FDS Options History — January 2017

In January 2017, FDS traded between $164.97 and $174.34. ATM implied volatility averaged 17.7%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.5% (HV 20d: 19.2%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.31.

Notable Days

2017-01-11: Highest Volume — 1,379 contracts
2017-01-30: Largest IV spike — 16.0% change
2017-01-03: Highest IV Rank — 16.5%
2017-01-03: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$170.70	$164.97	$174.34	$164.97	$173.02
Max Pain	$169.00	$165.00	$170.00	$165.00	$170.00
ATM IV	17.7%	15.4%	19.4%	19.4%	16.8%
Expected Move	5.1%	4.4%	5.6%	5.6%	4.8%
HV 20d	19.2%	14.7%	22.7%	20.5%	14.7%
HV 60d	16.9%	16.2%	17.1%	16.2%	16.4%
IV Rank	11.2%	3.9%	16.5%	16.5%	8.2%
IV Percentile	21.8%	2.8%	32.5%	32.5%	14.3%
Term Structure	2.7%	-0.6%	4.5%	-0.6%	2.4%
VWIV	19.4%	16.8%	22.5%	19.9%	17.6%
Skew 25d	2.9%	1.9%	3.6%	3.2%	3.2%
Skew 10d	5.7%	1.3%	10.7%	6.7%	7.5%
Call IV 25d	17.2%	15.0%	18.7%	18.7%	16.2%
Put IV 25d	20.1%	17.8%	21.9%	21.9%	19.4%
Bid-Ask Spread %	86.92	75.02	94.89	86.51	93.84
Gamma HHI	0.18	0.14	0.23	0.15	0.23
Net GEX	90.7K	-381.6K	591.4K	-381.6K	241.7K
Net DEX	-1.6M	-6.7M	4.9M	4.9M	-2.0M
Net VEX	-67.5K	-78.9K	-55.6K	-71.6K	-55.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.69	2.06	1.33	0.69
Total Volume	637.75	312	1,379	682	368
Total OI	4,473.25	3,606	5,217	4,392	3,884

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-01-03	$164.97	$165.00	19.4%	5.6%	20.5%	16.5%	19.9%	3.2%	-0.6%	-381.6K	4.9M	-71.6K	1.33	86.51	293	389	1,914	2,478
2017-01-04	$169.83	$165.00	18.6%	5.3%	22.6%	13.9%	20.5%	3.3%	0.2%	335.0K	-4.4M	-72.0K	1.12	91.98	385	433	1,909	2,482
2017-01-05	$168.91	$165.00	18.5%	5.4%	22.7%	13.7%	20.1%	3.0%	3.4%	384.3K	-3.2M	-70.6K	0.71	75.02	337	238	1,936	2,340
2017-01-06	$171.17	$165.00	18.2%	5.5%	22.1%	12.6%	19.9%	3.0%	2.5%	591.4K	-6.7M	-71.2K	1.96	79.21	338	664	1,955	2,348
2017-01-09	$170.06	$170.00	19.0%	5.5%	22.0%	15.1%	20.1%	2.9%	3.2%	209.8K	-2.0M	-76.5K	1.18	77.57	551	648	1,940	2,759
2017-01-10	$169.87	$170.00	18.3%	5.5%	21.9%	13.1%	19.5%	3.3%	2.6%	325.3K	-1.7M	-78.2K	2.06	85.42	447	923	2,106	2,761
2017-01-11	$169.63	$170.00	19.0%	5.4%	21.4%	15.1%	19.7%	3.0%	3.1%	-212.0K	379.5K	-77.7K	2.02	81.30	457	922	2,112	3,010
2017-01-12	$169.54	$170.00	18.4%	5.3%	21.0%	13.3%	22.5%	3.6%	2.3%	-230.2K	617.5K	-78.9K	1.61	82.10	457	735	2,111	3,013
2017-01-13	$170.30	$170.00	17.6%	5.0%	20.2%	10.7%	19.5%	3.2%	3.1%	-183.4K	-1.3M	-76.2K	1.82	86.87	149	271	2,111	3,018
2017-01-17	$169.30	$170.00	18.9%	5.4%	20.4%	14.9%	20.7%	2.6%	2.5%	-286.8K	1.4M	-68.9K	1.45	86.06	161	234	2,117	3,019
2017-01-18	$171.10	$170.00	18.0%	5.2%	20.6%	12.0%	21.3%	2.8%	2.7%	-57.3K	-2.8M	-63.9K	1.65	88.16	132	218	2,105	3,017
2017-01-19	$169.26	$170.00	17.8%	5.1%	21.1%	11.5%	20.1%	2.1%	3.2%	-264.7K	1.8M	-65.4K	1.35	86.81	172	232	2,109	3,052
2017-01-20	$170.36	$170.00	17.3%	4.9%	18.7%	9.7%	22.1%	3.3%	3.3%	-275.4K	-4.9M	-61.4K	1.26	89.45	192	242	2,125	3,092
2017-01-23	$171.14	$170.00	16.5%	4.7%	16.8%	7.4%	17.1%	3.5%	4.5%	-3.3K	1.4M	-57.9K	0.83	89.02	240	200	1,644	1,962
2017-01-24	$172.23	$170.00	16.5%	4.7%	15.8%	7.3%	17.0%	2.4%	4.0%	237.1K	-1.3M	-61.8K	1.06	87.31	176	187	1,742	2,001
2017-01-25	$174.34	$170.00	17.0%	4.9%	16.1%	8.8%	17.5%	1.9%	2.2%	435.8K	-4.7M	-60.9K	0.95	92.59	193	183	1,790	2,012
2017-01-26	$173.21	$170.00	15.8%	4.5%	16.2%	5.2%	18.2%	2.4%	3.4%	331.5K	-2.8M	-61.6K	1.11	92.18	167	186	1,799	2,020
2017-01-27	$173.26	$170.00	15.4%	4.4%	14.9%	3.9%	16.8%	2.6%	3.5%	344.3K	-3.2M	-61.0K	1.01	92.21	155	157	1,788	2,035
2017-01-30	$172.46	$170.00	17.9%	5.1%	14.8%	11.6%	17.6%	3.4%	3.0%	273.1K	-2.0M	-58.6K	0.92	94.89	168	155	1,793	2,056
2017-01-31	$173.02	$170.00	16.8%	4.8%	14.7%	8.2%	17.6%	3.2%	2.4%	241.7K	-2.0M	-55.6K	0.69	93.84	218	150	1,817	2,067