FDS Options History — September 2015

In September 2015, FDS traded between $153.21 and $166.39. ATM implied volatility averaged 27.9%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.1% (HV 20d: 30.0%). Max pain ranged from $155.00 to $165.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2015-09-21: Highest Volume — 1,041 contracts
  • 2015-09-03: Largest IV drop — 24.2% change
  • 2015-09-02: Highest IV Rank — 78.6%
  • 2015-09-02: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$161.16$153.21$166.39$153.21$160.00
Max Pain$160.48$155.00$165.00$165.00$165.00
ATM IV27.9%21.3%35.6%32.9%24.2%
Expected Move8.1%6.1%10.2%9.4%6.9%
HV 20d30.0%24.5%33.9%29.8%24.5%
HV 60d22.6%21.3%23.6%21.3%23.6%
IV Rank50.8%27.2%78.6%69.1%37.5%
IV Percentile81.9%59.1%96.8%94.0%68.3%
Term Structure-2.1%-5.3%2.1%2.1%-2.8%
VWIV28.4%17.2%35.4%31.7%24.6%
Skew 25d4.4%0.3%8.5%7.5%6.6%
Skew 10d9.0%-0.0%27.1%6.9%7.5%
Call IV 25d26.9%21.9%30.8%30.8%23.7%
Put IV 25d31.4%24.8%38.6%38.3%30.2%
Bid-Ask Spread %83.8376.1491.6581.8291.65
Gamma HHI0.320.140.700.270.14
Net GEX-633.1K-2.2M173.6K-629.7K-31.5K
Net DEX4.3M-1.9M14.5M14.5M1.8M
Net VEX-38.8K-47.4K-31.9K-38.6K-34.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.641.940.711.89
Total Volume634.667591,041706621
Total OI2,684.7141,2063,4133,0851,716

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$153.21$165.0032.9%9.4%29.8%69.1%31.7%7.5%2.1%-629.7K14.5M-38.6K0.7181.824122941,3021,783
2015-09-02$156.04$165.0035.6%10.2%30.1%78.6%35.4%8.5%-2.6%-664.3K13.5M-39.9K0.6486.044562921,3371,794
2015-09-03$158.53$155.0027.0%8.4%30.9%47.7%31.0%5.0%-2.5%-757.8K10.3M-44.1K1.6279.602654281,4031,805
2015-09-04$156.10$155.0030.9%9.4%31.0%61.6%32.7%3.4%-2.9%-593.7K12.0M-47.4K1.4779.022914281,4841,899
2015-09-08$161.81$155.0028.1%9.0%33.9%51.8%28.1%6.8%-2.9%-888.4K7.1M-46.4K1.1383.4780901,4661,899
2015-09-09$160.59$155.0030.2%8.7%33.7%59.2%31.4%2.9%-2.1%-983.1K7.5M-45.7K1.0878.243273541,4681,899
2015-09-10$161.93$155.0029.4%8.4%33.9%56.3%31.2%4.9%-2.3%-1.0M6.2M-45.7K1.1379.833273701,5091,904
2015-09-11$164.34$155.0029.6%8.5%33.9%57.1%31.3%5.4%-2.9%-1.1M3.0M-43.7K1.1781.433063591,5091,902
2015-09-14$165.10$155.0028.6%8.2%33.9%53.4%31.5%5.5%-2.9%-1.3M1.2M-41.7K1.2076.492833391,5001,904
2015-09-15$166.36$160.0028.4%8.1%33.6%52.6%17.2%7.6%-3.3%-1.5M-1.3M-40.0K1.4690.3924351,4611,925
2015-09-16$166.39$160.0028.5%8.2%33.6%53.0%30.2%3.9%-3.1%-1.7M-1.6M-38.5K1.3382.552483301,4501,950
2015-09-17$165.52$160.0028.2%8.1%33.5%52.1%30.4%2.8%-2.5%-2.2M-1.7M-36.7K1.3686.202633581,4501,948
2015-09-18$164.15$160.0027.7%7.9%32.2%50.1%30.8%3.3%-1.6%144.0K8.9M-32.1K1.4476.142363401,4161,960
2015-09-21$165.75$160.0029.0%8.3%30.7%54.9%29.6%4.4%-5.3%173.6K-1.9M-31.9K1.0578.48508533779427
2015-09-22$163.44$165.0023.0%6.6%24.8%33.3%24.8%4.1%-1.1%41.3K-2.9K-35.8K1.8889.23266501931710
2015-09-23$163.28$165.0021.3%6.1%24.8%27.2%22.6%2.9%0.2%38.3K-70.0K-35.6K1.6286.60258419947710
2015-09-24$159.47$165.0023.4%6.7%25.1%34.8%24.7%2.0%-0.2%-90.4K2.3M-37.0K1.9188.24232443941787
2015-09-25$159.85$165.0023.5%6.7%24.9%35.1%24.3%2.2%-0.8%-20.3K1.8M-35.6K1.7891.44249444952733
2015-09-28$156.65$165.0028.4%8.2%25.8%52.8%27.3%0.3%-1.9%-77.6K3.0M-33.1K1.9487.24236458956746
2015-09-29$155.83$165.0027.1%7.8%25.4%48.2%26.2%3.5%-2.1%-112.0K3.4M-32.1K1.7786.27226399976741
2015-09-30$160.00$165.0024.2%6.9%24.5%37.5%24.6%6.6%-2.8%-31.5K1.8M-34.2K1.8991.65215406976740