FDS Options History — November 2014

In November 2014, FDS traded between $131.47 and $137.71. ATM implied volatility averaged 21.6%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 10.2% (HV 20d: 11.3%). Max pain ranged from $125.00 to $125.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.27.

Notable Days

2014-11-13: Highest Volume — 957 contracts
2014-11-13: Largest IV spike — 40.2% change
2014-11-28: Highest IV Rank — 42.8%
2014-11-03: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$135.86	$131.47	$137.71	$131.47	$137.06
Max Pain	$125.00	$125.00	$125.00	$125.00	$125.00
ATM IV	21.6%	15.5%	27.1%	19.5%	27.1%
Expected Move	6.6%	6.3%	6.9%	6.9%	6.7%
HV 20d	11.3%	8.4%	20.0%	20.0%	8.5%
HV 60d	16.6%	16.4%	16.7%	16.4%	16.6%
IV Rank	23.3%	2.2%	42.8%	16.0%	42.8%
IV Percentile	52.1%	3.6%	79.8%	49.2%	79.8%
Term Structure	-0.2%	-4.5%	5.7%	4.7%	-4.5%
VWIV	25.2%	22.4%	27.9%	25.8%	25.5%
Skew 25d	3.1%	1.5%	4.6%	1.5%	3.3%
Skew 10d	6.9%	-0.5%	11.1%	4.6%	5.4%
Call IV 25d	21.5%	16.7%	25.3%	18.6%	25.3%
Put IV 25d	24.5%	19.2%	28.6%	20.1%	28.6%
Bid-Ask Spread %	48.53	35.38	63.75	53.07	54.74
Gamma HHI	0.32	0.17	0.54	0.33	0.17
Net GEX	554.8K	292.7K	960.4K	442.0K	296.7K
Net DEX	-15.2M	-20.5M	-7.0M	-8.5M	-7.0M
Net VEX	-30.5K	-39.1K	-24.5K	-35.6K	-26.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.49	10.00	0.64	1.38
Total Volume	622.526	19	957	836	19
Total OI	3,044.053	2,161	3,516	2,695	2,214

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-11-03	$131.47	$125.00	19.5%	6.9%	20.0%	16.0%	25.8%	1.5%	4.7%	442.0K	-8.5M	-35.6K	0.64	53.07	510	326	1,498	1,197
2014-11-04	$132.57	$125.00	18.6%	6.6%	18.0%	12.9%	27.1%	3.2%	4.8%	755.2K	-11.9M	-37.9K	0.58	56.72	539	310	1,792	1,201
2014-11-05	$132.79	$125.00	18.1%	6.5%	17.9%	11.2%	25.5%	2.1%	4.6%	958.1K	-14.2M	-39.1K	0.54	41.84	568	307	1,993	1,254
2014-11-06	$133.48	$125.00	17.3%	6.5%	14.7%	8.5%	25.3%	2.5%	5.7%	960.4K	-14.9M	-38.0K	0.52	45.24	589	307	2,031	1,254
2014-11-07	$134.39	$125.00	15.5%	6.5%	11.7%	2.2%	26.1%	3.1%	-0.0%	944.7K	-16.8M	-36.3K	0.49	40.30	590	287	2,057	1,254
2014-11-10	$136.09	$125.00	18.5%	6.5%	11.5%	12.7%	27.9%	4.1%	-1.8%	815.5K	-18.7M	-32.0K	0.52	48.69	581	301	2,067	1,254
2014-11-11	$135.91	$125.00	17.8%	6.6%	10.3%	10.3%	25.8%	3.2%	-0.3%	633.9K	-15.5M	-31.0K	0.55	48.06	570	315	1,783	1,123
2014-11-12	$137.57	$125.00	16.1%	6.3%	10.5%	4.2%	26.2%	4.6%	-0.0%	667.1K	-20.2M	-30.2K	0.62	40.47	564	348	2,086	1,295
2014-11-13	$137.71	$125.00	22.6%	6.4%	10.1%	26.8%	25.2%	2.7%	-0.0%	557.5K	-20.5M	-29.9K	0.64	37.51	582	375	2,087	1,351
2014-11-14	$136.44	$125.00	23.3%	6.5%	11.1%	29.3%	23.6%	3.0%	-0.5%	580.2K	-19.7M	-29.4K	0.80	60.07	25	20	2,100	1,376
2014-11-17	$136.84	$125.00	23.7%	6.7%	10.4%	30.8%	25.4%	3.7%	-0.4%	489.6K	-20.2M	-28.3K	0.60	43.84	581	351	2,121	1,361
2014-11-18	$136.64	$125.00	24.7%	6.6%	9.0%	34.2%	24.6%	3.3%	-1.7%	539.7K	-20.2M	-28.9K	0.59	48.07	594	349	2,151	1,365
2014-11-19	$136.56	$125.00	24.2%	6.6%	8.6%	32.7%	0.0%	3.6%	-1.3%	332.4K	-20.5M	-26.4K	10.00	51.53	2	20	2,138	1,366
2014-11-20	$136.64	$125.00	24.2%	6.6%	8.7%	32.5%	24.5%	4.2%	-1.1%	292.7K	-17.0M	-26.9K	1.31	42.03	272	356	1,884	1,359
2014-11-21	$137.30	$125.00	24.3%	6.7%	8.7%	32.8%	23.3%	2.8%	-1.0%	337.3K	-18.1M	-24.5K	1.13	63.75	315	357	1,882	1,359
2014-11-24	$137.58	$125.00	23.5%	6.4%	8.5%	30.1%	22.4%	2.8%	-2.7%	311.9K	-9.1M	-25.6K	0.79	35.38	28	22	1,218	977
2014-11-25	$137.11	$125.00	24.9%	6.5%	8.4%	35.1%	24.0%	2.3%	-3.4%	316.3K	-9.2M	-25.5K	1.00	56.49	248	247	1,236	992
2014-11-26	$137.19	$125.00	25.5%	6.5%	8.4%	37.2%	25.5%	2.5%	-4.4%	310.1K	-7.0M	-26.5K	1.41	54.18	22	31	1,126	1,035
2014-11-28	$137.06	$125.00	27.1%	6.7%	8.5%	42.8%	0.0%	3.3%	-4.5%	296.7K	-7.0M	-26.6K	1.38	54.74	8	11	1,148	1,066