FDS Options History — April 2015

In April 2015, FDS traded between $156.40 and $161.06. ATM implied volatility averaged 16.8%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.5% (HV 20d: 14.3%). Max pain ranged from $145.00 to $160.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.34.

Notable Days

  • 2015-04-16: Highest Volume — 871 contracts
  • 2015-04-30: Largest IV spike — 8.1% change
  • 2015-04-30: Highest IV Rank — 12.4%
  • 2015-04-30: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$158.97$156.40$161.06$159.93$157.36
Max Pain$154.76$145.00$160.00$155.00$160.00
ATM IV16.8%16.2%18.2%16.3%18.2%
Expected Move4.8%4.6%5.2%4.7%5.2%
HV 20d14.3%10.6%19.8%19.8%11.1%
HV 60d16.2%14.9%16.8%16.5%14.9%
IV Rank7.0%4.8%12.4%5.2%12.4%
IV Percentile21.3%11.9%44.4%15.1%44.4%
Term Structure4.7%0.6%6.1%0.6%5.1%
VWIV20.7%16.5%27.5%16.9%16.7%
Skew 25d2.7%1.9%3.7%1.9%2.2%
Skew 10d7.0%3.5%11.2%5.6%5.3%
Call IV 25d15.6%14.5%16.7%16.4%16.7%
Put IV 25d18.4%16.9%20.3%18.3%19.0%
Bid-Ask Spread %88.4582.5895.7285.6289.48
Gamma HHI0.440.300.600.350.51
Net GEX-1.5M-2.9M-949.8K-1.7M-1.3M
Net DEX6.2M3.3M9.6M6.2M8.8M
Net VEX-69.7K-82.1K-61.1K-81.5K-68.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.341.574.881.862.34
Total Volume604.71477871610558
Total OI4,084.7623,2674,8084,4523,626

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$159.93$155.0016.3%4.7%19.8%5.2%16.9%1.9%0.6%-1.7M6.2M-81.5K1.8685.622133977803,672
2015-04-02$160.00$145.0016.5%4.9%19.5%6.1%27.5%3.7%4.0%-1.7M5.9M-82.1K2.1082.581883957773,672
2015-04-06$159.89$145.0017.6%5.0%18.3%10.1%22.0%3.4%3.7%-1.6M5.7M-77.1K1.9386.741983837893,664
2015-04-07$160.06$155.0016.6%4.8%18.3%6.2%22.6%2.8%4.6%-1.6M4.8M-73.5K1.9583.591963838043,669
2015-04-08$161.06$155.0017.2%4.9%16.8%8.5%20.0%2.9%3.8%-1.3M3.4M-70.8K1.5786.2130478013,668
2015-04-09$161.01$155.0017.0%4.9%16.9%8.0%21.4%2.6%3.8%-1.4M3.3M-70.6K2.4987.431744338153,716
2015-04-10$158.61$155.0016.5%4.7%17.2%5.9%21.9%3.0%4.4%-2.3M7.6M-73.6K3.5385.881545448163,720
2015-04-13$157.35$155.0017.5%5.0%16.9%9.7%21.8%2.5%4.8%-2.9M9.6M-72.6K3.4686.581585478183,822
2015-04-14$158.58$155.0016.6%4.8%16.3%6.5%21.3%2.7%4.6%-1.9M6.2M-68.2K2.3687.012425708273,827
2015-04-15$158.70$155.0016.4%4.7%12.2%5.6%20.4%2.8%4.5%-1.1M3.9M-66.9K2.1189.372705698813,860
2015-04-16$158.21$155.0016.4%4.7%11.8%5.7%20.7%3.2%5.0%-2.0M6.0M-67.8K2.2087.082725999153,861
2015-04-17$156.40$155.0017.6%5.1%12.2%10.3%21.2%2.9%5.0%-1.1M7.4M-70.3K2.1686.942264889173,891
2015-04-20$157.59$155.0016.4%4.7%12.4%5.6%24.0%3.1%5.6%-1.1M7.8M-67.4K1.8687.471923585382,729
2015-04-21$158.24$155.0016.4%4.7%12.2%5.9%23.1%2.5%5.3%-1.1M6.9M-64.9K1.8490.771953585412,741
2015-04-22$158.52$155.0016.2%4.7%12.1%5.0%22.7%3.2%5.4%-1.1M6.6M-64.8K1.8889.761953665412,741
2015-04-23$159.75$155.0016.2%4.6%11.4%4.8%21.2%2.5%5.5%-949.8K5.8M-61.9K1.9091.061933675412,750
2015-04-24$159.78$155.0016.4%4.7%11.2%5.6%17.6%2.4%5.1%-962.5K5.4M-61.1K4.8892.201115425482,751
2015-04-27$158.54$155.0016.5%4.7%11.3%6.2%17.8%2.2%5.4%-1.2M7.2M-67.2K2.2093.471663665512,966
2015-04-28$159.91$160.0016.6%4.7%10.6%6.3%16.5%2.3%5.8%-1.0M5.9M-66.9K2.3192.451593676123,001
2015-04-29$158.86$160.0016.8%4.8%10.7%7.3%17.1%2.6%6.1%-1.2M6.7M-66.0K2.2595.721633676123,009
2015-04-30$157.36$160.0018.2%5.2%11.1%12.4%16.7%2.2%5.1%-1.3M8.8M-68.4K2.3489.481673916173,009