FDS Options History — June 2015

In June 2015, FDS traded between $161.85 and $166.69. ATM implied volatility averaged 23.5%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 10.8% (HV 20d: 12.7%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.68.

Notable Days

  • 2015-06-15: Highest Volume — 4,545 contracts
  • 2015-06-10: Largest IV drop — 34.8% change
  • 2015-06-09: Highest IV Rank — 92.1%
  • 2015-06-03: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$164.69$161.85$166.69$166.56$162.89
Max Pain$164.32$160.00$165.00$160.00$165.00
ATM IV23.5%14.2%39.4%29.8%17.8%
Expected Move6.1%4.1%9.0%8.5%5.1%
HV 20d12.7%9.8%16.4%10.3%16.4%
HV 60d12.7%11.2%14.3%14.3%13.1%
IV Rank33.0%0.0%92.1%55.9%13.2%
IV Percentile54.0%0.0%99.2%90.9%38.9%
Term Structure-1.4%-8.6%4.9%-7.8%-0.9%
VWIV21.7%12.7%35.7%34.5%18.7%
Skew 25d3.8%2.4%5.5%4.9%2.6%
Skew 10d8.7%4.2%13.6%13.6%5.6%
Call IV 25d19.8%13.5%29.4%28.4%16.2%
Put IV 25d23.6%16.4%34.9%33.3%18.8%
Bid-Ask Spread %79.1561.9894.4261.9892.99
Gamma HHI0.510.290.770.430.76
Net GEX-2.2M-3.6M-656.2K-656.2K-3.6M
Net DEX12.5M620.2K21.7M620.2K21.6M
Net VEX-64.7K-78.3K-48.5K-48.5K-60.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.149.493.321.19
Total Volume1,011.13684,545907464
Total OI5,000.53,1686,5964,1943,756

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$166.56$160.0029.8%8.5%10.3%55.9%34.5%4.9%-7.8%-656.2K620.2K-48.5K3.3261.982106978543,340
2015-06-02$166.44$160.0031.3%9.0%10.3%61.5%29.8%5.3%-8.6%-814.9K1.7M-50.1K0.1470.48718463,620
2015-06-03$166.69$160.0031.3%9.0%9.8%61.7%35.7%5.5%-8.6%-767.0K1.0M-48.9K3.8466.981947448693,621
2015-06-04$165.04$165.0032.4%6.8%10.7%65.6%23.9%3.8%-1.3%-941.7K2.9M-51.2K9.4968.262041,9368833,669
2015-06-05$164.46$165.0034.1%6.8%10.8%72.1%23.6%3.6%-1.7%-1.9M13.3M-78.3K7.6168.262121,6138914,819
2015-06-08$163.49$165.0037.0%7.1%10.8%83.0%24.6%4.5%-2.3%-2.0M14.6M-75.0K8.8968.251791,5929044,833
2015-06-09$163.50$165.0039.4%7.2%10.7%92.1%25.2%4.9%-2.5%-2.1M17.0M-76.6K2.7669.952015559154,881
2015-06-10$166.01$165.0025.7%7.4%11.9%40.6%25.5%4.1%-3.4%-1.9M11.7M-74.3K3.0066.922126369375,036
2015-06-11$166.19$165.0025.4%7.3%11.6%39.5%24.3%3.8%-3.0%-1.9M11.0M-73.3K2.6372.192005259525,054
2015-06-12$165.73$165.0025.9%7.4%10.7%41.3%24.5%4.9%-3.6%-2.0M11.9M-72.0K2.6570.571915069715,068
2015-06-15$165.37$165.0024.0%6.9%10.8%34.3%23.9%4.7%-2.0%-2.1M11.3M-65.5K3.6269.579833,5629965,078
2015-06-16$161.85$165.0019.0%5.4%12.7%15.5%17.8%3.3%1.1%-2.2M20.3M-64.5K1.1577.127138181,6744,801
2015-06-17$163.97$165.0016.7%4.8%13.3%6.7%17.1%3.0%2.9%-2.1M13.6M-68.5K0.5484.424792581,6854,862
2015-06-18$164.79$165.0015.7%4.5%13.5%2.9%15.8%2.9%3.5%-1.3M10.2M-68.2K0.7089.584303021,7514,845
2015-06-19$164.55$165.0014.2%4.1%13.5%0.0%15.5%2.5%4.9%-2.6M13.9M-65.4K0.7188.993492491,7454,837
2015-06-22$162.95$165.0015.0%4.3%13.7%2.9%15.4%4.0%1.7%-2.7M16.4M-60.1K0.3488.81256887592,409
2015-06-23$166.01$165.0015.9%4.6%15.1%6.2%15.6%3.2%0.1%-2.7M10.9M-61.6K2.4492.982125177762,409
2015-06-24$163.90$165.0014.8%4.2%15.3%1.9%16.6%3.2%1.4%-3.4M18.6M-66.5K1.1193.252082317832,825
2015-06-25$165.03$165.0014.9%4.3%15.5%2.3%12.7%2.4%1.0%-3.6M16.2M-65.9K0.7694.423102357832,830
2015-06-26$165.36$165.0016.0%4.6%15.4%6.5%16.4%2.8%0.3%-3.3M14.7M-67.6K0.8793.962712358822,840
2015-06-29$162.41$165.0019.9%5.7%16.3%20.7%19.2%3.7%-2.6%-3.1M21.7M-61.5K1.1191.312182428822,840
2015-06-30$162.89$165.0017.8%5.1%16.4%13.2%18.7%2.6%-0.9%-3.6M21.6M-60.4K1.1992.992122528922,864