FDS Options History — February 2017

In February 2017, FDS traded between $173.00 and $183.14. ATM implied volatility averaged 19.3%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 8.3% (HV 20d: 11.0%). Max pain ranged from $170.00 to $175.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.94.

Notable Days

2017-02-28: Highest Volume — 570 contracts
2017-02-08: Largest IV spike — 24.0% change
2017-02-23: Highest IV Rank — 24.6%
2017-02-23: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$178.28	$173.00	$183.14	$173.00	$178.08
Max Pain	$174.74	$170.00	$175.00	$170.00	$175.00
ATM IV	19.3%	16.1%	22.0%	16.9%	17.4%
Expected Move	5.8%	4.8%	6.3%	4.8%	5.0%
HV 20d	11.0%	9.9%	14.5%	14.5%	12.2%
HV 60d	16.0%	15.7%	16.4%	16.4%	16.0%
IV Rank	16.2%	6.0%	24.6%	8.6%	10.1%
IV Percentile	42.5%	9.9%	67.5%	15.5%	21.0%
Term Structure	0.0%	-1.7%	4.3%	2.7%	4.3%
VWIV	21.0%	17.9%	24.5%	17.9%	19.0%
Skew 25d	3.1%	1.7%	4.4%	1.7%	2.9%
Skew 10d	4.9%	-3.9%	12.4%	6.1%	3.0%
Call IV 25d	19.4%	16.1%	21.4%	16.1%	17.1%
Put IV 25d	22.5%	17.8%	24.8%	17.8%	20.0%
Bid-Ask Spread %	87.12	80.65	98.25	98.25	88.55
Gamma HHI	0.23	0.18	0.27	0.23	0.25
Net GEX	676.5K	362.3K	1.2M	362.3K	395.4K
Net DEX	-9.4M	-16.0M	-3.1M	-3.1M	-5.9M
Net VEX	-47.7K	-58.7K	-39.0K	-58.7K	-40.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.64	1.19	0.64	0.88
Total Volume	393.842	315	570	388	570
Total OI	3,836.053	3,240	4,206	3,934	3,532

Daily Data (19 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
2017-02-01	$173.00	$170.00	16.9%	4.8%	14.5%	8.6%	17.9%	1.7%	2.7%	362.3K	-3.1M	-58.7K	0.64	98.25	237	151	1,865	2,069
2017-02-02	$174.36	$175.00	16.1%	5.7%	10.9%	6.0%	20.1%	4.0%	-0.4%	498.7K	-5.1M	-57.8K	0.79	80.65	213	168	1,867	2,071
2017-02-03	$176.14	$175.00	16.1%	5.8%	11.0%	6.0%	19.9%	3.0%	-0.4%	638.9K	-8.0M	-55.2K	0.70	84.19	243	169	1,880	2,099
2017-02-06	$175.92	$175.00	16.5%	6.1%	10.2%	7.3%	21.3%	3.9%	-1.7%	679.4K	-7.3M	-55.4K	0.86	80.99	191	164	1,920	2,099
2017-02-07	$174.03	$175.00	16.9%	6.0%	10.7%	8.6%	20.7%	2.2%	-0.7%	556.0K	-5.0M	-53.0K	1.09	84.83	151	164	1,920	2,111
2017-02-08	$174.21	$175.00	20.9%	6.0%	10.7%	21.3%	21.4%	3.6%	-1.1%	579.4K	-4.8M	-52.5K	1.10	84.41	158	174	1,922	2,111
2017-02-09	$175.77	$175.00	21.3%	6.1%	11.0%	22.5%	20.8%	2.9%	-1.4%	845.0K	-8.4M	-49.5K	1.13	87.38	149	169	1,922	2,111
2017-02-10	$178.16	$175.00	19.8%	5.7%	11.7%	17.5%	20.0%	3.6%	-0.0%	929.9K	-11.6M	-48.9K	1.12	87.09	173	194	1,923	2,113
2017-02-13	$178.57	$175.00	19.8%	5.7%	11.7%	17.6%	20.1%	4.4%	-0.1%	866.1K	-12.9M	-48.2K	0.89	87.97	184	164	1,942	2,115
2017-02-14	$178.79	$175.00	20.0%	5.7%	11.3%	18.3%	20.4%	2.4%	-0.8%	986.5K	-13.1M	-44.7K	0.98	86.51	184	180	1,950	2,142
2017-02-15	$179.91	$175.00	19.9%	5.7%	11.0%	17.9%	19.5%	2.4%	-0.3%	1.2M	-15.0M	-42.5K	1.02	90.61	188	192	1,950	2,159
2017-02-16	$179.71	$175.00	19.8%	5.7%	9.9%	17.6%	20.0%	2.5%	-0.4%	797.3K	-14.2M	-43.5K	0.99	87.29	212	209	1,956	2,184
2017-02-17	$181.46	$175.00	20.4%	5.9%	10.1%	19.7%	21.8%	2.6%	-0.4%	529.2K	-16.0M	-47.2K	1.19	87.61	208	247	1,972	2,234
2017-02-21	$183.14	$175.00	20.8%	6.0%	10.3%	21.0%	20.8%	3.0%	-0.3%	673.6K	-10.9M	-39.0K	0.76	89.24	207	158	1,493	1,747
2017-02-22	$181.40	$175.00	20.4%	5.8%	11.2%	19.5%	24.1%	2.9%	0.9%	528.6K	-9.0M	-46.7K	0.92	87.13	186	172	1,550	1,768
2017-02-23	$181.78	$175.00	22.0%	6.3%	10.6%	24.6%	24.5%	3.9%	-1.1%	584.7K	-9.1M	-42.2K	1.09	86.01	199	217	1,553	1,801
2017-02-24	$181.85	$175.00	21.4%	6.1%	10.2%	22.8%	22.4%	3.4%	0.3%	611.4K	-9.8M	-40.6K	0.92	85.71	227	208	1,555	1,857
2017-02-27	$181.12	$175.00	21.0%	6.0%	10.4%	21.3%	24.0%	3.9%	1.7%	633.9K	-9.0M	-40.6K	0.80	90.92	280	223	1,575	1,847
2017-02-28	$178.08	$175.00	17.4%	5.0%	12.2%	10.1%	19.0%	2.9%	4.3%	395.4K	-5.9M	-40.3K	0.88	88.55	303	267	1,683	1,849