FDS Options History — March 2016

In March 2016, FDS traded between $146.38 and $158.26. ATM implied volatility averaged 29.6%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 0.7% (HV 20d: 29.0%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 3.49.

Notable Days

  • 2016-03-10: Highest Volume — 4,318 contracts
  • 2016-03-09: Largest IV drop — 33.9% change
  • 2016-03-07: Highest IV Rank — 100.0%
  • 2016-03-02: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$152.55$146.38$158.26$154.59$151.78
Max Pain$158.18$150.00$160.00$160.00$160.00
ATM IV29.6%21.5%46.1%37.1%21.5%
Expected Move7.8%6.2%10.8%10.6%6.2%
HV 20d29.0%20.8%32.8%28.3%31.3%
HV 60d27.4%25.7%28.9%26.6%27.0%
IV Rank51.3%24.1%100.0%84.0%24.1%
IV Percentile68.3%38.9%100.0%96.8%38.9%
Term Structure-1.6%-8.6%2.7%-8.5%0.0%
VWIV28.5%23.8%41.3%37.2%23.8%
Skew 25d4.8%3.1%6.5%5.9%3.1%
Skew 10d10.9%6.5%18.6%12.4%6.5%
Call IV 25d25.5%20.4%36.8%35.1%20.4%
Put IV 25d30.3%23.5%43.3%41.0%23.5%
Bid-Ask Spread %64.1151.3773.9565.2173.95
Gamma HHI0.370.140.940.140.34
Net GEX-3.0M-25.5M-155.8K-155.8K-2.1M
Net DEX20.3M3.6M44.4M3.6M19.6M
Net VEX-65.0K-85.2K-41.7K-41.7K-66.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.491.2816.003.402.45
Total Volume1,563.6829124,3182,2711,197
Total OI5,891.1823,0138,9133,0135,443

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$154.59$160.0037.1%10.6%28.3%84.0%37.2%5.9%-8.5%-155.8K3.6M-41.7K3.4065.215161,7551,2581,755
2016-03-02$153.98$160.0037.6%10.8%25.5%85.8%41.3%6.5%-8.6%-802.8K11.1M-57.0K2.7659.762717471,5352,766
2016-03-03$154.46$150.0039.1%8.3%25.4%91.2%29.5%5.0%-1.5%-800.6K10.8M-59.6K2.4756.562636491,5782,868
2016-03-04$155.23$150.0040.6%8.3%25.4%96.6%29.1%5.0%-1.6%-760.4K9.6M-58.7K2.7857.452486891,6042,887
2016-03-07$157.40$150.0046.1%8.7%23.9%100.0%30.5%5.5%-2.3%-668.7K6.8M-57.0K2.7454.682446681,6382,949
2016-03-08$157.84$155.0045.7%8.3%22.2%98.9%30.5%5.3%-1.9%-670.9K6.3M-56.7K2.6555.002506621,6662,956
2016-03-09$158.26$155.0030.3%8.7%20.8%51.0%30.2%5.9%-2.8%-619.0K5.4M-55.0K5.8456.352821,6461,6682,970
2016-03-10$151.30$160.0032.8%9.4%27.7%59.0%30.9%5.1%-3.5%-1.5M25.7M-69.0K16.0051.372544,0641,6933,995
2016-03-11$154.31$160.0031.1%8.9%26.9%53.6%29.7%5.7%-3.6%-2.8M28.9M-85.2K5.5553.942741,5201,7466,398
2016-03-14$155.02$160.0031.9%9.1%25.7%56.1%31.6%5.1%-4.0%-2.8M27.9M-77.1K4.9257.213931,9351,8046,448
2016-03-15$146.38$160.0027.1%7.8%32.1%41.2%27.1%4.5%0.4%-3.8M44.4M-53.6K1.4860.376549702,3266,303
2016-03-16$149.90$160.0024.3%7.0%32.2%32.7%25.8%4.1%1.3%-5.2M34.9M-58.6K1.6570.735178552,2066,372
2016-03-17$151.21$160.0023.0%6.6%32.2%28.6%25.1%4.2%2.7%-4.9M28.5M-56.5K1.2873.506117822,2956,406
2016-03-18$150.27$160.0023.2%6.6%32.0%29.1%24.8%4.5%2.4%-25.5M27.4M-58.0K5.9271.515933,5122,4346,479
2016-03-21$149.66$160.0023.9%6.9%31.7%31.4%25.9%4.6%-0.6%-2.0M24.1M-80.1K1.9172.593226141,0644,091
2016-03-22$151.63$160.0022.9%6.6%32.0%28.4%24.4%4.1%-0.3%-2.0M20.7M-78.6K1.9065.813436511,0914,099
2016-03-23$148.82$160.0022.8%6.5%32.8%27.8%24.9%4.2%-0.6%-2.0M25.1M-76.3K2.0267.383336731,1464,088
2016-03-24$149.15$160.0022.2%6.4%32.4%26.2%26.4%4.8%-0.3%-1.9M25.5M-72.4K2.1268.473537491,1464,126
2016-03-28$150.86$160.0023.2%6.7%32.6%29.2%26.8%4.1%-0.9%-2.1M22.0M-71.6K2.1673.433427391,1624,253
2016-03-29$151.96$160.0022.6%6.5%32.7%27.3%26.3%4.1%-0.3%-2.1M19.4M-71.1K2.1472.983447351,1694,271
2016-03-30$152.18$160.0022.6%6.5%31.3%27.3%25.3%3.5%-0.8%-2.1M18.6M-70.9K2.5472.143348481,1814,273
2016-03-31$151.78$160.0021.5%6.2%31.3%24.1%23.8%3.1%0.0%-2.1M19.6M-66.4K2.4573.953478501,1834,260