FDS Options History — July 2013

In July 2013, FDS traded between $102.48 and $109.98. ATM implied volatility averaged 20.3%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.5% (HV 20d: 19.8%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.58.

Notable Days

  • 2013-07-10: Highest Volume — 1,673 contracts
  • 2013-07-19: Largest IV spike — 24.1% change
  • 2013-07-19: Highest IV Rank — 26.7%
  • 2013-07-19: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.09$102.48$109.98$103.19$109.18
Max Pain$103.86$100.00$105.00$100.00$105.00
ATM IV20.3%18.1%23.1%18.4%19.7%
Expected Move5.8%5.3%6.6%5.3%5.6%
HV 20d19.8%13.8%25.7%24.8%14.0%
HV 60d19.6%19.0%20.2%20.1%19.6%
IV Rank19.6%14.1%26.7%14.8%18.0%
IV Percentile30.2%14.3%56.0%15.5%23.4%
Term Structure3.5%0.3%7.0%0.5%7.0%
VWIV22.7%18.6%46.2%19.9%22.5%
Skew 25d2.1%-0.6%3.3%1.5%1.7%
Skew 10d4.7%1.4%10.6%2.3%3.4%
Call IV 25d20.0%16.7%22.6%18.9%20.3%
Put IV 25d22.0%20.0%23.4%20.4%21.9%
Bid-Ask Spread %48.4710.9378.6418.9475.39
Gamma HHI0.320.240.690.290.27
Net GEX1.4M155.0K4.7M239.8K1.4M
Net DEX-32.2M-48.2M-18.2M-21.0M-30.2M
Net VEX-90.3K-104.5K-74.7K-104.2K-92.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0112.533.712.03
Total Volume466.045291,673372336
Total OI10,776.5457,23113,74411,5698,121

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$103.19$100.0018.4%5.3%24.8%14.8%19.9%1.5%0.5%239.8K-21.0M-104.2K3.7118.94792935,2706,299
2013-07-02$102.48$100.0020.7%5.9%25.0%20.5%20.5%1.9%0.3%155.0K-18.2M-104.5K12.5313.72151885,2496,274
2013-07-03$102.99$100.0018.4%5.3%25.0%14.8%19.7%3.3%1.3%230.7K-20.4M-100.0K1.2323.2813165,2486,273
2013-07-05$103.62$105.0018.1%5.5%24.8%14.1%20.9%3.2%3.2%435.6K-23.6M-93.2K0.4426.6725115,2496,276
2013-07-08$105.10$105.0020.0%5.6%25.1%19.0%18.6%2.9%2.9%911.1K-29.4M-83.4K0.0123.42837125,2386,266
2013-07-09$106.97$105.0020.8%5.8%25.7%20.8%25.7%2.7%3.1%1.4M-32.1M-74.7K0.4610.931,0094655,0966,273
2013-07-10$107.06$100.0022.8%6.1%25.7%25.8%21.2%2.9%4.4%1.5M-36.7M-89.4K0.2523.231,3413325,7866,664
2013-07-11$107.76$100.0019.8%5.7%25.4%18.3%22.5%2.9%3.9%1.9M-42.0M-95.5K0.6530.901591036,2876,915
2013-07-12$107.46$105.0020.6%5.9%24.9%20.3%20.6%2.7%3.9%2.0M-41.9M-98.4K0.0922.39868776,4216,988
2013-07-15$107.57$105.0019.5%5.6%24.4%17.5%21.3%2.8%4.0%2.3M-40.8M-85.6K3.5627.10431536,3286,982
2013-07-16$105.94$105.0020.8%6.0%23.4%20.9%21.1%2.9%4.1%1.7M-35.5M-88.6K0.2434.48272656,3617,072
2013-07-17$106.06$105.0020.8%6.0%15.5%21.0%20.9%3.2%3.7%1.7M-37.2M-89.4K1.1369.972162446,5537,047
2013-07-18$107.52$105.0018.6%5.3%16.0%15.4%0.0%2.7%4.7%1.6M-41.4M-85.4K0.6975.5036256,6427,063
2013-07-19$109.39$105.0023.1%6.6%15.3%26.7%22.7%-0.6%2.4%4.7M-48.2M-83.1K0.0674.511,492826,6617,083
2013-07-22$109.50$105.0021.6%6.2%15.1%22.8%22.2%0.5%3.2%1.4M-31.1M-86.5K0.5675.851841035,1042,127
2013-07-23$109.98$105.0021.0%6.0%14.1%21.4%22.9%0.8%3.1%1.5M-32.2M-87.1K0.6075.31104625,2382,218
2013-07-24$109.60$105.0020.1%5.8%14.5%19.1%46.2%0.7%3.8%1.5M-31.8M-90.5K1.4174.4617245,2962,238
2013-07-25$109.80$105.0020.1%5.8%14.0%19.0%20.3%1.8%3.6%1.5M-32.0M-86.5K0.2875.8461175,2992,247
2013-07-26$108.96$105.0020.1%5.7%13.8%19.0%22.1%1.1%4.5%1.4M-29.6M-88.3K4.3660.54903925,3282,241
2013-07-29$107.79$105.0020.9%6.0%14.5%21.2%21.3%2.1%4.2%1.1M-25.8M-89.6K0.3978.64107425,3142,519
2013-07-30$108.00$105.0020.7%5.9%14.1%20.7%22.6%1.7%4.4%1.1M-26.7M-89.0K0.0975.35223205,3772,553
2013-07-31$109.18$105.0019.7%5.6%14.0%18.0%22.5%1.7%7.0%1.4M-30.2M-92.9K2.0375.391112255,5602,561