FDS Options History — June 2014

In June 2014, FDS traded between $107.48 and $120.28. ATM implied volatility averaged 24.2%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 7.1% (HV 20d: 17.1%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 41.22.

Notable Days

  • 2014-06-11: Highest Volume — 3,137 contracts
  • 2014-06-12: Largest IV drop — 34.5% change
  • 2014-06-11: Highest IV Rank — 79.7%
  • 2014-06-05: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$113.69$107.48$120.28$108.03$120.28
Max Pain$110.95$105.00$115.00$105.00$115.00
ATM IV24.2%15.1%38.1%28.8%15.5%
Expected Move6.3%4.3%9.0%8.3%4.4%
HV 20d17.1%14.7%19.4%16.2%18.2%
HV 60d20.9%16.2%26.9%26.9%17.2%
IV Rank29.5%0.0%79.7%45.9%1.5%
IV Percentile46.2%0.0%96.8%81.0%0.4%
Term Structure-1.2%-7.6%3.1%-6.5%0.7%
VWIV22.2%15.1%34.2%29.8%16.4%
Skew 25d3.3%1.7%4.7%4.3%3.3%
Skew 10d7.1%-1.2%11.4%8.4%7.3%
Call IV 25d20.6%13.6%29.3%27.1%13.6%
Put IV 25d23.9%16.8%33.3%31.4%16.9%
Bid-Ask Spread %82.1458.9895.5858.9895.58
Gamma HHI0.410.280.610.290.61
Net GEX169.2K-1.3M1.4M415.0K1.4M
Net DEX-10.3M-25.4M377.1K-4.8M-16.3M
Net VEX-48.7K-60.0K-36.7K-54.4K-53.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio41.220.04783.253.331.61
Total Volume661.14393,13720899
Total OI7,316.3333,28911,8776,3244,443

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$108.03$105.0028.8%8.3%16.2%45.9%29.8%4.3%-6.5%415.0K-4.8M-54.4K3.3358.98481602,7113,613
2014-06-03$107.48$105.0030.3%8.7%16.3%51.5%31.2%2.4%-6.2%338.6K-4.2M-54.1K15.7167.69172672,7363,720
2014-06-04$108.63$105.0029.3%8.4%16.4%47.7%30.2%4.3%-6.5%335.1K-5.4M-54.3K0.6566.2820132,7413,981
2014-06-05$108.99$105.0031.3%9.0%16.4%54.9%34.2%4.0%-7.6%374.9K-6.3M-53.8K0.0071.660722,7433,984
2014-06-06$110.06$110.0032.7%6.7%16.4%60.1%21.2%4.7%-1.3%475.2K-8.3M-50.4K3.5079.73272,7434,040
2014-06-09$110.70$110.0036.2%7.0%16.5%72.8%24.4%4.6%-1.1%490.9K-9.6M-46.3K3.8177.71271032,7454,033
2014-06-10$111.12$110.0037.5%7.2%15.2%77.5%26.3%4.0%-1.6%492.0K-10.1M-45.8K0.4979.4383412,7644,081
2014-06-11$110.92$110.0038.1%7.2%14.9%79.7%25.5%3.8%-1.8%508.1K-9.9M-46.3K783.2580.3843,1332,7864,090
2014-06-12$112.75$110.0024.9%7.1%15.2%31.8%25.2%3.6%-1.8%-1.3M377.1K-60.0K0.9581.271491412,7907,087
2014-06-13$112.76$110.0024.4%7.0%14.7%30.0%24.4%2.7%-1.0%-1.2M-495.5K-58.8K0.7482.257495512,8917,115
2014-06-16$113.01$110.0026.6%7.6%14.7%37.8%27.1%2.3%-3.2%-1.3M-1.1M-55.3K1.3778.689301,2743,0187,441
2014-06-17$117.00$110.0018.2%5.2%17.8%7.3%19.1%2.1%1.4%-502.7K-24.9M-38.8K3.7185.595872,1773,7278,150
2014-06-18$114.34$110.0017.3%5.0%19.3%3.9%17.8%1.7%2.2%-500.1K-17.9M-36.7K1.0690.743443653,7877,494
2014-06-19$115.23$115.0017.4%5.0%19.3%4.4%18.4%2.9%3.1%-1.3M-19.9M-41.0K1.2987.7648623,7267,642
2014-06-20$116.40$115.0017.1%4.9%19.0%3.3%16.7%3.3%2.9%-177.0K-25.4M-38.0K0.0488.64430163,7307,620
2014-06-23$118.00$115.0016.8%4.8%19.1%2.1%16.2%2.5%0.9%629.9K-7.8M-36.8K0.2984.71168481,5501,739
2014-06-24$117.03$115.0017.3%5.0%19.4%4.0%15.9%2.4%0.1%576.6K-7.0M-37.5K0.0589.751,159631,5751,758
2014-06-25$117.16$115.0016.9%4.9%18.0%2.6%15.4%3.8%0.9%1.2M-10.8M-51.5K2.1892.5434742,3831,777
2014-06-26$117.77$115.0016.2%4.6%18.0%0.0%16.0%3.9%0.3%1.2M-11.6M-52.8K0.1891.61179332,4041,849
2014-06-27$119.88$115.0015.1%4.3%18.2%0.0%15.1%2.2%1.0%1.4M-15.5M-55.9K0.2094.02172352,5551,881
2014-06-30$120.28$115.0015.5%4.4%18.2%1.5%16.4%3.3%0.7%1.4M-16.3M-53.4K1.6195.5838612,5571,886