FDS Options History — March 2015

In March 2015, FDS traded between $150.12 and $160.01. ATM implied volatility averaged 24.0%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.8% (HV 20d: 17.2%). Max pain ranged from $140.00 to $155.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 22.38.

Notable Days

  • 2015-03-26: Highest Volume — 2,312 contracts
  • 2015-03-11: Largest IV drop — 40.0% change
  • 2015-03-10: Highest IV Rank — 97.8%
  • 2015-03-02: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$155.21$150.12$160.01$155.65$159.21
Max Pain$152.95$140.00$155.00$140.00$155.00
ATM IV24.0%16.4%41.5%30.4%16.7%
Expected Move6.3%4.7%8.7%8.7%4.8%
HV 20d17.2%12.6%20.5%14.6%20.4%
HV 60d16.7%15.9%17.2%15.9%17.0%
IV Rank33.7%5.7%97.8%57.0%6.7%
IV Percentile58.9%15.5%99.6%90.9%18.7%
Term Structure-1.1%-7.5%3.6%-7.0%0.8%
VWIV22.3%16.2%31.6%31.6%20.3%
Skew 25d3.2%1.8%7.0%3.2%1.9%
Skew 10d8.6%3.3%14.0%6.0%9.1%
Call IV 25d20.3%12.9%30.1%29.0%17.0%
Put IV 25d23.5%17.2%32.3%32.3%18.9%
Bid-Ask Spread %78.9661.6294.4975.8590.55
Gamma HHI0.540.340.650.640.34
Net GEX-822.5K-2.0M-18.4K-581.5K-1.8M
Net DEX2.5M-8.9M13.2M641.0K7.3M
Net VEX-48.5K-94.7K-36.5K-41.2K-84.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.380.07309.436.553.18
Total Volume712.364472,3121,458522
Total OI3,037.4092,0924,4492,4514,449

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$155.65$140.0030.4%8.7%14.6%57.0%31.6%3.2%-7.0%-581.5K641.0K-41.2K6.5575.851931,2657781,673
2015-03-03$154.70$140.0029.7%8.5%15.0%54.3%30.7%2.7%-7.5%-617.5K1.1M-41.0K10.8477.391151,2477841,677
2015-03-04$152.91$140.0030.3%8.7%12.6%56.6%30.9%2.1%-6.9%-577.2K3.0M-40.7K10.3480.041201,2417791,679
2015-03-05$154.65$155.0030.4%6.4%12.6%57.0%22.3%2.9%-0.8%-642.1K2.0M-40.5K10.1472.571231,2477851,691
2015-03-06$152.01$155.0034.7%7.0%14.4%72.6%23.9%2.3%-1.0%-585.0K3.9M-40.1K9.4961.621341,2727891,702
2015-03-09$152.66$155.0038.1%7.0%14.4%85.2%26.2%2.7%-1.7%-590.1K3.9M-38.6K2.1165.1118387851,718
2015-03-10$150.12$155.0041.5%7.2%15.6%97.8%24.5%2.9%-1.6%-566.4K6.0M-37.3K0.2963.5082247971,750
2015-03-11$150.79$155.0024.9%7.1%15.5%36.9%24.5%3.5%-2.1%-544.4K5.6M-38.3K0.5665.0568388771,771
2015-03-12$153.44$155.0024.0%6.9%16.5%33.4%0.0%3.7%-1.6%-650.3K3.2M-39.1K0.0767.59169119061,794
2015-03-13$151.78$155.0025.7%7.4%15.5%40.6%24.8%3.8%-1.4%-483.8K3.7M-41.6K1.3070.0246601,0541,804
2015-03-16$154.19$155.0025.9%7.4%16.3%41.4%24.9%4.1%-3.3%-537.2K1.2M-40.3K1.0270.395175291,0721,856
2015-03-17$158.96$155.0018.2%5.2%19.3%12.4%19.4%2.5%1.8%-18.4K-8.9M-40.9K0.5782.704792711,4882,289
2015-03-18$157.58$155.0017.6%5.1%19.4%10.3%18.1%1.8%2.6%-252.7K-6.4M-40.9K1.9687.851072101,4062,211
2015-03-19$156.45$155.0018.0%5.2%19.5%11.6%18.5%2.3%2.9%-388.5K-5.0M-40.4K0.5582.0566361,4312,205
2015-03-20$155.63$155.0016.5%4.7%19.1%6.1%17.4%2.3%3.6%-915.9K-3.8M-39.2K0.6685.9050331,3762,217
2015-03-23$156.71$155.0016.4%4.7%19.3%5.7%16.2%4.2%0.4%-974.4K2.1M-37.2K0.9691.7224237271,365
2015-03-24$157.39$155.0016.5%4.7%19.3%5.9%16.5%4.5%0.3%-933.6K1.3M-36.5K0.9591.4043417301,374
2015-03-25$155.46$155.0018.0%5.2%19.8%11.7%18.1%2.7%-1.1%-980.7K3.8M-38.2K309.4394.4972,1667561,409
2015-03-26$156.62$155.0018.4%5.3%19.8%13.0%18.6%5.4%-1.0%-2.0M13.2M-94.7K16.6584.681312,1817663,452
2015-03-27$157.80$155.0020.0%5.7%19.9%19.0%0.0%7.0%0.3%-1.8M11.3M-91.8K101.5091.6722037693,454
2015-03-30$160.01$155.0016.8%4.8%20.5%7.2%19.5%2.4%-0.3%-1.7M6.8M-84.7K3.2385.021233977733,655
2015-03-31$159.21$155.0016.7%4.8%20.4%6.7%20.3%1.9%0.8%-1.8M7.3M-84.5K3.1890.551253977773,672