FDS Options History — May 2013

In May 2013, FDS traded between $93.42 and $100.56. ATM implied volatility averaged 22.7%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.6% (HV 20d: 15.1%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2013-05-14: Highest Volume — 1,085 contracts
  • 2013-05-16: Largest IV spike — 82.4% change
  • 2013-05-31: Highest IV Rank — 31.6%
  • 2013-05-31: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.77$93.42$100.56$93.42$98.19
Max Pain$95.00$95.00$95.00$95.00$95.00
ATM IV22.7%13.7%32.4%18.3%32.4%
Expected Move7.5%4.8%9.3%5.2%9.3%
HV 20d15.1%10.8%19.6%16.0%19.6%
HV 60d20.2%19.1%21.1%20.1%21.1%
IV Rank16.2%1.9%31.6%9.1%31.6%
IV Percentile42.2%0.8%87.3%13.1%87.3%
Term Structure-2.1%-6.0%8.5%7.0%-6.0%
VWIV26.8%17.3%33.5%18.1%32.5%
Skew 25d3.5%0.3%5.1%0.3%4.4%
Skew 10d8.1%-4.5%18.8%-4.5%8.6%
Call IV 25d25.1%14.3%31.4%19.7%31.4%
Put IV 25d28.7%18.2%35.9%20.0%35.9%
Bid-Ask Spread %78.6170.5697.8287.1577.99
Gamma HHI0.280.230.400.230.29
Net GEX619.2K365.6K1.0M365.6K602.7K
Net DEX-6.7M-11.7M-1.6M-1.6M-8.7M
Net VEX-57.3K-62.4K-53.2K-56.3K-58.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.003.950.001.34
Total Volume164.818111,0853575
Total OI5,875.4095,2617,0235,6375,944

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$93.42$95.0018.3%5.2%16.0%9.1%18.1%0.3%7.0%365.6K-1.6M-56.3K0.0087.153503,2082,429
2013-05-02$94.05$95.0017.2%4.9%16.1%7.4%17.3%5.1%7.9%458.1K-2.5M-57.4K0.0088.761103,2272,429
2013-05-03$94.23$95.0016.7%4.8%16.1%6.6%18.8%3.9%8.5%499.2K-3.0M-55.6K0.1097.826263,2172,429
2013-05-06$93.59$95.0016.5%7.1%16.3%6.4%24.4%3.8%-2.2%424.3K-1.9M-53.2K0.0371.329433,2782,430
2013-05-07$94.01$95.0016.8%7.0%16.1%6.9%26.7%4.1%-1.2%537.2K-2.5M-53.6K3.2570.564133,3132,431
2013-05-08$94.70$95.0017.2%7.1%14.7%7.5%25.5%4.1%-2.4%643.5K-3.7M-53.7K0.7972.3638303,3142,443
2013-05-09$94.34$95.0016.9%7.0%14.6%7.0%24.6%3.3%-1.9%596.7K-3.2M-54.0K3.5274.05842963,3452,463
2013-05-10$94.73$95.0013.7%7.1%14.5%1.9%25.8%3.7%-2.2%705.3K-2.8M-57.5K0.0880.022423,4182,721
2013-05-13$95.87$95.0014.0%7.4%12.4%2.3%26.2%3.7%-2.9%847.5K-5.6M-56.8K0.4576.2866303,4242,723
2013-05-14$97.68$95.0018.0%7.2%13.1%8.8%26.4%3.8%-2.8%801.8K-9.4M-58.5K0.3077.848322533,4822,726
2013-05-15$97.92$95.0014.8%7.4%11.6%3.6%26.1%3.5%-3.3%1.0M-10.2M-62.4K0.1477.983654,0542,969
2013-05-16$97.35$95.0026.9%7.7%10.9%22.9%26.8%3.1%-3.5%739.6K-8.5M-58.6K0.4877.2488423,8382,908
2013-05-17$97.63$95.0025.4%7.3%10.8%20.6%25.8%3.2%-3.3%671.5K-8.7M-58.7K0.0079.583903,8432,944
2013-05-20$97.69$95.0026.3%7.5%10.8%21.9%27.4%2.8%-3.5%487.9K-6.9M-56.2K0.2475.901742,8482,413
2013-05-21$99.03$95.0026.4%7.6%11.2%22.1%29.2%3.0%-3.4%570.8K-9.2M-55.7K0.7077.3266462,8572,417
2013-05-22$97.07$95.0028.7%8.2%14.1%25.8%28.0%2.9%-4.3%443.2K-6.4M-56.6K0.0078.773502,9132,429
2013-05-23$100.56$95.0028.8%8.2%18.1%25.9%28.2%2.7%-4.6%629.7K-11.7M-56.9K0.1076.38407402,9482,429
2013-05-24$100.32$95.0030.0%8.6%18.3%27.8%31.5%3.3%-4.6%649.2K-11.6M-61.7K3.9578.23642533,1922,469
2013-05-28$99.41$95.0031.2%8.9%18.9%29.7%33.1%4.5%-6.0%656.1K-10.4M-58.4K1.2780.331041323,2372,447
2013-05-29$98.10$95.0031.7%9.1%19.3%30.5%33.5%4.0%-5.8%605.1K-8.6M-58.9K1.1077.4488973,3032,483
2013-05-30$99.10$95.0032.0%9.2%19.2%31.0%33.3%4.8%-6.0%669.1K-10.3M-60.1K0.3676.1577283,3742,550
2013-05-31$98.19$95.0032.4%9.3%19.6%31.6%32.5%4.4%-6.0%602.7K-8.7M-58.9K1.3477.9932433,3822,562