FDS Options History — March 2014

In March 2014, FDS traded between $103.63 and $114.65. ATM implied volatility averaged 26.3%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.3% (HV 20d: 26.7%). Max pain ranged from $100.00 to $115.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.36.

Notable Days

  • 2014-03-14: Highest Volume — 3,154 contracts
  • 2014-03-13: Largest IV drop — 35.2% change
  • 2014-03-12: Highest IV Rank — 95.0%
  • 2014-03-06: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.53$103.63$114.65$104.18$107.81
Max Pain$105.95$100.00$115.00$115.00$105.00
ATM IV26.3%17.5%42.1%31.3%17.9%
Expected Move6.9%5.0%9.6%9.0%5.1%
HV 20d26.7%13.2%41.5%18.4%41.5%
HV 60d23.6%15.9%27.7%21.0%27.7%
IV Rank42.3%12.9%95.0%58.8%14.1%
IV Percentile56.7%6.0%99.2%88.5%9.5%
Term Structure-0.7%-7.6%4.7%-5.6%1.2%
VWIV24.2%17.6%34.1%31.6%18.0%
Skew 25d3.9%1.3%5.6%5.6%2.4%
Skew 10d8.2%1.7%13.0%5.2%5.8%
Call IV 25d23.2%17.6%30.9%29.8%17.9%
Put IV 25d27.1%19.8%36.2%35.4%20.2%
Bid-Ask Spread %76.3959.1988.0385.2080.63
Gamma HHI0.300.190.650.220.28
Net GEX180.9K-1.1M2.8M-515.1K293.2K
Net DEX1.3M-33.7M12.2M10.1M-3.0M
Net VEX-47.6K-55.4K-38.7K-39.1K-50.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.360.0627.410.210.20
Total Volume702.619343,15424171
Total OI7,304.1434,17613,9534,8914,534

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$104.18$115.0031.3%9.0%18.4%58.8%31.6%5.6%-5.6%-515.1K10.1M-39.1K0.2185.20199421,8043,087
2014-03-04$105.91$110.0032.3%9.3%13.9%62.1%31.8%5.3%-6.6%-411.4K7.5M-41.1K0.5482.4597521,9373,121
2014-03-05$105.68$110.0032.7%9.4%13.9%63.4%31.9%4.6%-6.7%-413.9K7.8M-41.8K0.3181.42252791,9573,156
2014-03-06$106.17$110.0033.3%9.6%13.8%65.7%34.1%5.2%-7.6%-388.4K7.3M-42.2K1.4785.1519282,0563,188
2014-03-07$104.92$105.0035.2%7.4%14.6%71.8%0.0%5.0%-0.4%-422.4K8.7M-41.1K25.2564.07287072,0673,214
2014-03-10$105.11$105.0037.3%7.6%14.2%78.9%27.4%5.0%-1.0%-689.8K10.2M-42.4K0.2559.191,7054182,0773,839
2014-03-11$105.74$105.0039.7%7.8%13.7%87.0%25.3%5.4%-2.6%86.2K4.1M-52.5K4.5567.86311413,5704,099
2014-03-12$105.52$105.0042.1%7.9%13.2%95.0%25.9%5.0%-2.0%10.0K5.4M-54.6K1.4365.5314203,5784,240
2014-03-13$103.63$105.0027.3%7.8%14.7%45.5%26.6%4.4%-1.4%-208.4K9.2M-51.8K0.6073.8098593,5874,260
2014-03-14$103.66$105.0027.6%7.9%14.7%46.6%27.3%5.2%-1.1%-202.6K9.4M-51.0K27.4169.401113,0433,6334,279
2014-03-17$104.54$105.0027.3%7.8%14.9%45.4%28.2%4.9%-0.6%-1.1M12.2M-55.4K0.3873.261,6546283,7327,280
2014-03-18$114.65$100.0019.2%5.5%35.7%18.3%20.2%3.9%3.6%1.6M-33.7M-38.7K0.2380.391,6183804,8977,520
2014-03-19$109.73$105.0019.2%5.5%39.8%18.5%19.4%1.3%3.1%2.8M-17.7M-47.5K2.6585.154301,1415,2887,744
2014-03-20$108.00$105.0018.9%5.4%39.7%17.5%20.4%3.0%3.9%1.1M-2.6M-54.6K0.6878.023882655,2788,651
2014-03-21$106.91$105.0019.4%5.6%39.8%19.0%19.8%2.4%4.7%779.8K1.7M-52.8K0.7578.0797735,3448,609
2014-03-24$108.10$105.0017.7%5.1%39.9%13.4%18.3%3.4%-0.1%204.6K-3.0M-48.8K0.0674.058452,0312,145
2014-03-25$109.15$105.0017.5%5.0%39.9%12.9%17.6%2.1%1.4%215.7K-4.8M-46.1K0.1177.72361382,0412,150
2014-03-26$106.36$105.0018.9%5.4%41.1%17.5%18.0%1.5%1.2%303.7K-1.2M-50.0K1.4473.95731052,2212,180
2014-03-27$105.08$105.0019.4%5.5%41.3%18.9%18.4%3.3%1.1%350.4K932.9K-47.6K0.7788.0379612,2572,202
2014-03-28$106.18$105.0018.9%5.4%41.4%17.5%23.1%2.8%0.9%360.1K-359.8K-50.5K1.2680.7927342,2992,235
2014-03-31$107.81$105.0017.9%5.1%41.5%14.1%18.0%2.4%1.2%293.2K-3.0M-50.0K0.2080.6359122,2992,235