FDS Options History — September 2016

In September 2016, FDS traded between $160.12 and $181.37. ATM implied volatility averaged 21.2%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.4% (HV 20d: 15.7%). Max pain ranged from $175.00 to $180.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.88.

Notable Days

  • 2016-09-26: Highest Volume — 5,266 contracts
  • 2016-09-13: Largest IV spike — 28.0% change
  • 2016-09-26: Highest IV Rank — 40.1%
  • 2016-09-26: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$175.17$160.12$181.37$180.22$162.61
Max Pain$179.52$175.00$180.00$175.00$180.00
ATM IV21.2%14.5%27.0%14.5%17.6%
Expected Move6.6%4.1%7.7%4.1%5.1%
HV 20d15.7%8.0%29.5%8.1%29.5%
HV 60d17.0%12.2%19.3%17.3%19.3%
IV Rank21.9%0.9%40.1%0.9%10.9%
IV Percentile39.0%0.4%69.8%0.4%16.3%
Term Structure-1.0%-4.0%7.8%7.8%0.3%
VWIV23.9%16.5%28.0%16.5%20.1%
Skew 25d4.3%2.8%5.3%3.4%3.5%
Skew 10d9.6%5.3%13.6%5.6%8.1%
Call IV 25d21.3%12.4%24.5%12.4%17.2%
Put IV 25d25.5%15.7%29.5%15.7%20.7%
Bid-Ask Spread %65.5751.8996.2991.6872.28
Gamma HHI0.450.280.700.500.31
Net GEX-4.1M-11.5M-942.0K-4.1M-2.9M
Net DEX20.1M-7.1M80.3M-1.2M67.9M
Net VEX-143.3K-170.8K-114.7K-139.6K-160.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.795.041.270.79
Total Volume1,277.9053885,266944781
Total OI8,299.0484,46911,1918,14810,934

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$180.22$175.0014.5%4.1%8.1%0.9%16.5%3.4%7.8%-4.1M-1.2M-139.6K1.2791.684155292,1845,964
2016-09-02$181.35$175.0015.2%4.3%8.0%3.2%19.7%3.9%7.4%-3.4M-3.9M-134.6K1.7196.294818222,1885,974
2016-09-06$180.18$180.0015.9%6.6%8.3%5.5%23.9%3.8%-1.1%-4.1M156.4K-143.2K1.8461.344538342,1706,289
2016-09-07$181.37$180.0015.3%6.6%8.1%3.4%23.4%3.9%-1.0%-3.6M-4.2M-138.0K1.3760.754466132,2086,337
2016-09-08$181.07$180.0015.6%6.7%8.3%4.4%23.6%4.7%-1.3%-2.9M-7.1M-130.7K1.3663.584486102,2126,341
2016-09-09$176.74$180.0017.7%6.9%12.5%11.2%26.7%4.2%-1.1%-7.0M11.4M-141.6K1.4760.094456522,2126,343
2016-09-12$178.30$180.0018.1%6.9%12.8%12.2%26.9%5.2%-1.7%-7.7M2.3M-129.2K2.6563.413981,0542,2146,394
2016-09-13$175.91$180.0023.1%7.3%13.7%28.1%28.0%4.5%-1.9%-9.4M22.6M-133.3K2.3761.093829042,2146,792
2016-09-14$175.20$180.0025.9%7.4%13.7%36.9%27.9%4.0%-2.5%-11.5M27.6M-129.8K3.1760.112758712,2036,839
2016-09-15$178.01$180.0024.4%7.0%14.7%32.0%26.2%5.0%-1.9%-7.8M8.8M-124.2K1.6658.942764582,2226,849
2016-09-16$176.63$180.0025.5%7.3%14.8%35.7%23.6%4.4%-2.0%-1.0M4.9M-114.7K0.8659.605044332,2306,843
2016-09-19$176.51$180.0026.3%7.5%14.8%38.1%26.5%5.2%-4.0%-942.0K3.3M-121.4K0.9561.153223071,9802,489
2016-09-20$176.33$180.0026.4%7.6%14.8%38.3%25.5%5.2%-3.2%-957.8K4.0M-125.1K5.0465.083441,7352,0052,675
2016-09-21$177.84$180.0025.2%7.2%14.4%34.5%27.3%5.0%-3.9%-2.2M12.7M-169.6K1.1565.221822092,0474,282
2016-09-22$179.71$180.0025.3%7.3%14.8%35.0%25.6%4.2%-3.3%-2.1M8.0M-169.5K1.6462.582173552,1084,313
2016-09-23$178.45$180.0025.9%7.4%15.1%36.9%26.7%4.6%-3.9%-2.1M10.8M-170.8K1.3751.891642242,1614,393
2016-09-26$175.72$180.0027.0%7.7%16.1%40.1%26.4%5.3%-3.9%-2.3M17.6M-168.0K2.8256.021,3773,8892,2294,426
2016-09-27$163.95$180.0020.2%5.8%29.1%18.9%19.3%2.8%-0.4%-3.4M79.4M-164.0K2.2964.725351,2242,8318,241
2016-09-28$162.40$180.0020.0%5.7%29.1%18.3%18.6%3.7%-0.1%-3.0M80.3M-158.5K2.7967.704351,2123,0738,118
2016-09-29$160.12$180.0019.3%5.5%29.2%16.0%20.0%3.0%0.6%-2.6M76.0M-143.2K0.8273.385624593,1447,609
2016-09-30$162.61$180.0017.6%5.1%29.5%10.9%20.1%3.5%0.3%-2.9M67.9M-160.1K0.7972.284373443,3517,583