FDS Options History — July 2014

In July 2014, FDS traded between $119.09 and $122.70. ATM implied volatility averaged 16.0%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.7% (HV 20d: 15.3%). Max pain ranged from $115.00 to $165.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 11.25.

Notable Days

  • 2014-07-10: Highest Volume — 394 contracts
  • 2014-07-25: Largest IV spike — 9.1% change
  • 2014-07-31: Highest IV Rank — 8.9%
  • 2014-07-22: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.94$119.09$122.70$120.60$120.13
Max Pain$124.38$115.00$165.00$115.00$165.00
ATM IV16.0%14.9%17.4%15.0%17.4%
Expected Move5.3%4.3%6.6%4.3%6.5%
HV 20d15.3%12.1%18.8%17.8%14.3%
HV 60d15.9%15.4%16.9%16.9%16.4%
IV Rank3.9%0.0%8.9%0.0%8.9%
IV Percentile5.2%0.0%17.5%0.0%17.5%
Term Structure4.1%0.9%5.5%0.9%4.9%
VWIV16.3%12.2%19.4%14.1%12.2%
Skew 25d2.3%0.9%3.6%2.5%1.5%
Skew 10d5.2%-0.5%11.0%3.9%-0.5%
Call IV 25d15.6%13.9%18.1%14.1%18.1%
Put IV 25d17.9%15.7%19.7%16.5%19.7%
Bid-Ask Spread %73.4432.3299.3095.6836.92
Gamma HHI0.660.560.830.620.62
Net GEX1.6M931.8K3.2M1.5M1.1M
Net DEX-16.3M-19.2M-12.2M-17.3M-12.7M
Net VEX-56.8K-65.8K-49.3K-53.8K-52.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.250.00130.331.0032.33
Total Volume112.6821039450100
Total OI5,120.1364,6005,9764,6004,921

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$120.60$115.0015.0%4.3%17.8%0.0%14.1%2.5%0.9%1.5M-17.3M-53.8K1.0095.6825252,6391,961
2014-07-02$120.55$115.0015.1%4.3%17.8%0.4%15.1%1.6%1.0%1.5M-17.1M-53.8K0.7599.3052392,6611,986
2014-07-03$121.46$115.0014.9%4.3%17.8%0.0%14.9%1.8%1.3%1.5M-18.8M-52.7K0.0095.272302,6792,008
2014-07-07$121.53$115.0016.0%4.7%17.8%3.8%15.7%2.4%3.7%1.6M-19.1M-51.6K0.1488.04165232,7002,008
2014-07-08$120.58$115.0015.5%4.7%18.4%2.2%16.6%1.2%4.4%1.7M-17.7M-54.4K8.3289.54282332,8152,031
2014-07-09$120.45$115.0014.9%4.6%18.5%0.1%16.3%2.3%3.9%1.7M-16.3M-58.6K0.0089.8625812,8422,191
2014-07-10$119.57$115.0016.1%4.6%18.8%4.2%17.3%1.4%4.3%1.9M-15.6M-62.7K130.3389.0133913,0932,198
2014-07-11$120.00$115.0015.8%4.5%18.2%3.1%15.8%0.9%4.5%1.8M-15.7M-65.8K0.0094.051003,0942,588
2014-07-14$121.22$115.0016.3%4.7%18.4%4.9%17.9%2.7%4.4%1.9M-19.2M-60.9K42.4489.2593823,1032,588
2014-07-15$121.06$115.0016.3%4.7%18.4%4.8%17.5%2.4%4.4%2.1M-19.1M-61.7K0.5492.04119643,1042,749
2014-07-16$120.61$115.0016.2%4.7%14.4%4.7%16.0%1.9%4.7%2.3M-18.4M-63.7K4.7193.077333,2052,771
2014-07-17$119.09$115.0016.1%4.6%12.4%4.4%19.2%2.2%4.3%2.3M-12.5M-63.7K5.2594.5112633,1832,761
2014-07-18$120.51$115.0016.0%4.6%12.7%3.9%16.5%2.9%4.6%3.2M-17.5M-62.5K0.2892.042983,1842,780
2014-07-21$120.26$0.0015.9%6.5%12.5%3.5%0.0%2.4%5.2%945.6K-12.2M-58.3K11.3368.716682,5722,228
2014-07-22$121.67$0.0016.5%6.6%12.2%5.6%0.0%3.6%4.6%931.8K-14.5M-56.3K0.4366.5623102,5782,239
2014-07-23$120.83$0.0015.7%6.5%12.1%2.7%0.0%3.0%5.3%1.0M-13.9M-56.1K2.7563.3212332,5992,239
2014-07-24$122.70$0.0015.2%6.3%13.0%1.0%0.0%2.8%5.5%978.8K-17.2M-53.3K0.3834.2584322,6092,219
2014-07-25$122.34$0.0016.6%6.3%13.1%5.8%0.0%2.9%5.2%1.0M-16.7M-53.1K1.8632.327132,6142,245
2014-07-28$121.17$0.0016.6%6.3%12.3%5.9%19.4%1.2%5.5%1.1M-14.6M-53.0K1.0033.5417172,6142,258
2014-07-29$121.92$165.0017.0%6.2%12.4%7.4%0.0%3.1%4.8%1.1M-16.2M-51.1K0.8735.9915132,6262,261
2014-07-30$122.41$165.0017.3%6.1%12.5%8.5%0.0%3.3%3.6%1.1M-16.8M-49.3K2.8642.517202,6372,262
2014-07-31$120.13$165.0017.4%6.5%14.3%8.9%12.2%1.5%4.9%1.1M-12.7M-52.5K32.3336.923972,6392,282