FDS Options History — August 2013

In August 2013, FDS traded between $102.35 and $111.60. ATM implied volatility averaged 24.6%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 8.5% (HV 20d: 16.1%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.90.

Notable Days

  • 2013-08-29: Highest Volume — 877 contracts
  • 2013-08-15: Largest IV spike — 58.1% change
  • 2013-08-30: Highest IV Rank — 54.0%
  • 2013-08-30: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.70$102.35$111.60$111.60$102.35
Max Pain$98.86$95.00$105.00$105.00$100.00
ATM IV24.6%17.3%34.0%19.3%34.0%
Expected Move7.9%5.2%9.7%5.5%9.7%
HV 20d16.1%13.2%18.5%15.5%15.0%
HV 60d19.8%19.1%21.2%20.0%19.4%
IV Rank30.5%12.1%54.0%17.1%54.0%
IV Percentile51.9%12.7%92.1%21.0%92.1%
Term Structure-1.5%-5.0%7.6%7.1%-5.0%
VWIV28.5%18.4%33.7%19.0%31.8%
Skew 25d4.5%1.7%6.5%1.7%6.2%
Skew 10d8.8%1.4%12.3%2.6%9.2%
Call IV 25d26.3%18.3%31.0%19.0%30.9%
Put IV 25d30.8%20.0%37.1%20.8%37.1%
Bid-Ask Spread %49.3922.5883.8683.8636.03
Gamma HHI0.250.210.360.360.22
Net GEX1.2M369.1K1.7M1.7M1.2M
Net DEX-25.9M-37.0M-10.7M-35.1M-10.7M
Net VEX-92.1K-105.4K-78.2K-90.3K-105.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.0010.480.080.38
Total Volume377.63619877782633
Total OI9,376.7738,18910,9598,34110,959

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$111.60$105.0019.3%5.5%15.5%17.1%19.0%1.7%7.1%1.7M-35.1M-90.3K0.0883.86723595,5752,766
2013-08-02$111.53$105.0018.2%5.2%15.6%14.2%18.4%1.7%7.6%1.5M-33.7M-89.0K9.8564.17525125,4312,758
2013-08-05$110.97$95.0019.0%7.5%15.3%16.4%26.8%4.3%-1.5%1.5M-32.4M-85.0K1.3859.298115,4523,232
2013-08-06$110.28$95.0018.9%7.6%14.6%16.2%28.5%5.0%-1.9%1.3M-30.4M-85.8K0.8556.2155475,4443,236
2013-08-07$109.93$95.0018.9%7.7%14.7%16.0%31.8%4.7%-2.0%1.2M-30.0M-82.1K0.2560.61149375,4483,276
2013-08-08$110.19$95.0018.3%7.8%14.6%14.5%27.3%5.2%-2.1%1.3M-31.6M-81.4K0.0063.1513505,5503,281
2013-08-09$110.55$95.0017.8%7.8%14.5%13.5%28.2%4.7%-2.3%1.4M-32.9M-81.7K0.0061.492305,6273,281
2013-08-12$110.55$95.0019.0%7.6%14.5%16.3%26.6%5.3%-2.0%1.3M-31.9M-78.2K0.0062.7153525,6333,281
2013-08-13$111.39$95.0017.5%7.5%13.2%12.6%27.3%4.9%-1.3%1.6M-37.0M-81.5K0.5662.90137776,1233,283
2013-08-14$109.19$100.0017.3%7.0%15.5%12.1%25.7%4.0%-0.2%1.4M-32.4M-82.3K2.7861.411975476,1593,343
2013-08-15$105.88$100.0027.4%7.8%18.5%37.5%28.6%5.2%-1.9%369.1K-21.1M-90.7K0.3051.34271806,2503,661
2013-08-16$106.35$100.0027.4%7.9%17.4%37.5%26.9%4.2%-2.0%487.2K-23.7M-92.2K0.1046.43544536,3503,688
2013-08-19$106.33$100.0028.3%8.1%17.4%39.7%28.2%3.3%-2.1%1.4M-25.3M-88.5K0.9536.183533345,6562,820
2013-08-20$106.77$100.0028.9%8.3%17.4%41.4%29.9%4.7%-2.5%1.4M-25.7M-96.9K1.3046.101952545,9433,105
2013-08-21$105.56$100.0029.4%8.4%17.7%42.6%30.4%5.0%-2.9%1.3M-22.0M-99.7K1.3043.7354706,0803,341
2013-08-22$106.00$100.0029.8%8.5%17.8%43.4%30.6%3.8%-2.9%1.4M-23.9M-99.6K10.4831.07333466,1013,386
2013-08-23$106.16$100.0029.8%8.5%17.7%43.6%31.6%5.3%-3.4%1.3M-23.1M-102.7K6.3339.87493106,1083,665
2013-08-26$106.23$100.0030.2%8.7%17.4%44.6%33.3%3.8%-2.9%1.2M-22.5M-103.1K3.3822.58732476,0903,960
2013-08-27$104.65$100.0031.1%8.9%18.0%46.9%33.7%5.2%-3.2%1.1M-16.8M-105.2K0.6635.2497646,1294,164
2013-08-28$103.97$100.0031.4%9.0%17.5%47.7%32.6%4.5%-3.6%1.1M-15.4M-104.3K0.4430.2945206,1334,193
2013-08-29$103.00$100.0029.9%8.6%15.1%43.9%30.4%6.5%-2.4%1.1M-11.6M-100.2K0.3431.966552226,1354,193
2013-08-30$102.35$100.0034.0%9.7%15.0%54.0%31.8%6.2%-5.0%1.2M-10.7M-105.4K0.3836.034601736,5834,376