FDS Options History — June 2013

In June 2013, FDS traded between $98.24 and $103.76. ATM implied volatility averaged 28.2%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 5.9% (HV 20d: 22.3%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 7.67.

Notable Days

  • 2013-06-17: Highest Volume — 6,220 contracts
  • 2013-06-13: Largest IV drop — 34.1% change
  • 2013-06-17: Highest IV Rank — 53.8%
  • 2013-06-03: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.24$98.24$103.76$98.47$101.94
Max Pain$99.00$95.00$100.00$95.00$100.00
ATM IV28.2%19.7%43.6%34.7%20.0%
Expected Move7.4%5.6%9.9%9.9%5.7%
HV 20d22.3%18.6%28.0%19.6%24.5%
HV 60d20.0%17.4%21.1%21.0%20.0%
IV Rank30.3%18.0%53.8%35.3%18.9%
IV Percentile64.4%23.0%97.6%90.1%24.6%
Term Structure-2.1%-8.2%3.0%-8.1%0.6%
VWIV26.0%17.2%38.5%34.4%19.5%
Skew 25d3.3%1.4%5.2%5.2%3.2%
Skew 10d7.7%2.3%16.5%10.8%9.2%
Call IV 25d24.7%17.6%33.9%33.7%17.6%
Put IV 25d27.9%20.5%38.9%38.9%20.8%
Bid-Ask Spread %54.6213.3381.7877.3120.34
Gamma HHI0.330.230.730.290.26
Net GEX-1.1M-6.4M803.4K631.3K-116.0K
Net DEX-1.9M-16.0M25.3M-9.1M-15.2M
Net VEX-105.4K-139.9K-55.8K-57.2K-113.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.670.1149.880.110.14
Total Volume1,436.95496,22056049
Total OI12,110.555,98419,4085,98411,540

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$98.47$95.0034.7%9.9%19.6%35.3%34.4%5.2%-8.1%631.3K-9.1M-57.2K0.1177.31506543,3942,590
2013-06-04$99.13$95.0031.5%9.0%19.3%30.2%32.2%3.3%-6.7%770.3K-10.6M-55.8K1.4781.781,0781,5803,4092,636
2013-06-05$98.93$95.0032.9%9.4%19.4%32.4%33.0%2.8%-8.2%661.4K-8.6M-76.1K0.7734.951411084,0823,599
2013-06-06$100.04$95.0032.1%9.2%19.6%31.2%33.0%2.6%-7.9%803.4K-11.7M-76.2K44.6915.95612,7264,1693,691
2013-06-07$100.76$100.0032.9%7.2%19.5%32.4%25.0%4.5%-1.1%-204.2K-5.3M-101.9K1.1761.3878914,1946,283
2013-06-10$101.04$100.0036.3%7.3%19.5%37.8%25.3%4.0%-1.1%-130.4K-6.5M-98.3K6.0562.31201214,2496,299
2013-06-11$100.99$100.0038.2%7.4%19.2%40.8%28.0%4.2%-1.8%-162.8K-6.7M-95.6K17.5970.561001,7594,2556,264
2013-06-12$100.19$100.0043.6%7.9%18.6%49.5%28.3%4.6%-2.7%-643.9K-5.5K-107.4K11.4467.21809154,2897,665
2013-06-13$101.98$100.0028.8%8.2%19.5%25.8%26.2%5.1%-3.6%-856.0K-3.9M-108.4K6.7364.501491,0034,3098,431
2013-06-14$100.88$100.0028.3%8.1%19.8%39.8%27.6%4.3%-3.0%-1.3M3.3M-112.6K1.2764.981361734,3889,064
2013-06-17$103.76$100.0033.9%9.7%21.9%53.8%38.5%3.4%-7.8%-860.3K-6.0M-104.9K1.5067.042,4863,7344,4169,062
2013-06-18$99.12$100.0022.8%6.5%28.0%25.9%23.8%4.2%0.6%-3.2M13.0M-128.3K1.0176.831,8481,8696,11011,499
2013-06-19$99.54$100.0022.0%6.3%27.6%23.9%23.3%2.7%1.0%-4.6M10.5M-139.9K3.3451.135121,7106,98612,422
2013-06-20$98.24$100.0022.2%6.4%27.0%24.5%17.2%3.2%0.7%-3.6M25.3M-134.6K2.4649.253679016,76812,194
2013-06-21$99.51$100.0020.9%6.0%24.2%21.0%20.5%1.6%3.0%-6.4M17.1M-122.7K0.2164.051,1152366,96611,656
2013-06-24$98.57$100.0021.9%6.3%24.4%23.8%22.9%1.7%1.1%-1.0M1.6M-126.7K49.8860.62482,3945,0086,407
2013-06-25$98.97$100.0020.9%6.0%24.3%21.1%21.5%1.4%1.0%-748.1K-1.7M-120.2K2.8062.94461295,0326,151
2013-06-26$100.53$100.0020.1%5.8%24.4%19.1%20.2%1.4%1.2%-467.0K-8.5M-116.5K0.5425.97116635,0656,258
2013-06-27$102.22$100.0019.7%5.6%24.8%18.0%18.9%1.8%1.0%-1.5K-16.0M-111.1K0.2013.33198395,1206,291
2013-06-28$101.94$100.0020.0%5.7%24.5%18.9%19.5%3.2%0.6%-116.0K-15.2M-113.8K0.1420.344365,2476,293