FDS Options History — December 2014

In December 2014, FDS traded between $134.59 and $144.71. ATM implied volatility averaged 23.3%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 10.9% (HV 20d: 12.4%). Max pain ranged from $125.00 to $145.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2014-12-15: Highest Volume — 808 contracts
  • 2014-12-11: Largest IV drop — 37.4% change
  • 2014-12-10: Highest IV Rank — 88.4%
  • 2014-12-15: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$139.52$134.59$144.71$137.84$140.75
Max Pain$131.43$125.00$145.00$125.00$145.00
ATM IV23.3%15.1%40.2%27.3%17.8%
Expected Move6.1%4.7%7.2%6.6%5.2%
HV 20d12.4%7.2%17.8%8.2%17.8%
HV 60d15.9%15.2%16.6%16.6%15.9%
IV Rank29.8%0.8%88.4%43.2%10.5%
IV Percentile51.5%2.0%99.2%80.6%28.2%
Term Structure-0.1%-5.8%3.9%-5.1%0.6%
VWIV23.2%16.1%35.0%25.8%18.7%
Skew 25d3.2%0.2%4.7%3.6%0.2%
Skew 10d6.6%2.5%9.6%8.3%3.2%
Call IV 25d20.0%13.0%27.8%27.3%16.7%
Put IV 25d23.2%16.9%30.9%30.9%16.9%
Bid-Ask Spread %62.1244.0291.0445.5278.63
Gamma HHI0.220.160.380.180.24
Net GEX304.2K82.1K534.7K328.9K82.1K
Net DEX-7.9M-14.1M-1.8M-9.6M-1.8M
Net VEX-23.5K-26.4K-18.5K-26.2K-24.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.383.251.241.71
Total Volume448.1363480845776
Total OI2,241.7271,1363,0242,4061,668

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$137.84$125.0027.3%6.6%8.2%43.2%25.8%3.6%-5.1%328.9K-9.6M-26.2K1.2445.522042531,3291,077
2014-12-02$138.12$125.0026.7%6.5%8.2%41.4%26.3%3.6%-5.0%334.2K-9.9M-26.1K1.0145.442462481,3401,090
2014-12-03$138.01$125.0027.4%6.4%8.0%43.7%26.0%4.6%-5.2%348.6K-10.0M-26.4K1.0146.822412441,3981,090
2014-12-04$137.40$125.0029.1%6.6%8.3%49.8%23.1%2.7%-5.8%354.8K-7.6M-25.2K3.2544.028261,2301,094
2014-12-05$137.22$125.0030.6%6.7%8.2%54.8%25.4%3.0%-0.6%354.7K-9.8M-25.9K1.0744.792392561,4051,116
2014-12-08$136.97$125.0035.4%6.8%8.1%71.5%26.4%3.4%-0.8%334.2K-9.3M-25.6K1.1152.552352611,4041,128
2014-12-09$137.90$125.0035.3%6.6%7.2%71.3%26.1%3.9%-0.7%346.1K-9.6M-24.9K0.8855.083282871,4041,128
2014-12-10$135.56$125.0040.2%6.8%9.5%88.4%26.0%3.0%-0.2%321.3K-8.6M-26.0K1.1352.282713051,4281,167
2014-12-11$137.23$125.0025.1%7.0%9.6%35.8%25.1%4.3%-1.0%321.1K-9.4M-25.5K0.8450.973332811,4351,194
2014-12-12$134.59$125.0025.2%7.0%11.7%37.9%26.9%1.8%-0.8%322.9K-7.6M-26.4K1.0159.222742781,5001,207
2014-12-15$135.19$130.0025.0%7.2%11.5%37.0%27.0%3.1%0.3%368.6K-8.3M-23.7K1.2648.603574511,5201,210
2014-12-16$136.26$130.0020.6%6.7%11.8%20.9%25.0%2.9%2.2%534.7K-10.5M-21.5K1.5665.192553981,6381,369
2014-12-17$140.06$130.0018.3%6.4%15.4%12.7%24.4%3.1%3.9%364.2K-14.1M-20.6K1.1466.063043471,6601,364
2014-12-18$141.87$125.0018.4%6.3%15.9%13.0%22.6%3.4%3.0%423.8K-13.4M-19.6K1.0255.932792851,4541,331
2014-12-19$142.20$125.0017.4%6.3%15.9%9.2%35.0%3.8%3.9%331.5K-10.8M-18.7K0.3871.78101381,2581,334
2014-12-22$143.43$0.0015.8%4.7%16.0%3.4%16.6%2.8%1.0%168.0K-3.6M-18.5K1.4391.04139199610526
2014-12-23$144.37$145.0016.2%5.1%16.1%4.7%17.2%4.7%1.5%216.8K-4.1M-19.6K1.0176.92218220670548
2014-12-24$144.52$145.0015.2%4.8%15.9%1.1%17.0%2.9%1.8%251.9K-4.5M-21.5K1.3879.74175242765608
2014-12-26$144.71$145.0015.6%4.8%15.9%2.8%16.9%3.6%1.1%234.6K-4.6M-23.5K1.2779.61193245809680
2014-12-29$142.67$145.0015.1%4.9%17.0%0.8%16.1%1.9%2.0%182.9K-3.4M-23.6K1.1177.01198219839704
2014-12-30$142.63$145.0015.4%4.9%17.0%1.8%17.5%3.9%1.9%167.7K-3.2M-23.7K2.0079.443468842747
2014-12-31$140.75$145.0017.8%5.2%17.8%10.5%18.7%0.2%0.6%82.1K-1.8M-24.9K1.7178.632848862806