FDS Options History — November 2015

In November 2015, FDS traded between $166.92 and $175.19. ATM implied volatility averaged 24.6%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 6.3% (HV 20d: 18.3%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.94.

Notable Days

2015-11-02: Highest Volume — 685 contracts
2015-11-11: Largest IV spike — 25.2% change
2015-11-30: Highest IV Rank — 65.1%
2015-11-30: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$171.77	$166.92	$175.19	$175.19	$169.53
Max Pain	$165.75	$165.00	$170.00	$170.00	$165.00
ATM IV	24.6%	18.1%	31.9%	18.5%	31.9%
Expected Move	7.3%	5.3%	9.1%	5.3%	9.1%
HV 20d	18.3%	15.0%	22.0%	15.5%	18.9%
HV 60d	22.6%	19.6%	24.6%	24.2%	19.6%
IV Rank	39.0%	15.4%	65.1%	17.1%	65.1%
IV Percentile	69.3%	36.5%	94.8%	42.1%	94.8%
Term Structure	-2.2%	-7.5%	4.7%	4.7%	-7.5%
VWIV	26.8%	17.8%	32.7%	18.7%	32.7%
Skew 25d	4.3%	1.8%	5.7%	1.8%	5.6%
Skew 10d	10.6%	5.2%	14.7%	6.7%	14.7%
Call IV 25d	24.1%	17.7%	30.2%	18.4%	30.2%
Put IV 25d	28.4%	20.2%	35.8%	20.2%	35.8%
Bid-Ask Spread %	67.17	60.03	86.65	86.06	68.63
Gamma HHI	0.23	0.12	0.39	0.14	0.16
Net GEX	394.6K	-421.6K	1.1M	346.6K	159.8K
Net DEX	-3.5M	-7.1M	114.7K	-5.6M	-1.5M
Net VEX	-34.4K	-42.0K	-28.2K	-39.4K	-28.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.13	1.67	0.56	0.24
Total Volume	382.4	10	685	685	67
Total OI	2,291.25	1,603	2,599	2,059	1,742

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2015-11-02	$175.19	$170.00	18.5%	5.3%	15.5%	17.1%	18.7%	1.8%	4.7%	346.6K	-5.6M	-39.4K	0.56	86.06	439	246	1,157	902
2015-11-03	$172.91	$170.00	18.9%	5.4%	16.5%	18.6%	18.3%	3.1%	4.2%	502.9K	-4.8M	-40.4K	0.59	84.83	406	240	1,360	915
2015-11-04	$173.86	$170.00	18.6%	5.3%	16.5%	17.4%	17.8%	2.7%	4.7%	828.7K	-6.0M	-42.0K	0.60	86.65	405	242	1,560	914
2015-11-05	$174.45	$165.00	18.5%	6.7%	16.5%	17.0%	24.9%	3.7%	-0.7%	906.7K	-6.6M	-41.7K	0.60	63.42	415	250	1,562	918
2015-11-06	$173.40	$165.00	18.1%	6.7%	16.8%	15.4%	27.2%	4.7%	-0.8%	738.9K	-5.2M	-39.8K	1.61	62.45	18	29	1,571	926
2015-11-09	$174.00	$165.00	19.5%	6.9%	16.7%	20.7%	22.3%	4.4%	-1.3%	826.3K	-5.7M	-39.7K	0.17	62.96	12	2	1,571	939
2015-11-10	$175.08	$165.00	19.1%	6.9%	16.6%	19.2%	26.0%	4.3%	-1.0%	1.0M	-6.7M	-39.0K	1.15	63.12	224	258	1,584	941
2015-11-11	$174.74	$165.00	23.9%	6.9%	15.7%	36.6%	25.5%	4.8%	-2.1%	1.1M	-7.1M	-37.3K	1.15	77.18	224	258	1,580	941
2015-11-12	$174.11	$165.00	24.9%	7.2%	15.0%	40.2%	27.1%	3.7%	-1.8%	868.7K	-6.0M	-37.7K	1.29	61.41	207	268	1,579	941
2015-11-13	$166.92	$165.00	27.2%	7.8%	21.9%	48.3%	28.6%	4.4%	-3.0%	114.4K	114.7K	-32.2K	1.67	60.03	221	369	1,586	961
2015-11-16	$169.10	$165.00	27.0%	7.7%	21.9%	47.5%	26.0%	5.0%	-3.2%	129.0K	-785.2K	-31.9K	0.25	60.85	8	2	1,601	998
2015-11-17	$169.87	$165.00	27.8%	8.0%	21.8%	50.6%	30.3%	4.6%	-3.8%	121.8K	-1.4M	-32.5K	1.41	61.34	218	308	1,602	995
2015-11-18	$171.47	$165.00	28.0%	8.0%	22.0%	51.2%	30.9%	5.1%	-4.4%	139.1K	-2.4M	-30.7K	1.45	60.40	202	292	1,602	994
2015-11-19	$169.22	$165.00	27.7%	7.9%	19.8%	50.2%	30.7%	4.8%	-4.0%	-23.9K	-855.3K	-30.5K	1.29	60.96	195	252	1,603	992
2015-11-20	$170.41	$165.00	27.7%	7.9%	19.0%	50.1%	30.8%	4.8%	-3.6%	-421.6K	-2.0M	-29.9K	1.40	63.69	194	272	1,600	992
2015-11-23	$170.13	$165.00	27.9%	8.0%	19.0%	50.8%	28.0%	4.2%	-4.6%	102.1K	-1.5M	-28.2K	0.13	64.01	39	5	888	715
2015-11-24	$170.62	$165.00	28.4%	8.1%	18.7%	52.8%	28.0%	5.3%	-5.1%	133.0K	-1.7M	-28.4K	0.56	64.76	61	34	923	716
2015-11-25	$169.58	$165.00	28.8%	8.2%	18.5%	54.0%	30.9%	4.5%	-5.4%	149.4K	-1.7M	-29.1K	1.31	65.43	166	217	971	740
2015-11-27	$170.86	$165.00	29.6%	8.5%	18.8%	57.1%	32.3%	5.7%	-5.8%	186.7K	-2.2M	-28.9K	1.31	65.19	166	217	986	757
2015-11-30	$169.53	$165.00	31.9%	9.1%	18.9%	65.1%	32.7%	5.6%	-7.5%	159.8K	-1.5M	-28.3K	0.24	68.63	54	13	985	757