FDS Options History — June 2016

In June 2016, FDS traded between $151.34 and $162.66. ATM implied volatility averaged 24.8%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.5% (HV 20d: 17.3%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.67.

Notable Days

  • 2016-06-27: Highest Volume — 1,763 contracts
  • 2016-06-08: Largest IV spike — 56.6% change
  • 2016-06-27: Highest IV Rank — 70.9%
  • 2016-06-27: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$158.20$151.34$162.66$158.20$161.07
Max Pain$159.09$155.00$160.00$155.00$155.00
ATM IV24.8%15.7%36.7%16.6%19.5%
Expected Move7.6%4.7%10.5%4.7%5.6%
HV 20d17.3%12.7%27.1%15.4%27.1%
HV 60d19.6%16.9%23.8%23.7%22.0%
IV Rank34.1%6.1%70.9%8.6%17.7%
IV Percentile54.4%9.5%95.6%13.1%24.2%
Term Structure-3.3%-10.9%7.7%7.7%0.3%
VWIV28.2%15.8%36.2%15.8%20.4%
Skew 25d4.4%2.5%5.9%3.1%3.6%
Skew 10d10.9%6.2%20.0%7.3%11.5%
Call IV 25d24.8%15.8%33.5%15.8%17.9%
Put IV 25d29.2%19.0%39.4%19.0%21.5%
Bid-Ask Spread %71.4959.9092.6288.5391.35
Gamma HHI0.270.130.570.230.18
Net GEX527.1K-579.2K1.5M506.9K61.3K
Net DEX-2.6M-7.7M6.9M-3.1M-3.8M
Net VEX-51.8K-62.1K-38.9K-57.7K-54.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.912.821.590.91
Total Volume813.8646731,763800943
Total OI5,002.9092,9776,0345,6804,476

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$158.20$155.0016.6%4.7%15.4%8.6%15.8%3.1%7.7%506.9K-3.1M-57.7K1.5988.533094912,3173,363
2016-06-02$160.08$160.0015.7%7.0%15.7%6.1%28.9%4.5%-1.7%1.1M-7.4M-62.1K1.7559.902774842,3813,423
2016-06-03$159.05$160.0016.0%7.0%16.0%6.7%26.8%4.2%-1.7%823.8K-5.3M-61.1K1.4263.122954182,3893,460
2016-06-06$159.97$160.0016.3%7.1%15.8%8.0%27.0%4.0%-2.2%1.3M-7.7M-56.9K1.6164.282664282,3913,486
2016-06-07$159.84$160.0015.9%7.2%15.6%6.7%26.5%4.1%-2.3%1.2M-7.1M-53.5K1.7165.932684582,3903,524
2016-06-08$159.75$160.0025.0%7.2%15.6%34.7%28.4%4.3%-2.1%1.2M-6.8M-52.0K1.6065.762704312,3953,537
2016-06-09$160.12$160.0025.3%7.3%15.3%35.7%27.2%4.5%-2.3%1.4M-7.7M-52.5K1.4765.242834162,4173,561
2016-06-10$159.00$160.0025.7%7.4%15.7%36.8%27.4%4.9%-2.8%966.6K-5.2M-52.3K1.5066.272824242,4443,562
2016-06-13$157.86$160.0026.8%7.7%15.5%40.4%27.8%4.7%-3.3%562.8K-2.7M-46.1K1.3964.683124352,4593,575
2016-06-14$158.37$160.0027.5%7.9%15.1%42.4%29.1%4.8%-3.8%768.3K-3.2M-46.5K1.5364.472874392,4383,543
2016-06-15$158.42$160.0027.5%7.9%15.0%42.6%28.5%4.5%-3.8%1.3M-4.9M-43.7K1.6366.092564172,4333,538
2016-06-16$158.32$160.0027.8%8.0%14.9%43.5%29.5%4.9%-4.1%1.5M-4.2M-42.0K1.8665.232354382,4353,542
2016-06-17$155.83$160.0029.0%8.3%15.9%47.0%29.1%4.5%-4.9%-235.8K-1.7M-38.9K1.6666.223796292,4363,565
2016-06-20$157.85$160.0028.6%8.2%15.4%46.0%32.5%4.1%-4.9%-14.8K907.6K-48.8K2.6167.921914991,1811,796
2016-06-21$158.41$160.0029.5%8.5%15.3%48.7%33.0%4.4%-6.5%643490.2K-52.0K2.8267.412065811,2601,935
2016-06-22$158.34$160.0029.2%8.4%12.7%47.7%34.0%3.8%-6.2%90.0K-240.4K-51.0K2.5869.181985111,3401,930
2016-06-23$162.66$160.0028.4%8.1%15.4%45.3%31.4%4.5%-6.4%340.5K-3.9M-51.1K1.9768.192845601,3591,979
2016-06-24$156.09$160.0035.1%10.1%21.4%66.1%35.8%2.5%-10.9%-50.5K2.2M-54.7K1.0490.784444621,3842,056
2016-06-27$151.34$160.0036.7%10.5%23.2%70.9%36.2%5.9%-10.3%-361.7K6.7M-49.4K1.5078.947041,0591,3952,099
2016-06-28$152.65$155.0021.8%6.3%23.5%25.0%23.1%5.2%0.3%-579.2K6.9M-55.0K1.1180.704234691,8022,608
2016-06-29$157.25$155.0021.5%6.2%26.0%24.0%22.7%5.7%-0.2%-262.7K1.2M-58.1K1.5892.622884561,8722,588
2016-06-30$161.07$155.0019.5%5.6%27.1%17.7%20.4%3.6%0.3%61.3K-3.8M-54.4K0.9191.354944491,8722,604