FDS Options History — November 2016

In November 2016, FDS traded between $151.86 and $163.30. ATM implied volatility averaged 22.3%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.0% (HV 20d: 14.3%). Max pain ranged from $155.00 to $175.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2016-11-22: Highest Volume — 1,258 contracts
  • 2016-11-22: Largest IV drop — 22.4% change
  • 2016-11-17: Highest IV Rank — 39.9%
  • 2016-11-17: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$158.94$151.86$163.30$152.63$160.43
Max Pain$159.29$155.00$175.00$175.00$160.00
ATM IV22.3%17.2%26.9%21.1%17.6%
Expected Move6.6%4.9%7.7%6.0%5.0%
HV 20d14.3%12.3%15.5%12.4%14.0%
HV 60d20.4%19.6%20.9%19.6%20.8%
IV Rank25.5%9.5%39.9%21.7%10.7%
IV Percentile48.0%14.7%71.0%46.0%16.7%
Term Structure-0.7%-4.8%5.7%4.0%5.7%
VWIV23.3%17.5%27.9%21.9%19.5%
Skew 25d4.0%1.4%5.2%4.5%1.4%
Skew 10d9.4%2.7%13.5%8.8%2.7%
Call IV 25d21.6%15.5%24.4%20.6%17.7%
Put IV 25d25.7%18.9%29.3%25.1%19.1%
Bid-Ask Spread %74.0355.9095.0685.2293.15
Gamma HHI0.300.160.580.230.18
Net GEX-1.1M-3.4M213.9K-1.2M12.1K
Net DEX38.6M477.5K71.3M69.9M3.8M
Net VEX-100.0K-113.7K-84.2K-105.1K-84.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.862.562.560.86
Total Volume594.4763681,258754781
Total OI8,226.3335,3599,7489,4505,782

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$152.63$175.0021.1%6.0%12.4%21.7%21.9%4.5%4.0%-1.2M69.9M-105.1K2.5685.222125422,9686,482
2016-11-02$151.86$175.0023.1%6.6%12.4%28.1%22.2%4.1%3.0%-1.1M71.3M-100.6K2.0286.741913852,9686,476
2016-11-03$152.99$155.0022.1%7.0%12.7%24.9%26.7%5.0%-2.8%-1.2M70.0M-102.7K2.0755.901913952,9716,475
2016-11-04$152.89$155.0021.8%7.1%12.3%24.0%25.8%4.2%-2.7%-1.2M69.7M-101.6K1.5257.611872842,9736,491
2016-11-07$154.75$155.0021.5%7.2%13.1%22.9%25.5%3.7%-2.8%-1.4M68.0M-102.9K1.1462.971992272,9796,512
2016-11-08$156.43$155.0022.1%7.1%13.1%25.0%24.2%4.6%-2.7%-1.8M63.0M-107.5K1.0761.881781902,9636,499
2016-11-09$158.27$155.0023.6%6.8%13.7%29.6%25.6%4.4%-2.4%-2.3M59.1M-110.0K1.6965.751412383,0026,501
2016-11-10$160.84$155.0024.2%6.9%14.6%31.5%22.2%4.4%-3.5%-2.2M49.4M-113.7K1.4866.421782643,0226,527
2016-11-11$162.24$155.0025.1%7.2%14.8%34.2%24.6%4.5%-3.8%-1.7M44.1M-111.7K1.6360.971742833,0496,526
2016-11-14$161.44$155.0026.0%7.5%14.9%37.1%24.0%4.6%-4.6%-2.0M44.9M-108.0K1.5265.341983003,1076,545
2016-11-15$160.81$155.0025.4%7.3%15.0%35.4%25.8%4.5%-4.0%-2.6M48.6M-104.5K2.4062.391483553,1136,564
2016-11-16$159.32$160.0026.0%7.5%15.4%37.2%26.2%4.9%-4.8%-3.4M55.9M-100.8K2.1365.831523243,1116,637
2016-11-17$162.19$160.0026.9%7.7%15.5%39.9%26.5%5.2%-4.7%-2.2M37.6M-100.2K1.5767.822333663,1066,323
2016-11-18$163.30$160.0025.5%7.3%15.2%35.5%27.2%5.1%-4.3%213.9K32.2M-101.6K1.4964.722203283,1766,409
2016-11-21$162.79$160.0025.3%7.3%15.1%35.0%27.9%5.2%-4.5%182.4K477.5K-98.3K2.3367.021443352,6722,687
2016-11-22$161.35$160.0019.7%5.6%15.1%17.2%19.6%4.0%1.8%89.6K4.4M-92.8K0.9993.926336252,6852,789
2016-11-23$160.48$160.0017.9%5.1%15.0%11.8%18.5%2.8%3.4%-11.6K5.5M-94.4K1.4895.062774102,7212,853
2016-11-25$160.91$160.0017.2%4.9%14.9%9.5%17.5%2.1%5.1%-108.0K5.5M-88.2K1.0593.713123282,7302,948
2016-11-28$160.12$160.0017.4%5.0%14.9%10.1%17.5%3.9%4.7%-79.0K5.1M-84.2K0.9488.973813602,7442,953
2016-11-29$161.68$160.0018.7%5.4%15.0%14.2%20.1%1.7%4.5%174.1K1.2M-86.5K0.9693.244154002,7512,963
2016-11-30$160.43$160.0017.6%5.0%14.0%10.7%19.5%1.4%5.7%12.1K3.8M-84.2K0.8693.154203612,7813,001