FDS Options History — May 2015

In May 2015, FDS traded between $158.88 and $167.86. ATM implied volatility averaged 21.9%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 10.8% (HV 20d: 11.2%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.01.

Notable Days

  • 2015-05-27: Highest Volume — 799 contracts
  • 2015-05-13: Largest IV spike — 15.1% change
  • 2015-05-29: Highest IV Rank — 46.1%
  • 2015-05-29: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$163.66$158.88$167.86$159.12$165.19
Max Pain$156.00$155.00$160.00$160.00$160.00
ATM IV21.9%16.4%27.2%16.4%27.2%
Expected Move6.8%4.7%7.8%4.7%7.8%
HV 20d11.2%10.4%12.3%11.9%10.6%
HV 60d14.6%14.4%15.0%14.9%14.4%
IV Rank26.5%5.8%46.1%5.8%46.1%
IV Percentile60.2%18.3%85.3%18.3%85.3%
Term Structure-3.1%-5.8%6.0%6.0%-5.7%
VWIV26.8%15.8%35.6%15.8%30.0%
Skew 25d4.0%2.7%4.7%2.7%4.5%
Skew 10d9.4%6.6%10.9%6.6%9.1%
Call IV 25d22.6%15.2%26.1%15.2%26.1%
Put IV 25d26.5%17.9%30.6%17.9%30.6%
Bid-Ask Spread %65.9255.8290.7490.7468.84
Gamma HHI0.440.360.490.480.44
Net GEX-699.7K-1.2M645.3K-1.2M-750.9K
Net DEX2.5M-1.8M6.8M6.8M1.5M
Net VEX-55.7K-65.8K-48.6K-65.8K-50.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.053.222.331.93
Total Volume47021799539585
Total OI3,8233,3534,1633,6504,163

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$159.12$160.0016.4%4.7%11.9%5.8%15.8%2.7%6.0%-1.2M6.8M-65.8K2.3390.741623776213,029
2015-05-04$160.07$155.0017.4%6.6%12.1%9.6%24.1%3.8%-2.3%-1.1M5.7M-64.0K0.0559.102016223,027
2015-05-05$159.09$155.0017.5%6.6%12.3%9.9%25.3%3.7%-2.1%-1.2M6.8M-63.7K2.5055.821483706403,029
2015-05-06$158.88$155.0018.1%6.7%12.0%12.0%24.8%3.5%-2.2%-1.2M6.7M-62.2K2.5358.981483756473,030
2015-05-07$159.81$155.0017.2%6.7%12.2%8.5%24.6%4.1%-2.1%-1.1M6.1M-62.6K2.5358.521533876453,040
2015-05-08$161.07$155.0016.8%6.6%11.3%7.2%22.2%3.2%-2.3%-967.5K5.1M-59.8K1.1762.3530356513,063
2015-05-11$161.70$155.0019.0%6.8%10.8%15.3%23.5%3.4%-2.7%-869.4K4.3M-55.6K3.2262.3318586683,090
2015-05-12$161.49$155.0019.8%6.8%10.6%18.4%24.6%4.5%-2.7%-959.1K4.3M-57.8K2.7062.251574246943,141
2015-05-13$162.75$155.0022.8%6.5%10.8%29.6%25.4%4.0%-2.4%-680.1K3.1M-54.9K1.4860.451432117043,139
2015-05-14$164.98$155.0023.4%6.7%11.6%31.8%24.7%4.3%-3.2%131.6K773.0K-52.4K1.5166.221402117203,149
2015-05-15$165.05$155.0023.5%6.7%10.4%32.4%24.9%4.1%-3.1%645.3K429.3K-51.8K0.5866.222891697293,149
2015-05-18$166.57$155.0023.9%6.9%10.5%33.9%35.6%4.7%-4.1%-590.4K353.9K-51.7K2.4868.33731817122,641
2015-05-19$167.86$155.0023.6%6.8%10.7%32.7%27.9%3.8%-4.4%-517.1K-946.4K-50.1K1.7968.95861547772,815
2015-05-20$167.55$155.0023.6%6.8%10.8%32.6%27.5%3.8%-3.9%-494.7K-1.8M-48.6K1.5668.022163388362,943
2015-05-21$167.52$155.0023.1%6.6%10.7%30.9%29.8%3.9%-3.4%-510.4K-1.5M-49.2K2.4967.982235568412,993
2015-05-22$166.48$155.0024.7%7.1%11.1%36.9%31.6%4.3%-4.5%-708.8K1.1M-58.4K2.5367.242215598453,267
2015-05-26$165.09$155.0026.9%7.7%11.2%45.2%32.0%4.5%-5.8%-769.3K1.3M-53.0K2.4768.522275608463,278
2015-05-27$166.79$160.0027.1%7.8%11.3%45.8%31.5%4.2%-5.6%-597.9K-243.2K-50.8K2.6367.932205798443,278
2015-05-28$166.11$160.0027.0%7.7%11.1%45.3%29.3%4.4%-5.6%-682.7K770.7K-50.9K1.7069.612213758443,310
2015-05-29$165.19$160.0027.2%7.8%10.6%46.1%30.0%4.5%-5.7%-750.9K1.5M-50.6K1.9368.842003858433,320