1%17.8%14.1%24.0%3.9%5.4%-1.6M15.1M-53.7K6.0085.9210605,0624,658
2013-04-22$90.87$95.0021.0%6.0%17.6%13.5%23.6%6.4%4.6%168.7K1.5M-49.5K0.7297.2429212,9462,098
2013-04-23$90.77$95.0020.2%5.8%17.6%12.2%0.0%-2.9%5.7%155.1K1.1M-49.9K0.3694.2764232,9722,117
2013-04-24$90.87$95.0019.9%5.7%17.2%11.8%0.0%3.1%5.8%161.6K1.3M-50.5K0.8284.9322183,0252,133
2013-04-25$91.47$95.0019.5%5.6%16.7%11.1%18.8%3.4%6.9%214.9K629.8K-51.5K0.8386.6341343,0472,151
2013-04-26$92.16$95.0020.2%5.8%17.0%12.2%19.5%1.4%6.4%281.4K-489.4K-53.1K1.2990.8545583,0812,182
2013-04-29$92.71$95.0018.1%5.2%16.7%8.9%19.2%2.5%6.6%334.6K-1.1M-52.5K0.3790.8583313,1092,212
2013-04-30$94.07$95.0018.0%5.2%17.4%8.7%12.7%4.9%7.1%511.9K-3.2M-55.2K4.1286.35512103,1902,243