FDS Options History — February 2015 In February 2015, FDS traded between $144.31 and $158.07. ATM implied volatility averaged 22.8%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.5% (HV 20d: 16.3%). Max pain ranged from $140.00 to $145.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 2.22.
Notable Days 2015-02-23 : Highest Volume — 1,565 contracts2015-02-11 : Largest IV spike — 28.6% change2015-02-27 : Highest IV Rank — 49.5%2015-02-27 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $152.77 $144.31 $158.07 $144.31 $155.53 Max Pain $140.79 $140.00 $145.00 $145.00 $140.00 ATM IV 22.8% 15.5% 28.4% 20.9% 28.4% Expected Move 6.9% 4.4% 8.1% 6.0% 8.1% HV 20d 16.3% 14.9% 17.6% 15.6% 15.2% HV 60d 15.4% 14.2% 15.9% 14.2% 15.9% IV Rank 29.2% 2.2% 49.5% 22.1% 49.5% IV Percentile 61.5% 4.8% 87.3% 61.5% 87.3% Term Structure -1.8% -6.6% 8.6% 4.0% -6.6% VWIV 25.0% 18.3% 29.3% 19.8% 29.2% Skew 25d 3.9% 2.0% 7.4% 4.9% 3.0% Skew 10d 9.6% 5.2% 20.6% 14.0% 6.6% Call IV 25d 22.4% 15.1% 27.0% 16.8% 27.0% Put IV 25d 26.3% 19.0% 30.0% 21.7% 30.0% Bid-Ask Spread % 76.49 65.84 99.08 99.08 76.55 Gamma HHI 0.35 0.17 0.64 0.37 0.64 Net GEX 238.8K -601.7K 630.1K 370.9K -601.7K Net DEX -8.2M -14.5M 971.7K -4.3M 971.7K Net VEX -24.4K -43.1K -14.7K -24.4K -42.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.22 0.01 6.59 0.01 6.59 Total Volume 636.737 36 1,565 92 1,464 Total OI 1,929.737 1,237 2,447 1,714 2,447
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 2015-02-02 $144.31 $145.00 20.9% 6.0% 15.6% 22.1% 19.8% 4.9% 4.0% 370.9K -4.3M -24.4K 0.01 99.08 91 1 988 726 2015-02-03 $148.58 $145.00 17.6% 5.0% 17.1% 10.0% 20.7% 7.4% 4.9% 551.8K -8.2M -24.4K 1.40 98.66 144 201 1,075 727 2015-02-04 $147.55 $145.00 15.5% 4.4% 17.2% 2.2% 18.3% 3.3% 8.6% 551.1K -8.2M -24.4K 1.41 98.30 143 201 1,087 724 2015-02-05 $148.09 $140.00 15.6% 6.9% 17.1% 2.6% 24.5% 3.3% -1.4% 571.7K -8.5M -23.7K 1.42 69.86 143 203 1,087 725 2015-02-06 $147.75 $140.00 16.8% 6.8% 17.0% 6.9% 24.4% 3.2% -1.1% 550.8K -8.3M -23.1K 1.44 65.84 142 204 1,074 724 2015-02-09 $148.71 $140.00 19.7% 6.9% 16.8% 17.7% 25.3% 4.7% -1.9% 572.7K -8.7M -21.9K 1.25 68.74 163 204 1,078 723 2015-02-10 $149.88 $140.00 18.5% 6.8% 16.9% 13.2% 23.1% 3.7% -2.0% 630.1K -9.9M -19.4K 1.11 68.83 187 207 1,079 723 2015-02-11 $150.84 $140.00 23.8% 6.8% 16.9% 32.7% 24.3% 4.1% -2.1% 548.2K -10.8M -19.5K 1.20 68.01 169 202 1,099 729 2015-02-12 $153.74 $140.00 24.1% 6.9% 17.6% 34.0% 23.2% 3.0% -2.4% 374.1K -12.6M -17.1K 1.32 71.16 159 210 1,111 748 2015-02-13 $155.09 $140.00 23.6% 6.8% 16.7% 32.0% 24.4% 2.6% -2.1% 359.4K -13.4M -16.2K 0.70 71.79 274 193 1,123 762 2015-02-17 $153.89 $140.00 25.0% 7.2% 17.2% 37.2% 26.1% 3.9% -2.6% 409.1K -13.3M -16.8K 0.74 75.10 270 201 1,161 766 2015-02-18 $155.40 $140.00 25.3% 7.2% 16.8% 38.1% 25.9% 2.7% -3.3% 376.9K -13.9M -15.8K 0.57 76.42 351 200 1,166 778 2015-02-19 $156.15 $140.00 25.8% 7.4% 16.5% 40.1% 25.7% 4.0% -4.2% 368.0K -13.8M -15.1K 0.80 75.19 20 16 1,132 784 2015-02-20 $158.05 $140.00 26.7% 7.6% 15.1% 43.3% 25.4% 5.2% -3.7% 223.7K -14.5M -14.7K 0.39 72.99 70 27 1,142 800 2015-02-23 $158.07 $140.00 25.5% 7.3% 14.9% 38.8% 28.0% 4.1% -3.9% 222.2K -7.4M -15.2K 3.94 73.36 317 1,248 712 525 2015-02-24 $157.56 $140.00 25.8% 7.4% 14.9% 40.2% 28.8% 4.4% -4.4% -515.4K -906.4K -42.8K 5.63 75.61 227 1,278 787 1,586 2015-02-25 $157.28 $140.00 27.4% 7.9% 14.9% 46.1% 28.5% 4.8% -4.0% -507.9K -458.7K -43.1K 5.78 74.81 221 1,277 782 1,603 2015-02-26 $156.12 $140.00 27.9% 8.0% 15.0% 47.9% 29.3% 2.0% -5.0% -518.9K -66.0K -42.4K 6.54 73.10 195 1,275 778 1,604 2015-02-27 $155.53 $140.00 28.4% 8.1% 15.2% 49.5% 29.2% 3.0% -6.6% -601.7K 971.7K -42.9K 6.59 76.55 193 1,271 777 1,670
« Jan 2015 | All History | Mar 2015 » Home FDS History February 2015