FDS Options History — December 2015

In December 2015, FDS traded between $156.44 and $173.15. ATM implied volatility averaged 26.1%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.0% (HV 20d: 23.1%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.75.

Notable Days

  • 2015-12-14: Highest Volume — 2,671 contracts
  • 2015-12-09: Largest IV drop — 26.4% change
  • 2015-12-08: Highest IV Rank — 87.0%
  • 2015-12-02: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$165.10$156.44$173.15$171.33$163.11
Max Pain$166.82$165.00$170.00$165.00$165.00
ATM IV26.1%17.8%37.9%32.1%17.8%
Expected Move6.9%5.1%9.3%9.2%5.1%
HV 20d23.1%18.1%26.4%19.4%26.1%
HV 60d20.1%18.0%21.7%19.4%21.0%
IV Rank44.6%14.7%87.0%66.1%14.7%
IV Percentile69.4%30.6%98.4%94.8%30.6%
Term Structure-0.9%-7.5%2.3%-7.4%1.3%
VWIV25.8%20.6%35.7%29.2%20.6%
Skew 25d4.7%3.8%6.9%5.9%4.2%
Skew 10d10.7%8.5%14.1%12.3%8.9%
Call IV 25d22.8%16.7%30.3%29.5%17.5%
Put IV 25d27.5%20.9%35.9%35.4%21.7%
Bid-Ask Spread %70.7853.4890.7968.5490.60
Gamma HHI0.440.140.750.160.73
Net GEX-1.6M-3.7M316.2K208.2K-3.5M
Net DEX14.4M-4.6M35.5M-2.8M18.2M
Net VEX-56.5K-85.1K-28.7K-28.7K-69.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.049.620.040.40
Total Volume1,052.455722,67174782
Total OI3,993.7731,7876,2811,7874,573

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$171.33$165.0032.1%9.2%19.4%66.1%29.2%5.9%-7.4%208.2K-2.8M-28.7K0.0468.547131,027760
2015-12-02$171.19$165.0032.5%9.3%18.9%67.4%35.7%5.6%-7.5%226.0K-2.9M-30.8K1.0569.462692821,080763
2015-12-03$169.12$165.0033.6%7.2%19.2%71.3%26.9%4.3%-0.9%154.2K-1.9M-32.3K0.9060.542612351,162826
2015-12-04$173.15$170.0032.8%6.8%21.1%68.6%25.8%3.9%-0.6%316.2K-4.6M-33.2K0.9459.602632461,169845
2015-12-07$171.75$170.0037.7%7.4%21.2%86.1%25.8%4.5%-1.3%260.5K-3.5M-32.4K0.6764.3543291,172866
2015-12-08$172.57$170.0037.9%7.1%21.2%87.0%27.7%4.2%-0.7%276.4K-3.8M-33.5K0.7261.622842051,205894
2015-12-09$168.69$170.0027.9%8.0%22.5%51.0%29.1%5.1%-1.7%148.4K-1.9M-32.4K9.6255.262322,2321,215896
2015-12-10$170.54$170.0028.0%8.0%22.9%51.2%29.9%5.2%-1.7%-1.6M12.7M-85.1K1.0955.542222421,2383,521
2015-12-11$167.94$170.0029.7%8.5%23.5%57.3%31.6%4.9%-2.5%-1.3M12.3M-74.3K1.1753.482332731,2612,961
2015-12-14$169.08$170.0029.1%8.4%18.1%55.3%32.1%4.4%-2.3%-1.3M11.1M-72.1K4.6857.384702,2011,2873,029
2015-12-15$161.89$170.0025.6%7.3%23.4%42.6%25.4%4.4%0.1%-2.7M24.0M-66.2K1.1657.444835611,5304,685
2015-12-16$161.98$165.0025.2%7.2%23.2%41.1%24.3%4.7%0.2%-2.6M24.0M-66.1K3.4966.964521,5761,5184,763
2015-12-17$161.91$165.0023.1%6.6%22.8%33.6%23.0%4.5%2.3%-2.8M23.6M-65.3K4.3871.653771,6531,5914,475
2015-12-18$156.50$165.0025.7%7.4%25.2%43.0%25.6%5.1%-0.0%-1.5M35.5M-54.7K1.6067.225849351,6394,574
2015-12-21$156.44$165.0022.3%6.4%24.9%30.9%23.0%6.9%-0.2%-1.7M32.6M-52.7K1.0178.766106141,0873,004
2015-12-22$158.20$165.0019.8%5.7%25.5%21.8%21.9%4.0%0.8%-2.1M28.5M-68.2K1.0480.755786001,2883,206
2015-12-23$159.35$165.0019.0%5.4%25.7%18.8%21.6%3.8%1.2%-2.4M27.4M-68.1K1.1285.605406051,3233,212
2015-12-24$160.21$165.0019.4%5.6%25.8%20.2%22.0%4.3%0.9%-2.6M26.0M-70.2K1.0987.585536051,3243,217
2015-12-28$161.11$165.0019.7%5.7%25.7%21.5%23.2%4.5%-0.1%-3.1M24.5M-67.5K1.2286.255076181,3343,217
2015-12-29$163.47$165.0017.9%5.1%26.4%14.7%21.8%4.3%0.4%-3.7M17.8M-71.8K0.6387.735193271,3383,221
2015-12-30$162.58$165.0018.2%5.2%26.0%15.9%21.7%4.2%0.6%-3.3M20.1M-69.0K0.4890.795262531,3233,244
2015-12-31$163.11$165.0017.8%5.1%26.1%14.7%20.6%4.2%1.3%-3.5M18.2M-69.2K0.4090.605572251,3253,248