FDS Options History — November 2013

In November 2013, FDS traded between $108.63 and $114.83. ATM implied volatility averaged 22.1%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 9.6% (HV 20d: 12.6%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2013-11-14: Highest Volume — 373 contracts
  • 2013-11-14: Largest IV spike — 38.2% change
  • 2013-11-29: Highest IV Rank — 40.1%
  • 2013-11-29: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.88$108.63$114.83$108.64$113.00
Max Pain$106.00$105.00$110.00$110.00$110.00
ATM IV22.1%16.8%28.4%17.2%28.4%
Expected Move7.1%4.9%8.2%4.9%8.2%
HV 20d12.6%11.1%14.8%14.8%13.6%
HV 60d17.6%16.8%18.5%18.5%16.8%
IV Rank24.3%10.9%40.1%11.8%40.1%
IV Percentile45.6%8.3%78.2%10.7%78.2%
Term Structure-0.8%-3.9%6.0%6.0%-3.9%
VWIV25.2%16.8%30.1%16.8%27.5%
Skew 25d4.3%2.8%6.2%5.1%4.9%
Skew 10d9.7%2.9%14.1%5.3%9.6%
Call IV 25d23.4%14.9%27.5%14.9%27.5%
Put IV 25d27.7%19.9%32.4%19.9%32.4%
Bid-Ask Spread %72.4765.80100.35100.3575.41
Gamma HHI0.230.200.290.200.22
Net GEX268.3K19.4K520.6K19.4K372.8K
Net DEX-3.1M-8.5M2.5M2.5M-3.7M
Net VEX-74.0K-78.0K-69.4K-77.8K-69.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.003.000.000.00
Total Volume94.22373392
Total OI5,5845,1456,0185,7195,262

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$108.64$110.0017.2%4.9%14.8%11.8%16.8%5.1%6.0%19.4K2.5M-77.8K0.00100.353902,6683,051
2013-11-04$109.30$105.0018.4%6.7%14.2%14.9%24.2%3.7%1.0%49.7K1.0M-77.0K1.0076.3623232,6873,051
2013-11-05$108.95$105.0019.2%6.9%11.1%16.9%24.0%3.7%0.7%57.7K1.5M-76.9K0.2573.4840102,7103,063
2013-11-06$109.82$105.0018.7%6.9%11.1%15.6%24.7%4.2%0.5%101.1K371.1K-78.0K0.3873.8792352,7383,063
2013-11-07$108.63$105.0017.8%6.9%11.1%13.4%23.8%4.2%0.3%72.7K2.3M-76.5K0.9468.9735332,7853,083
2013-11-08$110.18$105.0016.8%6.9%12.1%10.9%23.4%4.5%0.3%153.8K-523.6K-77.3K0.3865.941662,7933,101
2013-11-11$110.89$105.0017.6%7.0%12.0%12.8%25.3%4.8%-0.3%177.9K-1.7M-76.1K0.9066.2721192,8043,104
2013-11-12$110.46$105.0017.5%7.0%11.3%12.6%24.4%3.9%-0.1%178.8K-1.1M-74.4K3.0070.71132,8183,106
2013-11-13$111.89$105.0017.5%7.1%11.4%12.5%23.1%4.8%-0.3%221.6K-3.4M-74.7K0.1968.171632,8183,108
2013-11-14$113.41$105.0024.1%6.9%12.2%29.3%24.2%4.1%-0.2%348.4K-6.2M-74.1K0.2070.57312612,7843,084
2013-11-15$112.81$105.0023.5%6.8%12.4%27.8%24.8%4.0%0.0%339.2K-5.6M-75.4K0.3368.2558192,9113,107
2013-11-18$112.75$105.0023.9%6.8%12.3%28.6%25.3%4.7%-1.6%332.4K-4.7M-73.0K0.5666.9059332,6582,487
2013-11-19$112.79$105.0023.8%6.8%12.2%28.4%29.4%4.3%-1.2%353.5K-4.7M-73.6K1.2465.8021262,6902,514
2013-11-20$112.14$105.0025.7%7.4%12.2%33.2%25.9%3.3%-2.0%348.5K-4.1M-71.0K1.3872.7913182,6912,540
2013-11-21$114.39$105.0025.9%7.4%13.7%33.7%25.7%3.3%-2.5%422.9K-7.2M-70.2K0.1870.37110202,7042,540
2013-11-22$114.43$105.0025.4%7.3%13.6%32.4%24.7%2.8%-2.5%451.0K-7.5M-71.3K0.2369.53296692,7392,540
2013-11-25$114.83$105.0027.2%7.8%13.4%37.0%30.1%4.2%-3.7%520.6K-8.5M-71.1K0.0769.34160122,8502,598
2013-11-26$114.12$110.0026.9%7.7%13.7%36.2%27.7%4.5%-3.7%445.4K-5.1M-70.1K0.3581.8885302,5832,610
2013-11-27$114.20$110.0027.4%7.9%13.0%37.5%29.8%6.2%-3.8%398.9K-4.9M-71.6K1.5074.3926392,6222,615
2013-11-29$113.00$110.0028.4%8.2%13.6%40.1%27.5%4.9%-3.9%372.8K-3.7M-69.4K0.0075.41202,6232,639