FDS Options History — May 2014

In May 2014, FDS traded between $104.80 and $109.27. ATM implied volatility averaged 21.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 6.2% (HV 20d: 14.8%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.49.

Notable Days

  • 2014-05-15: Highest Volume — 1,452 contracts
  • 2014-05-15: Largest IV spike — 49.8% change
  • 2014-05-30: Highest IV Rank — 40.3%
  • 2014-05-30: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.39$104.80$109.27$106.32$107.14
Max Pain$107.38$105.00$110.00$105.00$105.00
ATM IV21.0%16.2%27.3%17.7%27.3%
Expected Move6.7%4.8%7.8%5.1%7.8%
HV 20d14.8%12.3%16.7%16.2%16.5%
HV 60d26.6%26.2%27.0%26.4%26.8%
IV Rank21.3%5.1%40.3%13.4%40.3%
IV Percentile37.1%0.4%74.2%9.9%74.2%
Term Structure-1.2%-4.9%6.2%6.2%-4.9%
VWIV24.3%15.6%28.8%15.6%28.8%
Skew 25d4.1%2.8%5.2%4.0%3.1%
Skew 10d6.8%-2.0%9.8%5.5%-2.0%
Call IV 25d22.0%16.1%25.7%16.1%25.7%
Put IV 25d26.2%19.3%28.8%20.0%28.8%
Bid-Ask Spread %71.9762.4083.3683.3665.95
Gamma HHI0.230.150.330.160.28
Net GEX115.4K-283.7K611.5K136.7K330.6K
Net DEX-1.5M-6.3M3.0M-1.1M-3.1M
Net VEX-43.8K-52.7K-30.9K-39.7K-52.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.490.009.230.000.37
Total Volume277.476131,45213181
Total OI5,065.7624,1216,1664,1216,166

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$106.32$105.0017.7%5.1%16.2%13.4%15.6%4.0%6.2%136.7K-1.1M-39.7K0.0083.361301,7532,368
2014-05-02$105.25$105.0016.7%4.8%16.5%10.1%16.6%2.8%6.0%82.9K852.7K-42.8K0.4983.0935171,7572,368
2014-05-05$105.57$110.0017.4%6.7%15.8%12.5%28.6%4.6%-0.7%114.4K255.0K-40.6K3.3268.561354481,7702,374
2014-05-06$104.87$110.0017.3%6.7%15.7%12.1%22.3%4.0%-0.8%-251.3K2.9M-42.3K0.0062.401301,8312,792
2014-05-07$105.51$110.0017.3%6.8%15.9%12.1%23.5%5.2%-1.1%-145.7K848.3K-38.1K1.0071.0318181,8382,792
2014-05-08$104.98$110.0017.1%6.8%15.2%11.3%25.4%4.4%-0.9%-230.5K2.5M-40.5K4.1467.3622911,8312,796
2014-05-09$105.11$110.0016.3%6.7%13.9%8.6%22.5%4.7%-0.5%-273.4K2.4M-39.6K0.0068.232901,8312,854
2014-05-12$107.21$110.0017.7%6.9%12.7%13.4%23.1%5.2%-0.7%-30.8K-3.9M-34.8K0.3565.3855191,8302,854
2014-05-13$106.48$110.0017.8%7.0%12.3%13.0%25.7%4.7%-1.4%-94.5K-2.8M-35.0K9.2370.77131201,8472,860
2014-05-14$105.58$110.0016.2%7.0%12.6%5.1%24.0%3.8%-1.1%-283.7K113.9K-34.6K0.8669.8921181,8582,909
2014-05-15$104.80$110.0024.3%7.0%12.4%33.2%25.5%4.7%-1.0%-281.9K3.0M-30.9K0.9867.547327201,8552,863
2014-05-16$105.37$110.0023.6%6.8%12.6%27.0%23.5%4.8%-0.4%-79.1K-4.2M-40.8K0.0068.281,08952,5763,573
2014-05-19$107.19$105.0023.6%6.8%14.0%26.8%23.1%3.6%-2.8%576.1K-4.3M-48.2K8.9971.18847552,3372,531
2014-05-20$105.69$105.0023.6%6.8%15.0%26.9%26.0%5.0%-2.5%258.9K-334.8K-52.2K1.1277.1633372,3992,939
2014-05-21$106.32$105.0023.8%6.8%14.6%27.5%23.9%4.0%-2.1%334.1K-1.6M-50.1K1.6970.9613222,4172,968
2014-05-22$107.96$105.0022.6%6.5%15.3%23.3%22.7%4.6%-2.6%467.2K-3.9M-51.7K0.1074.173032,4302,968
2014-05-23$109.27$105.0023.0%6.6%15.6%24.7%26.6%3.3%-2.3%611.5K-6.3M-50.6K8.4974.19615182,4542,967
2014-05-27$108.88$105.0025.1%7.2%15.6%32.3%28.8%3.3%-3.7%477.3K-5.4M-51.1K4.9577.7720992,5043,312
2014-05-28$107.12$105.0026.7%7.6%16.7%38.1%27.5%3.1%-4.3%354.7K-3.5M-51.1K5.4576.26331802,5223,395
2014-05-29$107.66$105.0025.8%7.4%16.4%34.9%26.2%3.9%-4.4%349.7K-3.8M-52.7K0.8177.9370572,5333,559
2014-05-30$107.14$105.0027.3%7.8%16.5%40.3%28.8%3.1%-4.9%330.6K-3.1M-52.5K0.3765.95132492,5923,574