FDS Options History — August 2016

In August 2016, FDS traded between $171.22 and $178.81. ATM implied volatility averaged 16.7%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 8.1% (HV 20d: 8.6%). Max pain ranged from $165.00 to $175.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 3.99.

Notable Days

  • 2016-08-24: Highest Volume — 1,560 contracts
  • 2016-08-12: Largest IV spike — 20.3% change
  • 2016-08-12: Highest IV Rank — 17.3%
  • 2016-08-12: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$174.73$171.22$178.81$171.22$178.08
Max Pain$173.70$165.00$175.00$165.00$175.00
ATM IV16.7%14.2%19.7%16.4%15.6%
Expected Move4.9%4.5%5.6%4.7%4.5%
HV 20d8.6%7.0%11.7%11.7%7.3%
HV 60d18.2%17.2%19.1%19.1%17.2%
IV Rank7.8%0.0%17.3%6.4%4.4%
IV Percentile8.8%0.0%26.6%7.5%1.6%
Term Structure4.3%1.0%7.1%2.6%7.1%
VWIV18.9%16.4%24.6%16.9%18.8%
Skew 25d2.3%-0.5%4.7%2.1%1.8%
Skew 10d3.9%-3.4%9.6%4.9%3.1%
Call IV 25d16.4%14.3%18.6%15.9%14.5%
Put IV 25d18.6%15.1%21.4%18.0%16.3%
Bid-Ask Spread %93.4380.70100.9680.7091.66
Gamma HHI0.600.490.700.560.55
Net GEX-2.7M-4.9M-1.6M-1.8M-4.9M
Net DEX4.7M-3.9M10.0M9.8M6.1M
Net VEX-136.7K-163.9K-115.7K-138.5K-149.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.990.8861.401.431.17
Total Volume878.565261,560904951
Total OI7,221.7396,4078,2026,7858,150

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$171.22$165.0016.4%4.7%11.7%6.4%16.9%2.1%2.6%-1.8M9.8M-138.5K1.4380.703725322,2304,555
2016-08-02$171.37$165.0016.9%4.8%11.7%8.0%17.4%2.6%3.2%-1.6M9.5M-141.8K1.4589.083725392,2294,583
2016-08-03$172.03$165.0017.1%4.9%9.7%8.7%16.8%2.7%2.3%-1.9M8.9M-138.2K1.4592.233745412,2284,592
2016-08-04$172.93$175.0014.9%5.3%9.6%1.8%19.9%4.1%3.4%-1.8M5.5M-135.9K1.4690.953915712,2354,603
2016-08-05$174.12$175.0014.2%5.1%9.6%0.0%18.2%3.4%3.6%-2.2M2.2M-137.8K1.4590.393875622,2524,675
2016-08-08$173.45$175.0014.6%4.9%10.0%1.5%17.6%2.8%5.1%-2.1M4.1M-134.5K1.9191.883025772,2884,673
2016-08-09$172.66$175.0015.3%5.4%8.6%3.4%19.7%4.6%2.2%-1.9M4.8M-134.9K1.5390.463475302,3014,696
2016-08-10$173.05$175.0017.9%5.1%8.4%11.8%19.8%2.3%3.6%-2.1M6.2M-139.1K1.6191.603415502,4234,768
2016-08-11$172.95$175.0016.4%4.7%8.3%6.9%16.7%1.8%5.0%-2.5M5.5M-137.0K1.5884.993305212,4234,788
2016-08-12$172.87$175.0019.7%5.6%8.4%17.3%19.2%4.7%1.0%-2.1M5.7M-136.4K1.3494.833304422,4324,786
2016-08-15$174.04$175.0015.8%4.5%8.2%5.1%17.7%1.8%5.3%-2.5M2.2M-130.9K1.3292.623374442,4324,788
2016-08-16$173.47$175.0017.8%5.1%8.5%11.6%19.1%0.4%5.9%-2.3M2.7M-129.2K1.1493.715255992,4344,791
2016-08-17$173.33$175.0016.4%4.7%7.8%7.0%16.4%0.6%5.2%-2.8M6.0M-125.5K2.2597.128182,2444,949
2016-08-18$174.78$175.0017.5%5.0%8.0%10.6%17.2%0.1%3.7%-2.4M1.3M-123.4K1.1796.3712142,2524,964
2016-08-19$175.20$175.0015.9%4.6%7.6%5.4%17.0%1.3%5.4%-2.0M1.4M-122.2K1.3994.884396122,2564,974
2016-08-22$175.79$175.0016.1%4.6%7.6%6.0%18.3%-0.5%4.1%-3.5M3.0M-118.8K1.2495.823994951,9944,413
2016-08-23$177.98$175.0017.1%4.9%8.1%9.2%21.0%3.9%4.7%-3.0M-2.5M-115.7K0.8898.045835141,9994,424
2016-08-24$177.39$175.0017.6%5.1%8.3%10.9%18.0%2.8%3.9%-2.6M-3.9M-124.6K61.4098.95251,5352,2084,426
2016-08-25$177.47$175.0018.3%5.2%8.0%12.9%22.6%2.8%5.3%-4.0M9.5M-163.9K1.0797.324835192,2315,943
2016-08-26$177.72$175.0017.1%4.9%7.6%9.3%19.0%2.2%5.7%-4.6M10.0M-161.5K1.2197.654125002,2445,958
2016-08-29$178.19$175.0019.5%5.6%7.0%16.6%24.6%2.8%3.2%-4.0M6.3M-154.4K1.2296.644145072,1855,950
2016-08-30$178.81$175.0015.7%4.5%7.0%4.9%21.7%1.0%6.7%-4.4M4.2M-149.8K1.18100.964375142,1805,951
2016-08-31$178.08$175.0015.6%4.5%7.3%4.4%18.8%1.8%7.1%-4.9M6.1M-149.6K1.1791.664395122,1935,957