FDS Options History — August 2015

In August 2015, FDS traded between $153.79 and $173.36. ATM implied volatility averaged 22.9%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.4% (HV 20d: 18.6%). Max pain ranged from $165.00 to $165.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2015-08-13: Highest Volume — 783 contracts
  • 2015-08-12: Largest IV spike — 42.1% change
  • 2015-08-24: Highest IV Rank — 85.6%
  • 2015-08-24: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$165.79$153.79$173.36$166.25$158.03
Max Pain$165.00$165.00$165.00$165.00$165.00
ATM IV22.9%14.3%37.5%16.5%29.8%
Expected Move6.9%4.2%10.8%4.7%8.5%
HV 20d18.6%12.5%28.6%12.6%28.6%
HV 60d16.1%13.6%20.4%13.6%20.4%
IV Rank33.0%2.1%85.6%9.9%57.7%
IV Percentile55.4%0.8%98.4%21.4%89.3%
Term Structure-0.8%-5.1%5.9%4.7%0.1%
VWIV25.3%15.0%35.3%17.2%32.1%
Skew 25d3.2%-1.1%5.2%2.6%-1.1%
Skew 10d9.7%-0.4%19.2%9.7%-0.4%
Call IV 25d23.7%11.2%35.6%14.6%34.4%
Put IV 25d26.9%15.8%38.3%17.2%33.3%
Bid-Ask Spread %72.3757.7796.0596.0580.90
Gamma HHI0.430.300.710.400.30
Net GEX-671.8K-2.2M497.8K-641.7K-548.5K
Net DEX4.8M-5.3M18.9M5.4M9.1M
Net VEX-48.1K-58.6K-39.7K-46.2K-46.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.353.253.250.67
Total Volume558.7143478334765
Total OI3,089.2862,4293,7922,4862,903

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$166.25$165.0016.5%4.7%12.6%9.9%17.2%2.6%4.7%-641.7K5.4M-46.2K3.2596.058268041,682
2015-08-04$168.25$165.0014.6%4.2%12.5%3.1%15.9%5.0%5.9%-560.4K3.4M-46.5K3.1093.621133508151,697
2015-08-05$170.71$165.0015.0%4.3%12.9%4.3%15.0%2.4%5.8%-526.9K1.1M-44.7K2.2894.611673808161,826
2015-08-06$168.96$165.0014.3%6.0%13.7%2.1%22.2%3.2%-0.5%-1.0M4.5M-48.8K2.3062.551653798751,985
2015-08-07$169.79$165.0014.7%5.9%13.5%3.3%22.6%3.5%-0.8%-981.8K3.6M-47.8K3.1462.711504718762,043
2015-08-10$171.27$165.0014.9%6.2%13.7%4.1%23.0%3.7%-1.7%-859.4K1.0M-44.7K1.9661.391953838782,194
2015-08-11$169.11$165.0015.5%6.2%14.7%6.4%22.3%3.7%-1.2%-1.2M4.4M-47.1K0.5164.272541299712,219
2015-08-12$167.71$165.0022.1%6.3%14.7%29.9%23.1%4.0%-1.6%-1.6M5.7M-58.6K0.9259.913543261,2242,323
2015-08-13$170.02$165.0022.3%6.4%15.2%30.5%24.6%3.6%-1.3%-1.1M1.6M-58.4K0.7157.774583251,2252,342
2015-08-14$171.08$165.0022.0%6.3%14.9%29.7%23.0%3.6%-1.1%-530.2K-1.0M-56.5K0.9858.793333271,3562,342
2015-08-17$173.36$165.0022.6%6.5%15.3%31.9%23.6%3.7%-2.1%497.8K-5.3M-50.1K0.9057.973653271,3712,343
2015-08-18$172.81$165.0022.9%6.6%14.9%33.1%24.4%4.4%-2.9%453.1K-5.0M-51.9K0.9261.033573271,4082,333
2015-08-19$171.20$165.0023.9%6.8%15.5%36.4%24.5%4.0%-3.0%-209.0K-3.0M-50.3K0.9164.0722201,4052,333
2015-08-20$166.42$165.0025.8%7.4%18.5%43.2%25.0%4.7%-4.7%-2.2M7.8M-50.7K0.6961.163682531,4282,333
2015-08-21$161.87$165.0027.7%8.0%21.1%50.3%28.4%4.6%-4.1%-590.8K18.9M-45.8K0.5264.203862021,4492,343
2015-08-24$153.98$165.0037.5%10.8%27.0%85.6%35.3%0.6%-5.1%-430.4K11.2M-39.8K0.4182.063821561,0051,424
2015-08-25$153.79$165.0030.9%8.9%26.4%61.8%33.9%5.2%-0.4%-416.1K10.0M-43.5K0.3585.563981401,0171,483
2015-08-26$157.68$165.0030.9%8.9%28.0%61.7%30.8%1.8%-1.2%-574.7K11.3M-39.7K0.3577.313981411,0391,484
2015-08-27$159.07$165.0028.9%8.3%28.2%54.5%31.3%2.0%-2.2%-560.7K9.3M-44.5K0.4585.825272361,0401,486
2015-08-28$160.22$165.0028.8%8.3%28.4%54.2%33.8%2.8%1.4%-558.3K7.4M-48.9K0.5888.044232471,1711,584
2015-08-31$158.03$165.0029.8%8.5%28.6%57.7%32.1%-1.1%0.1%-548.5K9.1M-46.2K0.6780.904573081,2411,662