FDS Options History — May 2016

In May 2016, FDS traded between $148.80 and $159.99. ATM implied volatility averaged 20.0%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.4% (HV 20d: 18.6%). Max pain ranged from $155.00 to $155.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.67.

Notable Days

  • 2016-05-02: Highest Volume — 2,422 contracts
  • 2016-05-27: Largest IV drop — 12.7% change
  • 2016-05-04: Highest IV Rank — 29.4%
  • 2016-05-04: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$153.35$148.80$159.99$152.28$159.35
Max Pain$155.00$155.00$155.00$155.00$155.00
ATM IV20.0%16.0%23.3%22.9%17.5%
Expected Move5.7%4.6%6.7%6.6%5.0%
HV 20d18.6%15.2%22.3%21.3%17.6%
HV 60d24.3%23.4%26.1%26.0%23.8%
IV Rank19.4%7.0%29.4%28.3%11.7%
IV Percentile27.0%11.1%46.8%43.7%13.9%
Term Structure3.5%-1.8%7.2%-1.6%6.8%
VWIV20.3%16.2%25.1%23.0%18.4%
Skew 25d3.9%2.9%4.7%4.7%3.4%
Skew 10d8.9%5.9%10.3%9.3%6.7%
Call IV 25d18.3%14.9%22.5%20.4%16.3%
Put IV 25d22.2%17.9%27.1%25.1%19.6%
Bid-Ask Spread %77.5162.5789.2077.1688.77
Gamma HHI0.300.200.470.300.24
Net GEX-1.7M-3.5M956.6K-2.3M832.5K
Net DEX9.5M-7.5M24.2M13.5M-5.5M
Net VEX-71.6K-95.4K-52.5K-87.9K-61.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.670.613.632.122.22
Total Volume1,254.1438392,4222,422862
Total OI6,942.5714,4217,9516,8825,631

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$152.28$155.0022.9%6.6%21.3%28.3%23.0%4.7%-1.6%-2.3M13.5M-87.9K2.1277.167771,6451,6645,218
2016-05-03$148.84$155.0023.1%6.6%22.3%28.9%25.1%4.7%-1.8%-2.8M24.2M-95.4K1.5376.337721,1842,1785,341
2016-05-04$149.22$155.0023.3%6.7%22.1%29.4%24.5%4.6%-1.1%-2.8M23.1M-95.4K3.6380.513161,1462,1985,380
2016-05-05$148.80$155.0022.7%6.2%20.2%27.7%22.6%3.8%2.2%-2.9M23.8M-93.5K3.3065.733211,0592,2195,375
2016-05-06$150.38$155.0022.5%6.1%20.5%27.1%22.4%4.5%2.5%-2.8M19.2M-90.8K2.9162.573299592,1985,372
2016-05-09$152.02$155.0022.6%5.9%20.4%27.5%20.8%3.4%3.0%-2.5M13.2M-81.4K3.0568.963199722,2235,379
2016-05-10$152.46$155.0021.9%5.9%19.7%25.3%21.5%4.2%3.1%-2.4M12.0M-81.4K3.0868.773159702,2715,396
2016-05-11$151.59$155.0020.6%5.9%18.2%21.2%21.8%4.2%3.2%-2.7M14.6M-77.6K3.2769.933081,0062,2915,421
2016-05-12$151.48$155.0020.7%5.9%18.1%21.3%22.2%4.5%2.8%-2.8M14.7M-73.9K2.9170.273139122,2555,468
2016-05-13$150.12$155.0020.7%5.9%18.2%21.6%20.8%4.6%3.2%-3.5M19.3M-70.8K3.3873.952247572,2575,467
2016-05-16$151.98$155.0020.3%5.8%18.8%20.1%19.8%3.5%3.8%-2.2M10.3M-61.6K2.6778.172797442,2605,467
2016-05-17$151.87$155.0020.3%5.8%18.8%20.2%18.4%3.7%3.7%-1.9M10.4M-57.2K2.6381.652837442,2705,467
2016-05-18$151.21$155.0020.1%5.8%17.0%19.7%19.7%3.4%3.7%-2.1M12.4M-52.5K3.1777.542728612,2695,466
2016-05-19$152.67$155.0018.1%5.2%15.5%13.4%18.8%4.1%5.1%-1.5M9.9M-58.0K2.4776.272977352,2705,634
2016-05-20$155.35$155.0017.7%5.1%16.7%12.2%18.4%3.1%5.1%-3.0M-850.7K-59.0K2.8082.642607272,2775,674
2016-05-23$156.26$155.0017.8%5.1%15.2%12.4%19.5%3.4%5.0%401.6K-614.5K-56.1K2.6481.862546711,8682,553
2016-05-24$159.99$155.0016.3%4.7%17.1%7.8%16.2%3.1%6.1%956.6K-7.5M-59.8K0.6185.971,3258081,9892,870
2016-05-25$158.20$155.0016.9%4.8%17.8%9.6%18.5%3.7%6.2%333.6K-2.0M-63.0K2.7885.382396642,1643,117
2016-05-26$157.01$155.0018.4%5.3%17.2%14.2%18.2%3.5%5.8%133.4K-151.7K-63.7K2.5786.122356042,2033,250
2016-05-27$159.36$155.0016.0%4.6%17.8%7.0%16.7%2.9%7.2%760.5K-5.3M-63.9K2.3389.202616082,2533,271
2016-05-31$159.35$155.0017.5%5.0%17.6%11.7%18.4%3.4%6.8%832.5K-5.5M-61.2K2.2288.772685942,3063,325