FDS Options History — March 2017

In March 2017, FDS traded between $164.10 and $181.01. ATM implied volatility averaged 19.9%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.4% (HV 20d: 15.5%). Max pain ranged from $175.00 to $185.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.66.

Notable Days

  • 2017-03-27: Highest Volume — 3,405 contracts
  • 2017-03-28: Largest IV drop — 37.4% change
  • 2017-03-27: Highest IV Rank — 55.5%
  • 2017-03-27: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$175.55$164.10$181.01$181.01$165.06
Max Pain$180.65$175.00$185.00$175.00$180.00
ATM IV19.9%15.7%26.7%17.0%15.7%
Expected Move6.2%4.5%7.6%4.9%4.5%
HV 20d15.5%12.2%24.8%13.3%23.9%
HV 60d15.8%14.1%18.5%16.2%17.3%
IV Rank24.7%6.8%55.5%8.9%6.8%
IV Percentile45.2%4.0%94.0%18.3%4.0%
Term Structure-1.4%-5.3%6.0%5.5%0.7%
VWIV22.3%15.7%27.9%19.5%16.2%
Skew 25d2.3%1.1%3.0%2.5%1.1%
Skew 10d5.7%3.5%7.8%7.8%4.7%
Call IV 25d21.1%15.1%25.7%16.4%15.2%
Put IV 25d23.4%16.3%28.2%18.9%16.3%
Bid-Ask Spread %65.8039.6692.9084.0280.28
Gamma HHI0.290.140.860.330.30
Net GEX-1.1M-8.2M708.6K708.6K-2.8M
Net DEX5.1M-8.7M39.1M-8.7M34.3M
Net VEX-44.9K-67.3K-30.1K-41.0K-62.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.576.570.661.88
Total Volume945.6524813,405613816
Total OI3,910.9132,1266,0423,5495,794

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$181.01$175.0017.0%4.9%13.3%8.9%19.5%2.5%5.5%708.6K-8.7M-41.0K0.6684.023692441,7061,843
2017-03-02$179.24$175.0016.7%4.8%14.0%8.1%18.0%1.5%5.7%528.1K-7.3M-38.7K0.6989.573252231,7031,854
2017-03-03$178.43$175.0016.4%4.7%13.9%7.0%17.5%1.9%6.0%389.1K-6.2M-37.8K0.7592.903302491,6911,861
2017-03-06$177.10$180.0017.9%6.7%13.8%11.7%23.5%3.0%-2.2%37.8K-3.7M-36.0K0.5761.373221851,7011,901
2017-03-07$176.47$180.0016.6%6.7%13.9%7.6%24.0%2.6%-2.3%24.3K-3.1M-33.3K0.7061.693222271,6931,909
2017-03-08$176.89$180.0017.5%6.6%13.3%10.6%24.4%2.2%-2.2%57.0K-3.7M-33.4K0.6761.873262201,6931,929
2017-03-09$177.99$180.0016.5%6.5%13.4%10.4%23.2%2.7%-2.2%178.0K-5.2M-33.5K0.6160.763051871,7051,996
2017-03-10$177.53$180.0016.0%6.6%13.2%8.0%24.0%2.7%-2.8%161.3K-4.9M-33.0K0.6460.392931881,7292,016
2017-03-13$176.98$180.0018.8%6.7%12.3%20.7%25.5%2.4%-2.6%17.8K-3.8M-30.1K1.4265.252934161,7312,048
2017-03-14$177.14$180.0019.6%6.8%12.2%24.0%25.8%2.5%-2.9%-322.7K-2.1M-30.7K0.9765.653042951,7472,253
2017-03-15$179.63$180.0023.7%6.8%13.3%42.4%25.1%2.5%-3.2%-775.8K-6.5M-31.6K0.7764.383963061,7582,384
2017-03-16$179.80$180.0023.7%6.8%13.1%42.4%23.9%2.1%-3.0%-1.2M-6.6M-32.7K0.7156.945083621,8542,477
2017-03-17$179.96$180.0022.9%6.6%13.1%38.9%23.3%2.3%-3.7%-8.2M-6.8M-37.4K1.3358.965317042,0242,621
2017-03-20$180.84$185.0024.6%7.0%12.7%46.2%24.5%2.6%-3.8%13.4K-1.8M-45.0K3.2159.582979531,0141,112
2017-03-21$176.20$185.0024.5%7.0%15.2%46.1%25.5%2.8%-3.3%-634.7K6.9M-55.2K1.5254.733515331,0451,662
2017-03-22$176.34$185.0024.6%7.1%14.9%46.6%25.1%2.9%-3.2%-741.0K7.5M-58.3K1.6358.632824591,1341,823
2017-03-23$177.09$185.0025.2%7.2%15.0%48.9%24.6%2.5%-4.0%-708.5K6.5M-59.1K1.1360.973233651,1561,870
2017-03-24$176.84$185.0025.2%7.2%15.0%49.1%23.9%3.0%-3.9%-743.8K6.8M-60.5K1.3763.622313161,2011,928
2017-03-27$174.09$185.0026.7%7.6%15.8%55.5%27.9%2.5%-5.3%-839.1K10.6M-56.2K5.3539.665362,8691,2081,937
2017-03-28$164.40$180.0016.7%4.8%24.8%11.3%15.7%1.6%0.3%-3.2M39.1M-58.6K3.7764.023601,3561,4454,036
2017-03-29$164.10$180.0016.0%4.6%23.6%8.2%16.3%1.4%0.5%-3.2M38.9M-61.1K1.3370.594455941,5704,147
2017-03-30$164.49$180.0015.9%4.6%23.7%7.7%15.7%2.0%0.8%-3.2M37.8M-67.3K6.5777.532951,9391,7524,290
2017-03-31$165.06$180.0015.7%4.5%23.9%6.8%16.2%1.1%0.7%-2.8M34.3M-62.9K1.8880.282835331,7864,008