FDS Options History — April 2014

In April 2014, FDS traded between $102.49 and $108.21. ATM implied volatility averaged 18.2%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 11.5% (HV 20d: 29.7%). Max pain ranged from $105.00 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.63.

Notable Days

  • 2014-04-17: Highest Volume — 1,793 contracts
  • 2014-04-11: Largest IV spike — 23.0% change
  • 2014-04-11: Highest IV Rank — 34.8%
  • 2014-04-11: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.53$102.49$108.21$108.21$106.50
Max Pain$105.00$105.00$105.00$105.00$105.00
ATM IV18.2%16.3%24.1%16.6%18.1%
Expected Move5.3%4.7%6.9%4.7%5.2%
HV 20d29.7%15.8%42.6%41.2%16.3%
HV 60d27.7%26.4%28.4%27.7%26.4%
IV Rank15.2%8.6%34.8%9.6%14.6%
IV Percentile16.6%1.2%65.1%1.6%15.9%
Term Structure4.3%-1.3%6.7%1.7%5.3%
VWIV18.1%10.4%23.6%10.4%18.8%
Skew 25d3.3%1.8%4.1%1.8%4.1%
Skew 10d5.6%0.1%11.2%4.8%9.5%
Call IV 25d17.4%15.0%19.0%17.4%16.0%
Put IV 25d20.7%18.4%22.5%19.2%20.0%
Bid-Ask Spread %84.3977.1591.2491.2483.11
Gamma HHI0.370.140.730.280.15
Net GEX531.1K48.3K1.8M287.6K119.0K
Net DEX452.5K-4.0M5.6M-4.0M-1.1M
Net VEX-42.0K-48.9K-34.1K-48.9K-42.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.005.671.400.00
Total Volume143.85741,7931220
Total OI4,374.813,5874,7484,5834,101

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$108.21$105.0016.6%4.7%41.2%9.6%0.0%1.8%1.7%287.6K-4.0M-48.9K1.4091.24572,3622,221
2014-04-02$107.78$105.0016.3%4.7%41.2%8.6%10.4%3.4%2.5%315.2K-3.3M-48.6K0.8883.5624212,3672,228
2014-04-03$107.38$105.0018.4%5.3%41.2%15.7%11.7%3.9%0.4%341.3K-2.7M-46.8K0.8887.2524212,3822,229
2014-04-04$105.81$105.0017.8%5.4%41.3%13.6%18.7%2.2%4.7%494.5K-28.2K-46.4K0.9381.6015142,3932,248
2014-04-07$105.06$105.0018.7%5.7%41.4%16.8%19.9%3.8%4.0%583.4K1.7M-43.3K0.6783.2048322,3932,254
2014-04-08$105.31$105.0018.1%5.7%41.4%14.7%21.4%3.7%4.4%652.3K1.3M-42.9K0.1781.68121212,4352,265
2014-04-09$106.71$105.0018.3%5.6%41.6%15.4%17.0%3.8%4.3%503.2K-1.1M-43.1K0.0086.003902,4282,284
2014-04-10$104.86$105.0019.6%5.6%41.6%19.7%0.0%3.1%3.9%822.0K2.1M-40.9K0.0883.651212,4122,284
2014-04-11$102.49$105.0024.1%6.9%42.4%34.8%23.6%3.5%-1.3%702.9K5.6M-36.9K2.1785.3930652,4182,284
2014-04-14$103.90$105.0018.9%5.4%42.6%17.2%0.0%3.7%5.0%849.5K4.8M-36.0K5.6786.556342,4292,309
2014-04-15$104.57$105.0018.8%5.4%25.2%17.0%0.0%3.3%4.6%1.3M3.4M-37.3K0.9684.8223222,4352,313
2014-04-16$105.58$105.0018.6%5.3%20.9%16.4%0.0%2.1%4.6%1.8M203.0K-36.7K1.3390.22682,4222,279
2014-04-17$105.77$105.0018.0%5.2%20.3%14.3%18.0%3.3%4.3%1.8M-2.6M-34.1K0.7889.051,0097842,4252,166
2014-04-21$105.62$105.0017.7%5.1%20.0%13.4%17.7%2.9%6.1%174.7K-239.0K-41.1K2.5283.60481211,6051,982
2014-04-22$105.66$105.0017.4%5.0%19.5%12.6%19.1%2.5%5.8%105.5K103.8K-42.6K4.0478.40281131,6462,092
2014-04-23$104.63$105.0017.6%5.1%19.3%13.2%17.8%3.2%5.6%51.6K1.5M-43.0K0.1177.156371,6622,190
2014-04-24$105.47$105.0017.2%4.9%17.4%11.8%21.2%3.9%6.3%93.6K404.2K-42.7K5.2584.064211,7102,197
2014-04-25$104.98$105.0016.9%4.8%17.0%10.7%0.0%3.1%6.7%77.1K997.0K-43.0K2.1782.0523501,7132,218
2014-04-28$104.54$105.0018.4%5.3%16.5%15.6%18.8%3.7%5.5%48.3K1.7M-41.6K2.6388.6835921,7222,268
2014-04-29$105.34$105.0017.9%5.1%15.8%14.1%0.0%3.2%5.1%72.2K701.4K-43.8K0.0081.01401,7522,348
2014-04-30$106.50$105.0018.1%5.2%16.3%14.6%0.0%4.1%5.3%119.0K-1.1M-42.9K0.0083.110201,7532,348