FDS Options History — July 2015

In July 2015, FDS traded between $160.33 and $166.49. ATM implied volatility averaged 16.4%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.9% (HV 20d: 15.5%). Max pain ranged from $165.00 to $165.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.11.

Notable Days

  • 2015-07-07: Highest Volume — 1,233 contracts
  • 2015-07-10: Largest IV drop — 20.7% change
  • 2015-07-09: Highest IV Rank — 23.4%
  • 2015-07-08: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$163.93$160.33$166.49$165.13$165.63
Max Pain$165.00$165.00$165.00$165.00$165.00
ATM IV16.4%13.8%20.6%15.7%15.5%
Expected Move4.6%4.2%5.5%4.5%4.4%
HV 20d15.5%12.7%17.5%17.2%12.7%
HV 60d13.4%13.1%13.7%13.4%13.6%
IV Rank8.8%0.0%23.4%5.2%6.1%
IV Percentile17.8%0.0%61.9%8.3%6.0%
Term Structure4.1%-0.0%5.5%0.6%5.5%
VWIV17.1%14.7%21.8%15.2%15.6%
Skew 25d2.8%2.3%3.8%2.5%2.5%
Skew 10d6.1%4.1%8.2%7.4%4.1%
Call IV 25d14.8%13.2%17.5%14.5%13.9%
Put IV 25d17.7%15.5%21.3%17.0%16.5%
Bid-Ask Spread %87.7778.4296.2695.2993.17
Gamma HHI0.650.400.980.770.41
Net GEX-4.4M-26.1M-583.2K-4.0M-660.7K
Net DEX17.1M5.5M38.5M15.9M5.8M
Net VEX-53.4K-67.5K-46.1K-61.6K-46.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.111.476.011.551.80
Total Volume488.2733191,233523440
Total OI3,428.0912,1344,7383,7702,364

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$165.13$165.0015.7%4.5%17.2%5.2%15.2%2.5%0.6%-4.0M15.9M-61.6K1.5595.292053188982,872
2015-07-02$163.60$165.0016.1%4.6%17.1%6.7%17.1%2.4%-0.0%-4.0M20.2M-59.9K1.4996.261962929112,925
2015-07-06$162.90$165.0018.0%4.8%17.1%13.7%20.0%2.9%3.3%-4.1M23.0M-53.9K1.4780.691992929112,980
2015-07-07$161.25$165.0020.1%5.4%17.4%21.6%21.2%3.7%3.1%-3.6M27.8M-49.5K6.0178.421761,0579302,990
2015-07-08$160.33$165.0020.6%5.5%17.5%23.3%21.8%3.8%3.1%-3.5M38.5M-64.4K1.7880.441642929423,753
2015-07-09$161.18$165.0020.6%5.3%16.6%23.4%21.2%3.8%3.5%-4.1M36.5M-65.6K1.8380.701653029473,761
2015-07-10$162.61$165.0016.4%4.7%17.0%7.8%19.4%3.0%4.0%-5.7M32.8M-67.5K1.8779.681602999513,773
2015-07-13$162.96$165.0014.7%4.4%17.0%1.8%17.1%2.9%4.8%-6.8M34.1M-60.7K2.0883.951683499503,772
2015-07-14$163.23$165.0013.8%4.4%17.0%0.0%17.4%3.1%4.7%-7.8M33.6M-59.2K1.8687.741883499613,765
2015-07-15$165.00$165.0014.9%4.3%15.6%4.0%15.4%2.7%4.8%-11.2M23.3M-59.4K2.8488.871885349723,766
2015-07-16$166.49$165.0014.9%4.3%15.2%4.0%15.8%2.3%4.8%-8.7M8.1M-54.1K2.7589.801724739963,586
2015-07-17$165.17$165.0014.8%4.2%15.4%3.8%14.7%2.4%4.8%-26.1M15.9M-48.6K2.3389.551804199973,421
2015-07-20$166.45$165.0015.4%4.4%15.6%6.0%15.4%2.3%4.8%-659.0K5.5M-48.4K2.3289.79972256311,503
2015-07-21$164.98$165.0015.7%4.5%15.6%6.8%14.8%2.5%4.7%-652.7K6.1M-47.0K1.7089.781352296371,518
2015-07-22$165.13$165.0015.6%4.5%14.0%6.6%15.1%2.3%5.0%-612.4K6.4M-47.5K1.6888.191372306831,529
2015-07-23$163.79$165.0015.7%4.5%13.6%6.9%16.6%2.7%4.8%-651.1K7.2M-47.1K2.0288.181182386891,542
2015-07-24$164.35$165.0015.7%4.5%13.4%6.8%16.4%2.8%5.0%-663.7K6.9M-48.1K1.7590.801402457101,553
2015-07-27$161.74$165.0018.2%5.2%14.5%16.0%17.4%3.1%3.9%-683.9K8.8M-46.1K1.6387.911402287471,579
2015-07-28$163.63$165.0016.0%4.6%13.7%8.1%15.8%3.7%5.0%-701.5K7.8M-46.2K1.5789.601352127471,578
2015-07-29$165.12$165.0016.0%4.6%14.0%8.0%17.0%2.5%4.6%-645.7K6.4M-46.9K1.9390.711092107531,585
2015-07-30$165.69$165.0015.6%4.5%13.2%6.7%16.3%2.4%5.3%-583.2K5.6M-46.1K2.1291.441082297541,586
2015-07-31$165.63$165.0015.5%4.4%12.7%6.1%15.6%2.5%5.5%-660.7K5.8M-46.2K1.8093.171572837561,608