FDS Options History — February 2016

In February 2016, FDS traded between $136.48 and $151.85. ATM implied volatility averaged 31.9%, placing in the 65.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 6.6% (HV 20d: 25.3%). Max pain ranged from $145.00 to $160.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.09.

Notable Days

  • 2016-02-16: Highest Volume — 1,145 contracts
  • 2016-02-02: Largest IV spike — 12.3% change
  • 2016-02-11: Highest IV Rank — 80.3%
  • 2016-02-11: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$145.59$136.48$151.85$149.84$150.62
Max Pain$157.75$145.00$160.00$145.00$160.00
ATM IV31.9%24.0%36.0%24.0%35.3%
Expected Move9.2%6.9%10.3%6.9%10.1%
HV 20d25.3%22.6%28.5%26.0%26.9%
HV 60d25.1%23.6%26.1%23.6%26.0%
IV Rank65.3%36.9%80.3%36.9%77.5%
IV Percentile88.1%58.7%96.4%58.7%95.6%
Term Structure-3.4%-7.0%4.5%4.5%-7.0%
VWIV33.3%26.5%36.3%26.5%36.3%
Skew 25d6.0%5.1%6.7%5.1%6.7%
Skew 10d13.2%11.3%15.5%12.4%12.8%
Call IV 25d29.9%22.1%33.5%22.1%32.0%
Put IV 25d35.9%27.2%39.3%27.2%38.7%
Bid-Ask Spread %61.0353.3477.6877.6867.20
Gamma HHI0.150.110.170.150.15
Net GEX-228.3K-297.0K-107.9K-107.9K-263.2K
Net DEX7.4M4.7M11.3M4.8M5.9M
Net VEX-40.0K-45.4K-35.3K-45.4K-39.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.091.443.351.442.60
Total Volume890.47311,1451,056731
Total OI3,099.452,7793,4952,9332,971

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$149.84$145.0024.0%6.9%26.0%36.9%26.5%5.1%4.5%-107.9K4.8M-45.4K1.4477.684336231,4821,451
2016-02-02$145.17$145.0027.0%7.7%24.0%47.5%28.7%5.5%2.9%-175.6K7.2M-42.1K1.6077.063715951,4871,451
2016-02-03$144.68$145.0027.8%8.0%22.8%50.4%28.7%5.8%2.5%-179.9K7.6M-41.0K1.5777.053345241,5061,452
2016-02-04$145.51$160.0027.2%8.7%22.7%48.2%30.5%5.7%-2.2%-181.6K7.2M-41.9K1.6353.963125071,5251,476
2016-02-05$142.45$160.0030.3%9.3%22.6%59.4%31.6%6.3%-3.1%-228.9K8.8M-38.9K1.5457.683315091,5261,487
2016-02-08$139.78$160.0033.4%9.6%22.7%70.5%35.5%6.3%-3.7%-231.6K9.8M-36.5K1.6054.023735951,5391,494
2016-02-09$137.64$160.0034.4%9.7%23.0%74.2%33.8%5.8%-3.9%-245.3K11.0M-36.1K1.4554.013525111,5901,602
2016-02-10$139.05$160.0033.6%9.6%23.5%71.5%33.5%5.5%-3.9%-250.7K10.3M-37.2K1.5153.343465211,5771,585
2016-02-11$136.48$160.0036.0%10.3%22.7%80.3%34.3%5.8%-4.9%-261.7K11.3M-35.3K1.5153.473345061,5811,595
2016-02-12$140.28$160.0033.5%9.6%24.7%71.1%34.9%6.3%-3.8%-280.4K10.1M-37.1K1.9354.363386531,5981,610
2016-02-16$144.75$160.0033.5%9.6%27.4%71.0%35.5%6.4%-4.8%-249.6K7.8M-39.9K2.0957.873717741,6001,755
2016-02-17$148.00$160.0031.9%9.2%28.5%65.5%34.6%6.3%-4.3%-172.7K5.5M-41.0K1.8457.963516471,6261,833
2016-02-18$146.73$160.0032.9%9.4%27.4%69.1%34.9%6.0%-4.7%-158.7K6.0M-40.5K2.3259.492806491,6391,845
2016-02-19$148.40$160.0032.0%9.2%27.6%65.8%33.8%6.1%-4.7%-266.1K4.7M-40.0K2.0960.182705651,6471,848
2016-02-22$150.33$160.0032.1%9.2%27.1%65.9%34.5%6.2%-4.1%-237.7K5.7M-39.7K3.1658.601835781,1941,585
2016-02-23$149.56$160.0032.6%9.3%27.0%67.8%34.7%6.1%-4.8%-281.8K6.7M-42.1K3.0158.682056181,2241,685
2016-02-24$149.84$160.0033.2%9.5%26.5%70.1%35.2%5.6%-5.5%-297.0K6.8M-42.6K2.9661.402086151,2421,726
2016-02-25$151.85$160.0033.6%9.6%26.8%71.4%33.7%6.2%-5.9%-228.9K5.3M-42.2K2.5461.952376011,2511,722
2016-02-26$150.94$160.0033.5%9.6%26.9%71.2%34.7%6.2%-6.2%-267.1K6.1M-41.7K3.3564.681976601,2531,729
2016-02-29$150.62$160.0035.3%10.1%26.9%77.5%36.3%6.7%-7.0%-263.2K5.9M-39.6K2.6067.202035281,2511,720