FDS Options History — September 2014

In September 2014, FDS traded between $120.82 and $128.68. ATM implied volatility averaged 23.3%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 11.2% (HV 20d: 12.0%). Max pain ranged from $125.00 to $125.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2014-09-15: Highest Volume — 1,578 contracts
  • 2014-09-11: Largest IV drop — 36.7% change
  • 2014-09-10: Highest IV Rank — 76.9%
  • 2014-09-15: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$125.28$120.82$128.68$127.86$121.53
Max Pain$125.00$125.00$125.00$125.00$125.00
ATM IV23.3%15.8%36.9%29.0%17.9%
Expected Move6.3%5.8%6.6%6.5%6.4%
HV 20d12.0%6.7%17.1%8.3%17.0%
HV 60d13.8%11.7%14.5%14.4%14.1%
IV Rank29.3%3.1%76.9%49.4%10.5%
IV Percentile50.1%4.0%96.8%86.1%27.0%
Term Structure-0.5%-8.1%4.5%-6.4%-0.2%
VWIV21.2%10.9%29.3%29.3%10.9%
Skew 25d3.1%1.2%5.8%1.2%2.1%
Skew 10d7.7%4.2%14.8%5.8%8.3%
Call IV 25d20.2%14.8%29.7%29.7%17.1%
Put IV 25d23.2%17.3%32.9%30.9%19.2%
Bid-Ask Spread %61.9641.7179.9766.3041.71
Gamma HHI0.260.190.410.250.20
Net GEX11.7K-605.6K283.1K215.4K-65.1K
Net DEX-2.5M-6.6M2.2M-5.9M1.5M
Net VEX-37.3K-40.6K-33.8K-40.6K-35.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.006.170.326.17
Total Volume284.76241,57866373
Total OI3,7352,4215,7623,7352,748

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$127.86$125.0029.0%6.5%8.3%49.4%0.0%1.2%-6.4%215.4K-5.9M-40.6K0.3266.3050161,3762,359
2014-09-03$128.31$125.0029.5%6.4%7.5%51.1%29.3%2.8%-7.0%202.0K-5.9M-40.0K0.0046.040531,3822,367
2014-09-04$127.94$125.0030.3%6.4%6.7%53.9%0.0%3.7%-8.1%208.8K-5.8M-39.6K1.0065.47221,3822,325
2014-09-05$128.68$125.0030.6%6.5%6.8%55.0%0.0%3.7%-0.4%216.0K-6.2M-38.4K0.1355.58103131,3842,336
2014-09-08$128.52$125.0034.7%6.4%6.9%69.1%0.0%2.9%-0.4%283.1K-6.6M-38.4K0.8048.8330241,4682,348
2014-09-09$127.03$125.0036.1%6.4%8.5%74.2%21.7%1.9%0.5%252.4K-5.7M-37.7K2.8464.98371051,4752,348
2014-09-10$127.57$125.0036.9%6.5%8.5%76.9%0.0%3.2%-0.6%206.9K-5.3M-37.7K1.5062.8922331,4552,438
2014-09-11$127.58$125.0023.4%6.4%8.4%29.6%0.0%2.4%-1.0%219.0K-5.5M-37.9K0.0066.46401,4772,443
2014-09-12$127.88$125.0023.2%6.3%8.4%29.0%0.0%2.7%-0.5%220.1K-5.5M-37.0K1.1061.6186951,4742,443
2014-09-15$126.14$125.0025.6%6.6%9.7%37.5%0.0%3.1%-1.6%169.6K-4.2M-36.6K1.9165.685431,0351,5592,500
2014-09-16$126.76$125.0017.8%5.8%9.6%10.0%0.0%3.9%2.9%251.8K-4.9M-40.1K1.3179.976748831,9163,326
2014-09-17$122.80$125.0016.8%5.8%14.5%6.5%20.4%3.1%3.8%-530.3K2.1M-39.4K1.9271.331723302,2473,515
2014-09-18$125.06$125.0016.7%6.0%16.0%6.2%0.0%3.8%3.9%-605.6K-2.5M-38.5K2.3968.38771842,0073,406
2014-09-19$124.09$125.0015.9%6.2%15.9%3.4%20.3%1.2%4.5%-474.4K-731.0K-38.5K4.1960.93471972,0423,499
2014-09-22$124.06$125.0015.8%6.0%15.9%3.1%0.0%3.6%0.7%23.4K-99.2K-34.9K0.1270.23108131,2531,237
2014-09-23$122.27$125.0018.4%6.3%16.5%12.2%0.0%3.3%-1.1%-128.3K1.8M-33.8K0.3165.24137421,1861,235
2014-09-24$122.52$125.0017.2%6.0%16.4%8.0%24.3%2.7%0.4%-121.9K1.4M-35.1K1.3162.66841101,3081,268
2014-09-25$120.82$125.0017.2%6.1%16.9%8.2%0.0%3.0%0.5%-132.4K2.2M-34.0K1.4656.4435511,3311,241
2014-09-26$121.44$125.0017.4%6.3%17.1%8.8%0.0%4.4%0.3%-104.0K2.1M-34.8K0.5453.3370381,3601,268
2014-09-29$122.06$125.0018.6%6.2%17.1%13.0%10.9%5.8%-0.1%-59.7K1.6M-35.2K0.8567.0955471,4081,295
2014-09-30$121.53$125.0017.9%6.4%17.0%10.5%0.0%2.1%-0.2%-65.1K1.5M-35.3K6.1741.71523211,4431,305