FDS Options History — January 2015

In January 2015, FDS traded between $137.66 and $146.07. ATM implied volatility averaged 18.0%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.5% (HV 20d: 16.5%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.90.

Notable Days

2015-01-20: Highest Volume — 582 contracts
2015-01-13: Largest IV spike — 36.1% change
2015-01-13: Highest IV Rank — 26.5%
2015-01-28: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$141.23	$137.66	$146.07	$140.60	$143.73
Max Pain	$144.50	$140.00	$145.00	$145.00	$145.00
ATM IV	18.0%	15.2%	22.1%	18.7%	19.1%
Expected Move	5.2%	4.4%	5.5%	5.3%	5.5%
HV 20d	16.5%	13.0%	19.2%	17.8%	15.5%
HV 60d	14.0%	13.0%	15.6%	15.3%	14.2%
IV Rank	11.4%	1.1%	26.5%	14.1%	15.6%
IV Percentile	32.6%	3.2%	64.3%	42.1%	50.4%
Term Structure	4.6%	-0.0%	6.1%	-0.0%	5.3%
VWIV	17.9%	16.4%	19.9%	17.8%	19.0%
Skew 25d	3.4%	1.8%	6.0%	2.3%	3.8%
Skew 10d	6.8%	-2.0%	11.3%	-2.0%	7.1%
Call IV 25d	16.7%	13.2%	18.5%	17.5%	17.5%
Put IV 25d	20.1%	17.7%	21.6%	19.8%	21.2%
Bid-Ask Spread %	86.46	77.89	98.12	78.56	95.30
Gamma HHI	0.31	0.21	0.45	0.21	0.37
Net GEX	179.4K	-34.9K	454.4K	35.0K	370.9K
Net DEX	-2.2M	-6.1M	848.8K	-1.2M	-4.5M
Net VEX	-24.3K	-26.1K	-20.1K	-25.6K	-25.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.90	0.16	8.67	1.68	0.84
Total Volume	289	9	582	380	439
Total OI	1,742.75	1,287	1,891	1,712	1,712

Daily Data (20 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
2015-01-02	$140.60	$145.00	18.7%	5.3%	17.8%	14.1%	17.8%	2.3%	-0.0%	35.0K	-1.2M	-25.6K	1.68	78.56	142	238	874	838
2015-01-05	$138.39	$145.00	18.8%	5.5%	18.7%	14.2%	19.9%	2.9%	3.7%	11.7K	65.7K	-24.9K	1.47	79.66	38	56	915	848
2015-01-06	$137.66	$145.00	20.0%	5.5%	18.8%	18.9%	19.2%	3.1%	3.6%	-34.9K	848.8K	-25.1K	2.00	82.07	24	48	949	900
2015-01-07	$138.76	$145.00	18.6%	5.4%	18.9%	13.5%	19.5%	3.1%	4.2%	4.1K	88.0K	-25.4K	1.25	82.49	4	5	968	906
2015-01-08	$140.25	$145.00	17.4%	5.2%	19.2%	9.4%	17.4%	3.3%	4.2%	53.7K	-1.1M	-25.3K	1.93	77.89	138	266	972	912
2015-01-09	$139.50	$145.00	15.2%	5.0%	18.1%	1.1%	17.2%	3.1%	4.7%	34.6K	-455.8K	-24.1K	1.57	81.99	149	234	982	909
2015-01-12	$139.67	$145.00	16.2%	5.0%	17.7%	5.0%	17.8%	4.1%	5.8%	7.7K	-298.0K	-23.0K	1.70	80.13	138	234	970	910
2015-01-13	$140.10	$145.00	22.1%	5.4%	16.0%	26.5%	18.4%	1.8%	5.0%	65.2K	-1.1M	-23.0K	1.66	83.48	143	237	971	910
2015-01-14	$140.00	$145.00	18.4%	5.3%	16.0%	12.9%	18.1%	3.3%	4.8%	-16.6K	-507.4K	-22.5K	1.66	82.07	143	237	974	910
2015-01-15	$138.53	$145.00	18.2%	5.2%	16.4%	12.2%	17.6%	2.7%	5.0%	44.4K	293.4K	-21.2K	0.96	85.20	247	237	985	871
2015-01-16	$140.23	$145.00	17.4%	5.0%	13.8%	9.4%	17.1%	4.6%	5.3%	19.6K	-1.1M	-21.7K	8.67	87.20	3	26	996	870
2015-01-20	$139.43	$145.00	17.7%	5.1%	13.0%	10.3%	17.1%	3.2%	5.6%	144.1K	-1.1M	-20.1K	0.16	87.24	501	81	704	583
2015-01-21	$139.02	$140.00	17.1%	4.9%	13.0%	8.0%	17.5%	3.1%	6.1%	272.6K	-1.6M	-23.0K	1.20	86.69	20	24	919	620
2015-01-22	$142.61	$140.00	15.5%	4.4%	15.8%	2.3%	16.4%	3.8%	5.6%	415.5K	-3.8M	-26.1K	1.83	87.36	133	244	942	645
2015-01-23	$144.39	$145.00	15.5%	4.4%	16.2%	2.1%	16.4%	3.2%	6.1%	445.1K	-5.4M	-26.0K	2.21	90.38	126	279	960	672
2015-01-26	$146.07	$145.00	17.0%	4.9%	16.7%	7.9%	17.2%	6.0%	4.7%	454.4K	-6.1M	-25.1K	4.17	98.12	6	25	964	687
2015-01-27	$145.85	$145.00	18.4%	5.3%	16.7%	13.0%	17.5%	2.7%	4.3%	420.4K	-6.1M	-25.8K	0.93	93.97	29	27	969	700
2015-01-28	$144.92	$145.00	19.4%	5.5%	16.1%	16.4%	18.2%	4.6%	4.7%	412.7K	-5.9M	-26.0K	1.31	96.41	169	222	989	717
2015-01-29	$144.88	$145.00	19.1%	5.5%	16.1%	15.6%	19.2%	2.5%	3.8%	426.8K	-5.3M	-25.8K	0.75	93.01	267	201	1,011	721
2015-01-30	$143.73	$145.00	19.1%	5.5%	15.5%	15.6%	19.0%	3.8%	5.3%	370.9K	-4.5M	-25.9K	0.84	95.30	238	201	986	726