FDS Options History — August 2014

In August 2014, FDS traded between $120.72 and $127.86. ATM implied volatility averaged 20.5%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.9% (HV 20d: 13.6%). Max pain ranged from $125.00 to $145.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.91.

Notable Days

  • 2014-08-28: Highest Volume — 729 contracts
  • 2014-08-14: Largest IV spike — 33.8% change
  • 2014-08-29: Highest IV Rank — 43.4%
  • 2014-08-06: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.41$120.72$127.86$120.72$127.40
Max Pain$125.95$125.00$145.00$145.00$125.00
ATM IV20.5%15.3%27.3%17.9%27.3%
Expected Move6.4%6.1%6.7%6.4%6.4%
HV 20d13.6%9.7%15.5%14.1%9.7%
HV 60d15.4%14.5%16.7%16.4%14.5%
IV Rank19.7%1.6%43.4%10.7%43.4%
IV Percentile50.1%2.4%81.0%26.2%81.0%
Term Structure-0.1%-4.8%4.3%4.3%-4.8%
VWIV23.5%19.9%30.7%22.1%21.5%
Skew 25d3.2%-0.4%7.1%7.1%2.5%
Skew 10d7.7%3.7%13.0%13.0%6.5%
Call IV 25d20.8%15.0%25.9%15.0%25.8%
Put IV 25d24.0%20.2%29.0%22.1%28.3%
Bid-Ask Spread %51.9530.3475.8043.8761.83
Gamma HHI0.410.200.660.590.24
Net GEX730.8K194.8K1.3M1.1M194.8K
Net DEX-13.8M-22.7M-5.4M-13.3M-5.4M
Net VEX-40.9K-52.0K-34.7K-52.0K-42.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.106.670.561.00
Total Volume118.0950729672
Total OI4,406.4763,1755,3655,0053,734

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$120.72$145.0017.9%6.4%14.1%10.7%22.1%7.1%4.3%1.1M-13.3M-52.0K0.5643.8743242,6382,367
2014-08-04$122.66$125.0018.7%6.4%15.3%13.4%24.3%3.1%0.4%1.1M-17.2M-45.8K2.4130.34611472,6302,387
2014-08-05$121.68$125.0019.1%6.6%15.3%14.6%23.0%3.4%0.7%1.1M-15.4M-48.3K3.5035.6318632,6582,477
2014-08-06$120.76$125.0019.6%6.7%15.5%16.3%0.0%3.9%-0.1%1.1M-13.5M-50.5K1.2839.1154692,6702,520
2014-08-07$121.10$125.0019.0%6.6%15.3%14.3%0.0%3.9%-0.2%1.2M-14.5M-49.0K6.6732.683202,7042,516
2014-08-08$121.85$125.0018.3%6.6%15.4%11.8%0.0%3.5%0.2%1.2M-16.5M-46.8K0.0048.67002,7072,516
2014-08-11$122.38$125.0017.8%6.5%15.1%10.2%0.0%3.4%0.3%1.3M-18.2M-41.9K0.3556.1940142,7072,516
2014-08-12$122.29$125.0020.1%6.5%15.1%18.2%0.0%3.1%-0.2%1.3M-19.0M-41.0K2.5041.0510252,7382,526
2014-08-13$122.92$125.0015.3%6.3%15.1%1.6%0.0%2.9%0.8%973.6K-20.8M-38.3K3.2751.66451472,7382,536
2014-08-14$122.92$125.0020.5%6.3%14.2%19.8%0.0%3.3%1.4%1.2M-19.6M-39.5K1.3359.6115202,7402,602
2014-08-15$124.01$125.0021.1%6.5%13.9%21.7%24.7%3.5%0.4%519.9K-22.7M-36.0K0.3753.67179662,7472,618
2014-08-18$124.84$125.0022.0%6.4%14.0%24.7%22.7%3.1%-1.1%331.7K-9.8M-35.0K0.3364.7639131,5791,788
2014-08-19$126.03$125.0022.1%6.5%13.8%25.1%19.9%3.5%-1.5%350.3K-10.8M-34.7K0.1048.95225221,6161,801
2014-08-20$126.55$125.0021.4%6.3%13.4%22.7%0.0%2.9%-0.6%422.5K-11.9M-37.8K1.1554.5413151,7681,821
2014-08-21$127.43$125.0021.1%6.4%12.6%21.6%30.7%3.5%0.1%431.2K-12.5M-37.5K1.2465.1717211,7811,835
2014-08-22$127.00$125.0021.1%6.4%12.7%21.8%0.0%2.8%-0.7%432.5K-12.5M-37.5K4.6850.43221031,7891,856
2014-08-25$127.41$125.0020.6%6.5%11.9%20.0%0.0%-0.4%1.4%377.5K-12.7M-36.3K0.6261.961381,7961,947
2014-08-26$127.86$125.0020.1%6.1%11.9%18.1%25.8%3.2%0.7%368.1K-12.9M-36.4K2.4061.3510241,7811,947
2014-08-27$127.85$125.0020.7%6.3%11.9%20.2%20.8%2.6%1.3%282.6K-5.9M-35.3K0.6653.6285561,2141,961
2014-08-28$126.89$125.0027.1%6.4%9.7%42.5%21.5%3.1%-4.7%250.9K-5.5M-38.1K3.8975.801495801,2991,965
2014-08-29$127.40$125.0027.3%6.4%9.7%43.4%0.0%2.5%-4.8%194.8K-5.4M-42.1K1.0061.83111,3772,357