FDS Options History — September 2013

In September 2013, FDS traded between $101.94 and $112.33. ATM implied volatility averaged 27.3%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.6% (HV 20d: 21.7%). Max pain ranged from $100.00 to $110.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2013-09-16: Highest Volume — 13,624 contracts
  • 2013-09-17: Largest IV drop — 31.4% change
  • 2013-09-11: Highest IV Rank — 71.4%
  • 2013-09-03: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.26$101.94$112.33$101.94$109.10
Max Pain$107.75$100.00$110.00$100.00$110.00
ATM IV27.3%17.5%40.9%36.8%19.1%
Expected Move7.3%5.0%10.6%10.6%5.5%
HV 20d21.7%15.0%25.6%15.0%21.7%
HV 60d19.2%18.2%21.8%19.4%18.3%
IV Rank37.3%12.7%71.4%61.2%16.7%
IV Percentile58.7%12.3%96.8%94.4%23.0%
Term Structure-0.3%-7.1%5.1%-7.1%1.1%
VWIV25.5%17.8%37.1%37.1%19.3%
Skew 25d3.2%0.9%6.5%6.2%1.6%
Skew 10d6.9%2.2%12.1%9.7%5.5%
Call IV 25d24.5%17.7%34.6%33.8%19.8%
Put IV 25d27.7%19.0%40.0%40.0%21.3%
Bid-Ask Spread %33.6315.9169.9735.3432.52
Gamma HHI0.340.230.970.240.35
Net GEX-1.4M-37.3M1.4M1.1M929.8K
Net DEX-21.8M-42.9M-3.9M-8.7M-4.2M
Net VEX-92.6K-107.7K-77.3K-93.0K-96.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.175.411.652.06
Total Volume1,442.1510113,624183101
Total OI11,895.86,70321,34010,7427,498

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$101.94$100.0036.8%10.6%15.0%61.2%37.1%6.2%-7.1%1.1M-8.7M-93.0K1.6535.34691146,4004,342
2013-09-04$103.55$100.0032.3%9.3%16.6%49.9%32.9%6.5%-5.0%1.2M-13.9M-94.4K0.6039.412801676,3254,422
2013-09-05$105.96$100.0033.3%9.5%19.0%52.4%33.0%4.8%-5.5%1.3M-22.3M-91.1K0.1744.131,0131696,2354,361
2013-09-06$105.53$105.0034.4%8.0%19.0%55.1%28.9%4.9%0.5%1.3M-20.8M-89.9K0.9623.421561506,0484,381
2013-09-09$109.99$105.0038.3%8.0%24.4%65.0%28.5%4.6%-0.2%1.2M-36.2M-77.3K0.3626.897812795,9564,456
2013-09-10$112.33$105.0040.2%8.2%25.6%69.8%27.9%4.8%-0.9%1.3M-42.9M-78.2K0.9252.636886346,2274,543
2013-09-11$111.70$110.0040.9%8.1%25.6%71.4%29.1%4.9%-0.7%1.2M-37.8M-91.5K0.3933.173391336,2854,919
2013-09-12$111.73$110.0028.9%8.3%24.4%41.3%26.1%4.8%-1.0%1.3M-40.4M-91.3K0.3137.723521096,4944,936
2013-09-13$111.50$110.0029.1%8.3%21.4%41.7%28.2%4.3%-1.4%1.4M-39.2M-95.9K0.5935.776163646,6985,000
2013-09-16$112.25$110.0035.1%10.1%21.4%56.9%35.1%1.2%-6.0%1.3M-40.8M-96.7K3.1144.443,31410,3107,0475,163
2013-09-17$110.31$110.0024.1%6.9%22.6%29.1%24.9%1.8%1.8%-3.2M-21.8M-107.7K0.8069.971,8331,4638,05313,256
2013-09-18$111.02$110.0023.6%6.8%22.6%28.0%25.1%2.1%2.0%-2.5M-31.1M-98.5K1.5837.574056388,33013,010
2013-09-19$110.73$110.0022.9%6.6%22.1%26.1%22.9%2.2%2.1%-2.9M-32.1M-91.0K0.2420.345061238,37812,777
2013-09-20$109.96$110.0018.3%5.2%22.4%14.5%18.6%2.3%5.1%-37.3M-17.2M-86.0K0.4223.311,5456488,24112,831
2013-09-23$109.14$110.0018.2%5.2%22.6%14.4%18.7%1.8%1.8%889.7K-4.6M-90.2K0.6623.762421594,3162,387
2013-09-24$109.03$110.0017.8%5.1%22.6%13.4%19.3%1.9%2.0%908.6K-4.3M-93.1K1.6828.65971634,3572,503
2013-09-25$109.17$110.0017.8%5.1%21.8%13.4%18.8%0.9%1.4%859.7K-3.9M-93.8K0.4428.74185814,4092,624
2013-09-26$110.55$110.0017.5%5.0%21.9%12.7%17.8%1.3%1.6%1.1M-7.2M-96.4K0.3815.91243924,5442,667
2013-09-27$109.68$110.0018.1%5.2%21.8%14.0%18.7%1.5%1.6%1.0M-6.0M-100.2K5.4118.96442384,7772,720
2013-09-30$109.10$110.0019.1%5.5%21.7%16.7%19.3%1.6%1.1%929.8K-4.2M-96.1K2.0632.5233684,7772,721