FDS Options History — December 2016

In December 2016, FDS traded between $158.89 and $167.47. ATM implied volatility averaged 20.8%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.1% (HV 20d: 16.7%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2016-12-02: Highest Volume — 1,749 contracts
  • 2016-12-20: Largest IV drop — 32.1% change
  • 2016-12-13: Highest IV Rank — 58.0%
  • 2016-12-19: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$163.70$158.89$167.47$159.07$163.54
Max Pain$164.52$160.00$165.00$160.00$165.00
ATM IV20.8%17.0%32.7%19.3%17.4%
Expected Move6.1%4.9%7.3%5.5%5.0%
HV 20d16.7%14.0%20.6%14.3%20.4%
HV 60d19.2%16.0%21.1%20.7%16.1%
IV Rank20.8%8.7%58.0%16.0%10.1%
IV Percentile39.6%13.5%90.9%29.8%16.3%
Term Structure0.4%-3.1%4.1%4.1%0.9%
VWIV23.0%17.8%28.9%20.7%17.8%
Skew 25d3.5%2.1%4.9%2.2%3.6%
Skew 10d8.8%2.8%13.6%5.9%11.5%
Call IV 25d20.2%16.2%23.8%19.1%17.0%
Put IV 25d23.7%19.7%27.7%21.3%20.5%
Bid-Ask Spread %82.0667.3693.9893.9887.00
Gamma HHI0.220.100.410.170.17
Net GEX-383.9K-1.3M1.1M-212.7K-769.0K
Net DEX3.1M-10.9M13.3M7.8M8.4M
Net VEX-76.1K-88.8K-64.9K-85.2K-71.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.514.100.851.16
Total Volume735.4293461,749778739
Total OI5,400.3332,9496,5715,8124,360

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$159.07$160.0019.3%5.5%14.3%16.0%20.7%2.2%4.1%-212.7K7.8M-85.2K0.8593.984203582,8063,006
2016-12-02$158.89$160.0019.5%5.6%14.3%16.6%19.5%3.5%3.6%-265.9K8.8M-83.7K3.1093.894271,3222,8063,030
2016-12-05$160.39$165.0020.4%6.6%14.5%19.5%21.2%3.9%0.1%-1.2M8.7M-88.8K4.1087.413021,2372,8503,721
2016-12-06$161.14$165.0019.9%7.1%14.0%18.0%26.1%4.1%-1.1%-1.3M8.6M-85.4K1.0080.083513522,8453,702
2016-12-07$164.52$165.0017.7%6.8%15.3%11.0%27.2%3.4%0.2%-407.9K-691.1K-85.4K1.1075.382943222,8043,754
2016-12-08$166.26$165.0019.2%7.0%15.2%15.9%27.6%4.7%-0.1%-154.7K-5.9M-80.1K1.1576.972813222,7773,773
2016-12-09$167.42$165.0021.4%7.0%14.4%22.6%28.9%4.1%-0.8%375.4K-10.9M-75.3K0.7783.093872992,7943,773
2016-12-12$165.41$165.0025.8%7.1%15.0%36.4%27.7%3.8%-0.7%-346.1K-3.0M-76.7K1.3673.192413282,6413,763
2016-12-13$167.47$165.0032.7%7.0%15.3%58.0%27.5%4.9%-0.2%-158.2K-5.8M-73.9K1.2978.722453172,6133,804
2016-12-14$164.95$165.0024.3%7.0%16.4%31.9%26.3%3.6%-0.3%-403.8K-3.2M-73.0K0.9086.822262032,6193,797
2016-12-15$165.30$165.0025.1%7.2%15.9%34.2%26.7%3.1%-1.3%704.3K-4.9M-66.9K0.8877.802522212,6173,801
2016-12-16$165.24$165.0025.1%7.2%14.7%34.1%26.7%4.6%-1.1%1.1M-5.1M-66.9K1.2774.531772242,6283,808
2016-12-19$165.24$165.0025.6%7.3%14.6%35.9%26.5%4.0%-3.1%-80.7K3.4M-64.9K3.0667.363311,0141,3021,647
2016-12-20$161.09$165.0017.4%5.0%17.2%10.1%18.6%4.3%1.0%-1.0M13.3M-71.7K0.8569.596915901,5602,477
2016-12-21$165.15$165.0017.8%5.1%19.1%11.4%19.6%2.5%1.3%-656.1K6.6M-80.4K1.1784.104114811,6822,624
2016-12-22$162.84$165.0017.6%5.0%19.8%10.7%18.7%2.1%1.1%-560.3K8.5M-75.3K0.8185.952532061,7742,402
2016-12-23$163.44$165.0017.0%4.9%19.8%8.7%18.4%3.0%1.3%-654.4K8.1M-74.7K0.6486.942111351,7512,478
2016-12-27$165.32$165.0017.7%5.1%20.0%11.1%19.2%3.1%1.2%-506.6K5.6M-74.4K0.5186.322881471,7492,483
2016-12-28$162.90$165.0017.9%5.1%20.6%11.6%19.5%2.8%1.3%-701.5K7.9M-72.0K0.6388.342581631,7942,495
2016-12-29$162.05$165.0018.3%5.3%20.5%13.1%19.0%2.2%1.2%-882.9K10.1M-71.9K0.7085.762461721,7992,498
2016-12-30$163.54$165.0017.4%5.0%20.4%10.1%17.8%3.6%0.9%-769.0K8.4M-71.2K1.1687.003423971,8162,544