FDS Options History — January 2016

In January 2016, FDS traded between $142.59 and $158.81. ATM implied volatility averaged 28.3%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 1.2% (HV 20d: 27.2%). Max pain ranged from $145.00 to $160.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.16.

Notable Days

2016-01-25: Highest Volume — 1,054 contracts
2016-01-13: Largest IV drop — 27.5% change
2016-01-11: Highest IV Rank — 88.6%
2016-01-20: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$148.95	$142.59	$158.81	$156.24	$148.80
Max Pain	$154.47	$145.00	$160.00	$160.00	$145.00
ATM IV	28.3%	23.6%	38.4%	28.6%	23.8%
Expected Move	7.4%	6.1%	8.1%	6.7%	6.8%
HV 20d	27.2%	24.8%	29.7%	29.7%	25.8%
HV 60d	23.4%	22.7%	23.8%	22.7%	23.6%
IV Rank	52.5%	35.6%	88.6%	53.6%	36.0%
IV Percentile	76.7%	56.7%	99.2%	84.9%	56.7%
Term Structure	2.4%	1.2%	4.7%	2.4%	4.7%
VWIV	26.0%	20.6%	31.0%	22.1%	26.2%
Skew 25d	4.9%	4.0%	5.7%	4.8%	4.5%
Skew 10d	11.4%	9.0%	13.9%	10.9%	11.8%
Call IV 25d	24.2%	20.6%	27.9%	21.4%	23.0%
Put IV 25d	29.1%	24.6%	33.4%	26.2%	27.5%
Bid-Ask Spread %	68.57	63.63	79.92	63.63	79.92
Gamma HHI	0.26	0.15	0.54	0.40	0.15
Net GEX	-567.7K	-2.3M	-86.4K	-1.6M	-124.0K
Net DEX	23.4M	5.3M	44.7M	34.1M	5.3M
Net VEX	-39.0K	-53.5K	-28.8K	-47.0K	-45.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.56	1.41	1.03	1.38
Total Volume	887.526	582	1,054	769	1,035
Total OI	3,814.579	2,084	5,235	4,622	2,911

Daily Data (19 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
2016-01-04	$156.24	$160.00	28.6%	6.7%	29.7%	53.6%	22.1%	4.8%	2.4%	-1.6M	34.1M	-47.0K	1.03	63.63	378	391	1,360	3,262
2016-01-05	$158.81	$160.00	23.6%	6.1%	28.9%	35.6%	20.6%	4.0%	2.9%	-2.3M	29.2M	-53.5K	0.84	67.32	409	343	1,390	3,257
2016-01-06	$156.54	$160.00	27.1%	6.6%	29.1%	48.1%	21.6%	4.1%	2.4%	-1.6M	33.8M	-45.9K	0.94	67.22	369	345	1,484	3,268
2016-01-07	$153.09	$160.00	30.2%	7.1%	29.5%	59.3%	23.2%	4.7%	1.5%	-1.2M	36.4M	-41.3K	0.93	67.45	371	345	1,555	3,281
2016-01-08	$150.39	$160.00	33.3%	7.5%	29.2%	70.4%	24.2%	4.7%	1.3%	-675.2K	39.5M	-32.6K	0.56	65.82	372	210	1,576	3,296
2016-01-11	$150.81	$160.00	38.4%	7.4%	28.7%	88.6%	24.8%	4.1%	2.3%	-608.7K	39.9M	-30.2K	1.27	64.45	388	491	1,579	3,285
2016-01-12	$150.44	$160.00	38.0%	7.3%	28.5%	87.1%	27.7%	5.1%	2.0%	-687.4K	42.8M	-40.2K	1.38	67.58	388	534	1,595	3,604
2016-01-13	$146.46	$160.00	27.5%	7.9%	29.1%	49.5%	26.6%	5.2%	1.2%	-411.4K	44.7M	-33.5K	1.32	64.96	392	517	1,612	3,623
2016-01-14	$148.12	$155.00	25.3%	7.2%	26.4%	41.5%	24.8%	4.7%	2.9%	-552.1K	43.2M	-35.0K	1.20	67.29	435	522	1,635	3,556
2016-01-15	$146.92	$155.00	27.8%	8.0%	26.3%	50.5%	31.0%	5.3%	1.7%	-91.8K	44.2M	-33.0K	1.28	67.24	417	532	1,625	3,552
2016-01-19	$146.23	$155.00	27.3%	7.8%	26.3%	48.9%	27.3%	5.4%	2.2%	-98.7K	6.1M	-30.6K	1.32	67.11	368	484	1,193	891
2016-01-20	$143.00	$155.00	28.3%	8.1%	24.9%	52.3%	29.5%	5.0%	1.8%	-94.5K	6.5M	-28.8K	1.04	64.08	439	455	1,230	887
2016-01-21	$142.59	$155.00	27.9%	8.0%	24.8%	50.8%	28.3%	5.7%	1.9%	-86.4K	6.5M	-30.2K	0.61	64.34	454	277	1,273	920
2016-01-22	$145.55	$155.00	26.3%	7.5%	25.8%	45.0%	26.8%	5.3%	2.9%	-116.6K	6.2M	-34.2K	1.35	69.54	439	592	1,343	1,031
2016-01-25	$144.47	$145.00	27.2%	7.8%	25.5%	48.5%	27.8%	5.2%	2.2%	-149.3K	7.1M	-43.3K	1.34	72.15	451	603	1,434	1,350
2016-01-26	$146.78	$145.00	26.9%	7.7%	26.3%	47.3%	27.4%	5.1%	2.2%	-153.9K	6.3M	-46.0K	1.40	72.34	437	613	1,451	1,402
2016-01-27	$147.06	$145.00	26.4%	7.6%	26.2%	45.5%	27.2%	5.6%	2.9%	-161.1K	6.2M	-45.3K	1.41	74.18	429	603	1,452	1,413
2016-01-28	$147.84	$145.00	24.5%	7.0%	25.5%	38.6%	26.7%	4.8%	3.9%	-127.0K	5.8M	-45.4K	1.38	76.16	435	600	1,472	1,429
2016-01-29	$148.80	$145.00	23.8%	6.8%	25.8%	36.0%	26.2%	4.5%	4.7%	-124.0K	5.3M	-45.6K	1.38	79.92	435	600	1,481	1,430