FDS Options History — April 2016

In April 2016, FDS traded between $146.82 and $157.90. ATM implied volatility averaged 21.6%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 2.1% (HV 20d: 23.7%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 3.11.

Notable Days

  • 2016-04-06: Highest Volume — 4,385 contracts
  • 2016-04-11: Largest IV spike — 35.4% change
  • 2016-04-11: Highest IV Rank — 50.7%
  • 2016-04-11: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$152.15$146.82$157.90$152.77$150.84
Max Pain$152.86$150.00$160.00$160.00$155.00
ATM IV21.6%19.1%30.1%20.2%22.4%
Expected Move6.0%5.5%6.8%5.8%6.4%
HV 20d23.7%18.2%32.2%31.3%21.0%
HV 60d26.4%25.9%26.8%26.8%26.0%
IV Rank24.1%16.6%50.7%19.8%26.8%
IV Percentile38.1%27.0%80.2%36.1%40.5%
Term Structure2.1%-1.4%5.0%0.4%-1.4%
VWIV22.7%21.3%24.3%22.1%24.3%
Skew 25d3.8%3.2%4.4%3.2%4.1%
Skew 10d8.5%6.5%11.3%8.5%9.7%
Call IV 25d20.0%18.1%22.1%20.2%20.6%
Put IV 25d23.8%21.6%25.9%23.5%24.8%
Bid-Ask Spread %69.5355.3779.8876.0379.88
Gamma HHI0.410.270.770.320.33
Net GEX-2.4M-5.6M-1.1M-1.9M-2.6M
Net DEX19.7M3.3M45.5M19.8M18.1M
Net VEX-82.0K-115.5K-56.1K-64.1K-95.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.111.3211.602.004.09
Total Volume1,352.0958924,3851,0401,299
Total OI6,622.2864,7559,0595,4256,869

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$152.77$160.0020.2%5.8%31.3%19.8%22.1%3.2%0.4%-1.9M19.8M-64.1K2.0076.033476931,1674,258
2016-04-04$152.55$150.0020.9%5.9%31.3%22.0%21.3%3.6%3.0%-1.9M19.0M-59.1K1.8862.543576711,1674,277
2016-04-05$150.57$150.0022.0%6.3%31.0%25.6%21.5%4.3%3.3%-2.2M19.0M-57.7K1.3255.373855071,1904,297
2016-04-06$151.79$150.0022.0%6.3%31.2%25.4%23.5%4.2%3.1%-2.0M19.5M-56.1K11.6067.923484,0371,1974,314
2016-04-07$147.97$150.0022.8%6.3%32.2%28.0%23.2%4.3%2.7%-5.6M45.5M-115.5K2.0965.413577461,2337,826
2016-04-08$148.26$150.0022.3%6.2%28.3%26.3%22.9%4.0%3.0%-4.0M36.9M-91.1K2.0160.753717461,2436,224
2016-04-11$146.82$150.0030.1%6.8%27.3%50.7%22.7%3.8%3.0%-4.5M40.8M-86.1K3.5667.463111,1061,2696,224
2016-04-12$149.15$150.0025.6%6.4%28.0%36.6%23.4%3.6%3.0%-4.2M33.8M-86.4K2.1163.703116571,3146,524
2016-04-13$152.51$150.0021.1%6.0%20.3%22.7%23.2%4.1%3.8%-2.0M25.4M-81.8K2.1961.792956451,3496,590
2016-04-14$153.27$150.0020.7%5.9%18.6%21.4%22.3%3.3%3.9%-1.8M23.1M-75.8K2.0965.702906071,3866,587
2016-04-15$154.01$150.0020.9%6.0%18.5%21.9%21.8%3.3%3.8%-1.4M21.3M-72.0K2.8769.432958471,4206,619
2016-04-18$154.30$155.0021.0%6.0%18.3%22.4%22.8%3.7%3.9%-1.5M7.6M-73.9K4.1366.652229169503,805
2016-04-19$154.70$155.0020.8%6.0%18.2%21.8%22.7%3.6%5.0%-1.5M7.5M-76.1K4.3066.972259671,0264,007
2016-04-20$157.90$155.0019.5%5.6%19.0%17.7%22.6%3.7%4.2%-1.1M3.3M-70.9K4.3773.372279911,0724,106
2016-04-21$154.30$155.0019.6%5.6%19.7%18.1%21.4%3.3%0.1%-1.5M7.0M-76.7K2.8774.906861,9721,3114,248
2016-04-22$155.00$155.0019.1%5.5%19.7%16.6%22.8%3.5%0.4%-1.7M8.7M-97.6K2.5173.444751,1911,5815,086
2016-04-25$152.06$155.0021.2%6.1%20.7%23.0%22.7%3.9%-0.2%-2.2M15.2M-98.6K1.6976.674758041,6165,171
2016-04-26$152.68$155.0019.7%5.6%20.6%18.3%23.0%3.7%-0.2%-2.2M13.3M-97.7K2.3877.672977081,6325,207
2016-04-27$152.90$155.0019.7%5.6%20.6%18.3%23.1%4.4%-0.2%-2.1M12.4M-93.7K2.6178.282817331,6345,210
2016-04-28$150.86$155.0021.4%6.1%21.1%23.5%23.2%3.6%-0.4%-2.6M17.2M-94.9K2.6976.232707261,6325,230
2016-04-29$150.84$155.0022.4%6.4%21.0%26.8%24.3%4.1%-1.4%-2.6M18.1M-95.4K4.0979.882551,0441,6405,229