FDS Options History — December 2013

In December 2013, FDS traded between $108.07 and $117.07. ATM implied volatility averaged 26.2%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.3% (HV 20d: 19.9%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 12.62.

Notable Days

  • 2013-12-12: Highest Volume — 6,098 contracts
  • 2013-12-12: Largest IV drop — 41.9% change
  • 2013-12-11: Highest IV Rank — 78.1%
  • 2013-12-05: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.82$108.07$117.07$113.46$108.58
Max Pain$113.33$110.00$115.00$110.00$110.00
ATM IV26.2%18.1%43.5%28.5%18.7%
Expected Move6.9%5.2%9.2%8.2%5.4%
HV 20d19.9%11.5%28.0%13.5%26.9%
HV 60d16.9%13.8%20.0%16.7%19.3%
IV Rank38.0%18.1%78.1%40.3%20.0%
IV Percentile62.8%19.0%98.8%78.6%26.2%
Term Structure-0.5%-8.0%3.6%-4.5%1.7%
VWIV25.9%18.3%38.0%31.0%18.3%
Skew 25d4.5%1.5%8.6%4.7%1.5%
Skew 10d9.9%-4.0%22.7%9.0%6.1%
Call IV 25d23.1%18.7%30.3%27.6%19.3%
Put IV 25d27.5%20.8%37.4%32.3%20.8%
Bid-Ask Spread %81.6267.5190.2885.2686.13
Gamma HHI0.370.170.960.230.19
Net GEX-2.4M-21.5M829.4K433.6K-263.5K
Net DEX11.1M-7.5M66.4M-4.1M7.0M
Net VEX-64.6K-97.7K-50.8K-66.2K-53.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.620.00233.540.034.21
Total Volume626.71496,0983873
Total OI7,076.9523,45613,4235,2614,047

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$113.46$110.0028.5%8.2%13.5%40.3%31.0%4.7%-4.5%433.6K-4.1M-66.2K0.0385.263712,6222,639
2013-12-03$113.36$110.0029.5%8.5%13.5%42.7%29.3%5.6%-5.6%429.4K-4.1M-65.2K8.0086.74182,6242,638
2013-12-04$113.49$110.0031.3%9.0%13.3%47.3%38.0%8.6%-6.9%415.8K-4.0M-65.8K0.4382.73732,6232,646
2013-12-05$113.43$110.0032.2%9.2%13.2%49.5%33.5%7.1%-8.0%403.4K-3.8M-64.6K0.6481.7028182,6272,647
2013-12-06$113.94$115.0032.6%7.0%12.3%50.6%0.0%4.7%0.5%456.8K-4.9M-63.9K0.7175.3745322,6382,665
2013-12-09$114.56$115.0035.9%7.2%11.6%58.8%0.0%5.4%-0.8%485.1K-5.9M-62.1K0.2674.25123322,6502,690
2013-12-10$114.49$115.0035.1%7.0%11.5%57.0%0.0%7.8%-0.0%570.4K-5.9M-61.1K0.6779.7030202,7412,718
2013-12-11$112.47$115.0043.5%7.9%13.3%78.1%25.7%8.4%-0.8%412.0K-3.0M-60.2K0.0081.2266302,7412,724
2013-12-12$114.11$115.0025.3%7.2%13.5%32.1%34.0%5.9%-0.2%829.4K-7.5M-64.3K233.5478.46266,0723,1972,724
2013-12-13$116.44$115.0027.9%8.0%14.5%49.3%31.4%5.1%-2.2%-2.3M6.7M-97.7K0.5076.355002503,2108,759
2013-12-16$117.07$115.0030.3%8.7%14.4%57.1%30.0%4.8%-3.7%-1.9M5.3M-93.8K1.2371.567048673,4578,912
2013-12-17$109.62$115.0021.4%6.1%28.0%28.7%21.8%3.3%3.6%-7.2M51.8M-77.2K0.4085.451,6646593,9149,496
2013-12-18$109.92$115.0021.6%6.2%28.0%29.4%22.2%2.6%2.2%-9.2M51.6M-74.1K0.9790.2861593,8129,611
2013-12-19$109.37$115.0021.1%6.1%28.0%27.6%0.0%2.7%2.6%-10.9M57.7M-66.1K0.2183.081943,6289,430
2013-12-20$109.45$115.0020.1%5.8%26.9%24.4%21.3%3.8%3.5%-21.5M66.4M-58.9K6.0485.92573443,6139,427
2013-12-23$109.39$115.0019.8%5.7%26.9%23.5%20.2%3.3%2.3%-189.9K5.4M-50.8K3.2667.51471531,4981,958
2013-12-24$109.31$115.0019.4%5.6%26.8%22.1%18.7%3.2%1.8%-234.0K5.6M-52.4K0.6682.7985561,5302,095
2013-12-26$108.07$115.0018.6%5.3%27.0%19.6%20.0%1.8%1.2%-252.0K6.4M-50.9K1.6785.23831391,5962,130
2013-12-27$108.79$110.0018.9%5.4%27.2%20.6%18.6%1.7%0.4%-232.3K6.5M-54.3K0.5289.1163331,6652,260
2013-12-30$108.88$110.0018.1%5.2%27.0%18.1%18.3%2.2%1.9%-268.9K6.7M-53.5K1.1185.1645501,7212,293
2013-12-31$108.58$110.0018.7%5.4%26.9%20.0%0.0%1.5%1.7%-263.5K7.0M-53.3K4.2186.1314591,7342,313