FDS Options History — October 2015

In October 2015, FDS traded between $159.49 and $175.97. ATM implied volatility averaged 20.8%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.0% (HV 20d: 18.7%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2015-10-02: Highest Volume — 717 contracts
  • 2015-10-20: Largest IV spike — 8.6% change
  • 2015-10-06: Highest IV Rank — 37.3%
  • 2015-10-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$167.14$159.49$175.97$159.49$175.41
Max Pain$162.05$160.00$165.00$165.00$165.00
ATM IV20.8%18.4%24.1%23.3%18.4%
Expected Move5.8%5.3%6.7%6.7%5.3%
HV 20d18.7%15.5%23.8%23.8%15.5%
HV 60d23.8%23.4%24.5%23.5%24.2%
IV Rank25.3%16.5%37.3%34.4%16.5%
IV Percentile52.3%39.7%67.5%61.9%39.7%
Term Structure2.3%-0.9%4.4%-0.6%4.4%
VWIV21.9%19.3%27.2%27.2%19.3%
Skew 25d3.7%0.2%5.3%4.3%2.4%
Skew 10d8.2%4.7%14.4%5.1%7.3%
Call IV 25d19.4%16.9%22.6%22.3%16.9%
Put IV 25d23.1%19.4%26.6%26.6%19.4%
Bid-Ask Spread %85.2776.9291.4390.5985.65
Gamma HHI0.160.130.190.140.14
Net GEX60.8K-142.9K315.3K-28.6K311.1K
Net DEX-1.3M-5.6M2.1M1.8M-5.6M
Net VEX-37.8K-41.7K-33.4K-33.9K-40.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.662.321.371.08
Total Volume579.545103717501474
Total OI1,882.51,6072,0991,7151,999

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$159.49$165.0023.3%6.7%23.8%34.4%27.2%4.3%-0.6%-28.6K1.8M-33.9K1.3790.59211290984731
2015-10-02$161.15$165.0023.3%6.7%23.4%34.4%24.5%3.9%-0.9%-7371.5M-33.4K1.0391.43353364981732
2015-10-05$161.01$160.0023.4%6.4%22.7%34.8%22.5%3.7%1.6%-53.0K1.3M-37.0K2.3276.9231721,030830
2015-10-06$160.52$160.0024.1%6.4%18.7%37.3%23.3%3.0%1.4%-120.9K2.1M-37.0K1.6777.572383971,027897
2015-10-07$161.40$160.0023.7%6.5%18.6%35.8%23.3%4.6%1.0%-84.4K1.4M-38.1K1.6880.542363961,032898
2015-10-08$162.68$160.0022.3%6.0%18.6%30.6%23.1%5.3%2.3%-41.8K812.5K-37.4K1.7678.562424261,032898
2015-10-09$162.94$160.0021.3%5.9%17.8%26.9%23.0%4.2%2.7%-52.0K701.2K-38.8K1.7687.112424261,041928
2015-10-12$164.31$160.0022.5%5.8%18.0%31.4%20.3%5.0%2.2%-14.3K-69.5K-37.0K1.6385.492353821,041928
2015-10-13$163.84$160.0022.7%5.8%17.7%32.2%25.2%4.7%1.9%-71.5K502.4K-37.4K1.7784.502253991,045956
2015-10-14$161.86$160.0022.3%6.4%18.2%30.6%24.4%3.8%1.5%-142.9K1.4M-36.9K1.6884.882343921,0461,002
2015-10-15$164.73$160.0020.4%5.9%19.3%23.9%20.7%4.9%2.4%-68.1K-131.8K-36.0K1.5386.292613991,0601,001
2015-10-16$165.39$160.0020.1%5.7%19.1%22.6%22.0%4.6%2.6%3.7K-1.3M-37.8K1.3983.622643661,0701,029
2015-10-19$167.64$160.0018.6%5.3%19.4%17.6%20.3%4.4%2.8%48.9K-1.1M-37.4K1.2888.00222285858749
2015-10-20$167.04$160.0020.2%5.8%18.7%23.3%21.0%0.2%2.4%10.0K-602.8K-37.4K1.2789.29225285872789
2015-10-21$168.10$160.0018.9%5.4%18.8%18.4%20.4%3.0%2.9%58.4K-1.5M-37.2K1.2489.60229283885789
2015-10-22$173.09$165.0018.4%5.3%18.8%16.7%19.6%3.0%2.7%138.5K-3.6M-38.0K0.9490.03316296888799
2015-10-23$175.92$165.0018.9%5.4%19.3%18.7%21.5%3.8%3.2%249.2K-5.4M-38.3K0.6686.16416275949803
2015-10-26$175.97$165.0018.6%5.3%17.0%17.3%19.6%2.8%2.6%315.3K-5.6M-39.0K0.7191.373612561,056839
2015-10-27$174.04$165.0018.6%5.3%17.6%17.3%20.6%3.4%4.2%284.4K-4.8M-40.0K0.7581.403462581,081845
2015-10-28$175.22$165.0018.6%5.3%15.8%17.6%20.1%2.9%3.7%292.1K-5.2M-41.7K0.8781.403062651,112884
2015-10-29$175.29$165.0018.6%5.3%15.6%17.6%19.8%3.2%4.2%304.5K-5.5M-41.0K0.8785.553062651,116883
2015-10-30$175.41$165.0018.4%5.3%15.5%16.5%19.3%2.4%4.4%311.1K-5.6M-40.3K1.0885.652282461,116883