FDS Options History — July 2016

In July 2016, FDS traded between $159.98 and $173.21. ATM implied volatility averaged 18.2%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 6.2% (HV 20d: 24.3%). Max pain ranged from $155.00 to $165.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.19.

Notable Days

  • 2016-07-26: Highest Volume — 2,402 contracts
  • 2016-07-12: Largest IV spike — 17.4% change
  • 2016-07-05: Highest IV Rank — 28.5%
  • 2016-07-05: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$166.67$159.98$173.21$161.40$172.35
Max Pain$159.00$155.00$165.00$155.00$165.00
ATM IV18.2%15.7%23.0%20.0%16.0%
Expected Move5.1%4.5%6.2%5.7%4.6%
HV 20d24.3%11.1%28.1%27.0%11.1%
HV 60d20.4%19.0%21.4%21.3%19.0%
IV Rank12.7%4.2%28.5%19.3%5.3%
IV Percentile16.4%3.2%46.8%26.6%6.0%
Term Structure1.7%-0.9%3.3%-0.9%1.6%
VWIV20.9%15.7%24.2%20.6%15.7%
Skew 25d3.1%1.8%4.7%3.0%2.5%
Skew 10d7.5%5.0%12.5%8.2%5.3%
Call IV 25d16.8%14.6%19.6%18.6%14.6%
Put IV 25d19.9%17.1%23.7%21.6%17.1%
Bid-Ask Spread %84.4877.3794.5094.5077.37
Gamma HHI0.270.190.420.210.39
Net GEX363.0K-710.0K1.3M8.0K-681.6K
Net DEX-12.0M-19.8M-3.4M-4.8M-4.6M
Net VEX-72.8K-120.3K-48.3K-51.0K-120.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.190.415.710.834.03
Total Volume1,047.95582,4029061,938
Total OI4,476.43,0135,7554,2915,755

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$161.40$155.0020.0%5.7%27.0%19.3%20.6%3.0%-0.9%8.0K-4.8M-51.0K0.8394.504954111,6362,655
2016-07-05$162.33$155.0023.0%6.2%27.0%28.5%23.2%4.7%0.8%183.8K-6.2M-48.3K0.4185.069724011,6362,665
2016-07-06$159.98$155.0022.2%5.7%27.5%26.2%24.2%4.1%1.1%177.2K-7.9M-67.0K0.6183.796253812,1402,654
2016-07-07$160.01$155.0022.3%6.0%27.5%26.3%24.0%3.9%0.8%489.6K-10.5M-71.6K0.7682.294923732,2962,657
2016-07-08$161.14$155.0020.0%5.6%27.6%19.3%21.8%3.3%0.7%302.2K-10.9M-72.6K0.8083.544723772,3312,658
2016-07-11$162.10$155.0017.6%5.6%27.5%11.9%22.1%3.5%1.7%471.6K-13.4M-66.3K0.8483.794443752,3152,659
2016-07-12$165.15$155.0020.7%5.3%28.1%21.3%20.9%3.1%0.7%818.0K-17.6M-63.1K1.6285.192133452,3182,661
2016-07-13$166.16$155.0018.2%5.2%28.1%13.6%22.1%3.9%1.2%1.2M-19.1M-63.5K2.5784.551804632,3432,672
2016-07-14$167.22$155.0017.6%5.1%28.1%10.4%21.2%3.0%2.4%1.3M-19.7M-62.6K2.7385.761784862,3422,784
2016-07-15$167.40$160.0018.4%5.3%28.1%12.7%21.0%3.6%0.6%443.2K-19.8M-62.2K2.6887.681844932,3532,806
2016-07-18$166.67$160.0017.8%5.1%27.4%10.9%22.6%1.8%1.1%448.9K-10.9M-62.9K4.8986.851225971,4481,565
2016-07-19$167.04$160.0017.4%5.0%27.1%9.6%22.4%3.0%2.1%420.4K-11.3M-64.5K3.8181.261274841,4911,766
2016-07-20$168.88$160.0016.7%4.8%27.3%7.4%22.3%3.3%3.2%455.7K-13.0M-62.9K1.5886.083425401,5081,794
2016-07-21$168.39$160.0015.7%4.5%27.3%4.3%21.5%3.0%2.9%607.1K-13.9M-74.2K1.6084.113445491,7571,841
2016-07-22$169.80$160.0015.8%4.5%26.0%4.7%20.1%2.8%2.8%617.8K-15.2M-73.2K1.5784.763605641,7621,869
2016-07-25$170.31$165.0015.9%4.6%20.3%5.0%18.7%2.9%2.8%627.8K-15.6M-72.1K1.4585.133875621,7821,878
2016-07-26$171.91$165.0016.2%4.7%15.4%6.0%17.6%2.5%2.8%688.5K-17.1M-69.8K4.3682.914481,9541,7961,883
2016-07-27$171.87$165.0016.5%4.7%15.6%6.8%18.1%2.3%3.3%-623.0K-3.4M-115.2K5.7184.903421,9522,0613,461
2016-07-28$173.21$165.0015.7%4.5%12.9%4.2%17.3%2.7%2.0%-710.0K-5.7M-113.3K0.8880.175254612,0623,468
2016-07-29$172.35$165.0016.0%4.6%11.1%5.3%15.7%2.5%1.6%-681.6K-4.6M-120.3K4.0377.373851,5532,2683,487