FDS Options History — January 2014

In January 2014, FDS traded between $103.62 and $109.00. ATM implied volatility averaged 20.5%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.4% (HV 20d: 20.1%). Max pain ranged from $110.00 to $110.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.55.

Notable Days

  • 2014-01-02: Highest Volume — 211 contracts
  • 2014-01-13: Largest IV spike — 39.1% change
  • 2014-01-14: Highest IV Rank — 61.6%
  • 2014-01-06: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.91$103.62$109.00$108.48$105.77
Max Pain$110.00$110.00$110.00$110.00$110.00
ATM IV20.5%18.3%31.7%18.9%19.6%
Expected Move5.6%5.3%6.1%5.4%5.6%
HV 20d20.1%10.2%27.7%26.9%17.4%
HV 60d18.9%18.4%19.9%19.1%19.9%
IV Rank25.6%18.7%61.6%20.5%22.9%
IV Percentile41.2%22.6%89.3%27.8%36.5%
Term Structure4.7%0.7%7.2%0.7%7.2%
VWIV19.4%17.2%21.4%19.2%17.2%
Skew 25d2.9%1.8%4.4%1.9%2.1%
Skew 10d7.0%1.6%11.2%7.6%5.1%
Call IV 25d18.9%16.8%20.3%19.2%19.3%
Put IV 25d21.8%20.7%22.6%21.1%21.3%
Bid-Ask Spread %81.5868.5391.6880.8886.95
Gamma HHI0.260.200.300.200.24
Net GEX-331.0K-451.1K-196.8K-303.5K-412.2K
Net DEX8.4M5.7M11.0M6.7M9.2M
Net VEX-47.0K-54.6K-39.3K-54.6K-41.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.006.140.550.44
Total Volume61.714521121112
Total OI4,289.0953,8994,5974,0994,209

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$108.48$110.0018.9%5.4%26.9%20.5%19.2%1.9%0.7%-303.5K6.7M-54.6K0.5580.88136751,7472,352
2014-01-03$108.47$110.0018.3%5.3%26.9%18.7%18.8%2.3%1.2%-196.8K6.6M-54.6K0.6482.761171,8682,402
2014-01-06$106.36$110.0021.1%6.1%27.6%27.5%20.9%2.1%4.4%-278.6K8.6M-50.5K3.0372.0332971,8762,402
2014-01-07$107.11$110.0021.5%5.9%27.7%29.0%20.4%2.7%4.6%-293.6K8.6M-51.2K6.1474.737431,8902,474
2014-01-08$106.98$110.0020.5%5.8%27.5%25.6%20.3%2.5%4.2%-310.9K8.8M-51.6K1.2874.34921181,8892,507
2014-01-09$106.26$110.0019.1%5.8%27.5%21.3%19.5%3.1%4.3%-371.8K10.1M-48.8K0.7768.5313101,9542,612
2014-01-10$106.81$110.0018.5%5.7%27.2%19.4%0.0%3.1%4.5%-358.7K9.6M-48.8K3.3378.093101,9642,620
2014-01-13$106.58$110.0025.8%5.8%26.4%42.7%0.0%2.3%4.9%-330.5K9.4M-48.1K0.0079.85051,9662,627
2014-01-14$107.16$110.0031.7%5.8%25.1%61.6%0.0%2.8%4.4%-303.8K8.5M-50.1K0.0083.302201,9662,628
2014-01-15$107.65$110.0020.9%5.4%25.1%26.8%21.4%2.9%4.8%-287.0K8.4M-48.1K0.1479.792941,9592,613
2014-01-16$108.13$110.0018.5%5.3%10.2%19.2%21.3%4.4%4.8%-254.7K8.0M-47.8K3.0084.49391,9752,615
2014-01-17$106.89$110.0020.3%5.8%10.9%25.0%20.1%2.5%4.5%-365.9K9.3M-45.2K0.9489.9532301,9782,619
2014-01-21$108.58$110.0018.4%5.3%12.3%19.1%18.1%3.9%5.6%-296.8K6.4M-45.5K0.7980.0858461,5362,363
2014-01-22$109.00$110.0018.4%5.3%12.4%19.1%18.5%3.9%5.3%-285.0K5.7M-46.7K0.6279.9142261,5642,389
2014-01-23$108.99$110.0018.9%5.4%12.4%20.5%18.9%3.8%5.4%-270.4K6.0M-46.6K0.0087.634501,6062,415
2014-01-24$106.10$110.0020.0%5.7%15.6%24.0%0.0%2.3%5.5%-352.8K8.0M-43.7K0.0086.590131,6082,415
2014-01-27$105.76$110.0020.5%5.9%15.2%25.7%17.6%3.6%5.2%-380.9K8.8M-41.7K1.0984.3432351,6082,428
2014-01-28$104.84$110.0019.8%5.7%15.1%23.4%20.0%1.8%5.5%-421.6K9.8M-41.1K4.1085.4420821,6402,456
2014-01-29$103.62$110.0019.8%5.7%15.5%23.3%20.9%2.8%5.5%-451.1K11.0M-39.3K0.9691.6823221,6502,514
2014-01-30$105.66$110.0019.6%5.6%17.3%22.8%17.6%4.0%6.6%-425.0K9.6M-40.9K0.4481.8236161,6392,528
2014-01-31$105.77$110.0019.6%5.6%17.4%22.9%17.2%2.1%7.2%-412.2K9.2M-41.4K0.0086.950121,6672,542