FDS Options History — October 2016

In October 2016, FDS traded between $153.00 and $159.48. ATM implied volatility averaged 19.6%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 5.2% (HV 20d: 24.8%). 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 20 of 21 days. Put/call ratio averaged 1.54.

Notable Days

  • 2016-10-12: Highest Volume — 1,337 contracts
  • 2016-10-10: Largest IV drop — 12.9% change
  • 2016-10-07: Highest IV Rank — 22.0%
  • 2016-10-07: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$156.01$153.00$159.48$159.48$155.02
Max Pain$175.71$175.00$180.00$180.00$175.00
ATM IV19.6%18.4%21.2%20.1%20.1%
Expected Move5.6%5.3%5.9%5.8%5.8%
HV 20d24.8%11.6%29.6%29.6%11.6%
HV 60d19.3%19.0%19.6%19.6%19.4%
IV Rank17.0%13.2%22.0%18.5%18.5%
IV Percentile33.7%24.2%44.8%36.5%38.5%
Term Structure3.3%-0.3%5.3%-0.3%5.0%
VWIV20.6%18.8%23.1%22.3%20.5%
Skew 25d3.9%3.3%4.9%3.5%3.3%
Skew 10d8.8%7.1%10.2%8.0%8.9%
Call IV 25d18.3%17.2%19.2%19.2%18.8%
Put IV 25d22.1%20.8%23.5%22.7%22.0%
Bid-Ask Spread %75.5865.9984.7067.9684.70
Gamma HHI0.330.260.500.330.34
Net GEX-2.0M-4.6M-1.1M-2.4M-1.3M
Net DEX79.5M62.7M95.4M75.6M63.8M
Net VEX-120.1K-141.8K-100.0K-141.8K-107.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.722.420.762.14
Total Volume948.4294731,337883778
Total OI11,107.5718,64912,54211,0289,115

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$159.48$180.0020.1%5.8%29.6%18.5%22.3%3.5%-0.3%-2.4M75.6M-141.8K0.7667.965023813,4067,622
2016-10-04$158.15$180.0019.5%5.6%29.6%16.7%20.1%4.9%0.2%-2.2M79.1M-135.5K0.9972.804654603,4977,732
2016-10-05$158.48$180.0019.6%5.6%29.4%17.0%23.1%4.1%0.2%-2.3M77.9M-141.4K0.7676.664213183,5767,810
2016-10-06$159.01$175.0019.2%5.6%29.6%15.9%21.0%4.0%3.0%-2.4M77.8M-139.0K0.7265.993932843,6047,849
2016-10-07$157.40$175.0021.2%5.9%28.9%22.0%20.8%3.7%2.9%-2.1M80.8M-131.8K0.8066.273863073,6207,869
2016-10-10$158.02$175.0018.5%5.4%28.6%13.5%21.0%4.0%3.3%-2.1M81.3M-124.3K1.5768.553886103,6347,926
2016-10-11$156.18$175.0020.7%5.7%28.6%20.6%21.5%3.7%3.4%-2.1M86.9M-130.3K2.4069.423538473,6668,242
2016-10-12$156.18$175.0020.1%5.8%28.6%18.5%20.7%3.7%3.6%-2.0M88.4M-124.1K1.9273.814588793,7068,392
2016-10-13$155.50$175.0020.2%5.8%27.5%19.0%20.5%3.8%3.4%-1.9M88.8M-124.9K2.0069.264018003,8638,476
2016-10-14$155.51$175.0019.9%5.7%27.6%18.0%20.4%3.7%3.4%-1.9M89.2M-124.2K1.7973.994207523,9148,486
2016-10-17$154.99$175.0020.5%5.9%27.5%19.8%21.2%3.8%2.8%-2.0M89.7M-117.7K2.1176.883998413,9098,465
2016-10-18$155.89$175.0020.1%5.8%27.8%18.7%21.5%4.1%3.3%-2.0M89.3M-121.1K2.4276.053658823,9148,583
2016-10-19$155.61$175.0019.9%5.7%27.3%18.0%21.1%4.1%3.8%-2.1M89.3M-117.1K2.0878.064008343,9128,559
2016-10-20$153.50$175.0019.9%5.7%26.6%18.1%19.9%3.5%3.4%-2.0M95.4M-105.6K1.8675.774528433,9278,597
2016-10-21$155.22$175.0018.5%5.3%27.5%13.6%18.9%3.5%4.7%-4.6M90.6M-108.5K1.7779.934768434,0028,540
2016-10-24$154.41$175.0018.4%5.3%27.3%13.4%18.8%3.7%4.8%-1.2M64.1M-101.8K1.7382.393676362,7915,858
2016-10-25$153.00$175.0018.5%5.3%14.1%13.5%19.3%3.8%4.7%-1.1M67.2M-100.0K1.0379.472592682,9086,073
2016-10-26$154.68$175.0019.1%5.5%14.8%15.3%20.4%4.1%4.4%-1.3M65.0M-108.5K1.2182.792142592,9276,131
2016-10-27$154.33$175.0018.4%5.3%14.1%13.2%19.8%4.4%5.3%-1.2M66.0M-105.3K1.2882.322082672,9606,114
2016-10-28$155.69$175.0019.1%5.5%13.2%15.4%19.4%3.9%5.0%-1.4M62.7M-111.1K0.9684.172562452,9486,136
2016-10-31$155.02$175.0020.1%5.8%11.6%18.5%20.5%3.3%5.0%-1.3M63.8M-107.1K2.1484.702485302,9656,150