FDS Options History — October 2014

In October 2014, FDS traded between $117.21 and $131.49. ATM implied volatility averaged 21.2%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.9% (HV 20d: 20.3%). Max pain ranged from $125.00 to $125.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.45.

Notable Days

  • 2014-10-09: Highest Volume — 847 contracts
  • 2014-10-13: Largest IV spike — 62.4% change
  • 2014-10-13: Highest IV Rank — 67.0%
  • 2014-10-13: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$123.82$117.21$131.49$120.49$131.49
Max Pain$125.00$125.00$125.00$125.00$125.00
ATM IV21.2%17.7%34.1%18.4%18.5%
Expected Move6.8%6.2%7.6%6.2%6.8%
HV 20d20.3%17.0%23.3%17.0%20.0%
HV 60d16.0%14.2%17.1%14.2%16.4%
IV Rank22.2%9.7%67.0%12.3%12.7%
IV Percentile52.3%23.0%94.8%34.9%37.3%
Term Structure3.0%-0.1%5.6%0.3%4.4%
VWIV24.9%22.3%26.7%22.4%25.7%
Skew 25d3.6%0.7%7.2%2.7%1.7%
Skew 10d7.7%2.9%14.3%4.9%4.1%
Call IV 25d19.0%13.9%23.3%18.0%17.6%
Put IV 25d22.5%19.0%28.5%20.7%19.3%
Bid-Ask Spread %48.4336.0968.8966.9547.36
Gamma HHI0.290.200.480.200.36
Net GEX-19.0K-470.7K402.5K-61.5K402.5K
Net DEX-172.6K-8.2M7.2M2.5M-8.2M
Net VEX-35.8K-40.2K-32.6K-34.7K-34.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.632.581.961.01
Total Volume428.6962847219677
Total OI2,770.7832,2013,3232,6562,485

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$120.49$125.0018.4%6.2%17.0%12.3%0.0%2.7%0.3%-61.5K2.5M-34.7K1.9666.95741451,4651,191
2014-10-02$121.72$125.0019.3%6.3%17.6%15.4%0.0%4.0%-0.1%-16.9K1.4M-36.5K2.0641.51871791,5261,250
2014-10-03$123.62$125.0017.7%6.4%18.5%9.8%22.4%5.2%0.1%6.5K-428.3K-40.2K1.0145.2269701,5831,387
2014-10-06$123.43$125.0017.7%6.4%18.5%9.7%22.3%3.1%3.5%-24.6K-224.6K-39.3K1.0038.59111,6241,428
2014-10-07$120.99$125.0019.3%6.5%19.3%15.5%0.0%1.2%3.6%-224.7K2.4M-37.1K1.2739.3011141,6251,429
2014-10-08$122.28$125.0019.7%6.6%19.7%16.8%23.0%4.9%3.5%-169.5K1.7M-36.8K2.5843.152255801,6311,438
2014-10-09$119.46$125.0019.4%6.5%21.1%15.9%22.8%0.7%2.9%-333.8K4.9M-36.0K2.4053.582495981,6401,498
2014-10-10$117.30$125.0021.0%7.1%21.6%21.3%23.5%2.7%2.7%-303.9K6.9M-33.3K1.3836.092493431,6831,519
2014-10-13$117.21$125.0034.1%7.6%21.4%67.0%25.6%7.2%2.1%-267.2K7.2M-32.6K1.8056.232414341,6831,540
2014-10-14$119.98$125.0028.2%7.3%23.3%46.6%25.3%2.9%2.8%-358.7K4.5M-36.2K1.8549.642354341,7041,606
2014-10-15$120.54$125.0033.7%7.5%20.7%65.9%26.3%4.1%2.2%-288.8K3.4M-37.2K1.5043.442363541,7111,612
2014-10-16$120.21$125.0025.2%7.2%19.4%36.2%24.6%5.9%2.0%-470.7K4.0M-35.5K0.8067.791081,6991,590
2014-10-17$121.98$125.0022.2%6.9%20.2%25.6%0.0%4.3%3.6%-274.4K1.4M-35.7K0.6343.18851,6961,590
2014-10-20$124.00$125.0020.7%6.8%21.1%20.5%25.9%5.0%3.9%122.4K-858.0K-34.6K1.5143.871993001,1521,049
2014-10-21$126.47$125.0020.3%6.7%21.4%18.8%26.0%4.7%2.8%179.6K-2.8M-35.7K1.2240.722142601,1961,079
2014-10-22$125.85$125.0020.2%6.7%21.6%18.5%24.5%2.3%3.5%169.9K-2.8M-36.3K1.5143.471772681,2061,072
2014-10-23$126.38$125.0019.5%6.6%20.8%16.2%26.2%2.7%3.6%192.1K-3.2M-36.6K1.4568.891852681,2341,091
2014-10-24$126.87$125.0019.7%6.8%20.8%16.7%25.8%2.9%3.6%203.3K-3.5M-35.8K1.5146.011772681,2421,091
2014-10-27$128.02$125.0018.8%6.8%20.9%13.5%26.7%5.6%4.1%245.3K-4.3M-35.1K1.3242.242062711,2531,091
2014-10-28$129.41$125.0018.3%6.6%21.0%11.9%26.1%3.7%4.4%270.9K-5.6M-34.5K1.3142.892072721,2651,097
2014-10-29$129.83$125.0018.3%6.6%20.5%11.9%24.9%2.3%5.6%272.9K-5.9M-34.5K1.3561.482012711,2741,102
2014-10-30$130.25$125.0018.2%6.7%20.4%11.5%25.9%2.1%4.8%291.5K-6.5M-34.1K0.8852.363082711,2971,104
2014-10-31$131.49$125.0018.5%6.8%20.0%12.7%25.7%1.7%4.4%402.5K-8.2M-34.2K1.0147.363363411,3811,104