FDS Options History — April 2017

In April 2017, FDS traded between $157.07 and $164.22. ATM implied volatility averaged 16.1%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 6.1% (HV 20d: 22.2%). Max pain ranged from $165.00 to $180.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.22.

Notable Days

2017-04-04: Highest Volume — 1,007 contracts
2017-04-24: Largest IV drop — 15.8% change
2017-04-17: Highest IV Rank — 19.7%
2017-04-17: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$161.58	$157.07	$164.22	$164.22	$163.47
Max Pain	$167.89	$165.00	$180.00	$180.00	$165.00
ATM IV	16.1%	14.2%	18.6%	15.7%	14.3%
Expected Move	4.7%	4.1%	5.3%	4.5%	4.1%
HV 20d	22.2%	13.5%	25.2%	23.8%	13.5%
HV 60d	17.6%	17.1%	18.1%	17.3%	17.8%
IV Rank	8.6%	0.3%	19.7%	6.9%	0.5%
IV Percentile	14.8%	0.4%	46.4%	5.2%	0.8%
Term Structure	1.4%	0.3%	2.8%	0.8%	2.8%
VWIV	16.7%	15.4%	18.0%	15.4%	15.4%
Skew 25d	2.3%	1.7%	3.1%	1.8%	2.1%
Skew 10d	5.3%	3.1%	7.0%	4.4%	5.1%
Call IV 25d	15.6%	13.8%	17.6%	15.3%	13.9%
Put IV 25d	17.9%	16.1%	19.3%	17.1%	16.1%
Bid-Ask Spread %	68.18	38.42	84.68	83.05	76.41
Gamma HHI	0.40	0.16	0.66	0.30	0.17
Net GEX	-1.9M	-3.4M	-146.6K	-2.9M	-160.3K
Net DEX	28.3M	2.3M	42.8M	37.3M	2.5M
Net VEX	-46.8K	-59.9K	-40.2K	-59.9K	-43.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.67	2.45	2.09	0.75
Total Volume	696.947	397	1,007	823	397
Total OI	4,871.579	2,300	5,980	5,903	2,478

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
2017-04-03	$164.22	$180.00	15.7%	4.5%	23.8%	6.9%	15.4%	1.8%	0.8%	-2.9M	37.3M	-59.9K	2.09	83.05	266	557	1,791	4,112
2017-04-04	$162.05	$180.00	16.8%	4.8%	24.1%	11.9%	15.5%	2.3%	0.3%	-2.7M	40.7M	-55.0K	2.45	82.14	292	715	1,799	4,058
2017-04-05	$161.11	$180.00	16.5%	4.7%	23.9%	10.5%	16.6%	1.9%	0.4%	-2.5M	39.2M	-53.1K	1.16	84.68	269	311	1,820	3,809
2017-04-06	$161.13	$170.00	16.0%	4.8%	23.7%	8.3%	16.6%	2.0%	0.9%	-2.6M	38.3M	-51.0K	1.21	54.23	356	432	1,837	3,771
2017-04-07	$160.08	$170.00	15.6%	4.7%	23.7%	6.3%	16.9%	2.2%	1.6%	-2.6M	40.1M	-48.1K	1.19	38.42	347	414	1,781	3,786
2017-04-10	$159.62	$165.00	16.1%	4.9%	23.7%	8.4%	17.2%	2.6%	0.8%	-2.7M	40.4M	-48.7K	1.28	60.81	356	454	1,804	3,837
2017-04-11	$160.19	$165.00	15.9%	4.8%	23.8%	7.8%	17.3%	2.3%	1.4%	-2.8M	37.8M	-50.4K	1.25	62.75	362	453	1,836	3,751
2017-04-12	$159.17	$165.00	17.0%	4.9%	22.7%	12.4%	17.0%	2.0%	1.5%	-2.8M	39.4M	-49.3K	1.12	60.79	380	427	1,848	3,770
2017-04-13	$158.64	$165.00	17.2%	4.9%	22.6%	13.5%	17.2%	2.8%	1.2%	-2.9M	41.0M	-46.9K	1.09	66.00	402	439	1,861	3,777
2017-04-17	$157.07	$165.00	18.6%	5.3%	22.4%	19.7%	17.5%	1.7%	0.3%	-2.6M	42.8M	-41.8K	1.09	73.39	405	443	1,897	3,729
2017-04-18	$161.40	$165.00	17.9%	5.1%	25.2%	16.4%	17.8%	2.6%	0.8%	-3.4M	34.2M	-45.4K	1.25	68.27	306	383	1,925	4,014
2017-04-19	$163.19	$165.00	16.6%	4.7%	24.7%	10.6%	17.0%	2.6%	1.4%	-2.6M	31.0M	-44.3K	1.19	70.85	338	402	1,919	4,024
2017-04-20	$162.60	$165.00	16.2%	4.7%	24.6%	9.2%	16.9%	2.4%	1.7%	-2.6M	31.5M	-43.4K	1.38	72.48	295	407	1,944	4,036
2017-04-21	$162.36	$165.00	17.2%	4.9%	24.4%	13.6%	18.0%	3.1%	1.1%	-253.4K	29.3M	-41.5K	1.61	67.96	285	458	1,968	4,011
2017-04-24	$163.18	$165.00	14.5%	4.2%	24.6%	1.5%	15.8%	2.6%	2.5%	-282.5K	4.1M	-40.2K	0.88	57.47	262	231	1,096	1,204
2017-04-25	$163.16	$165.00	14.9%	4.3%	24.3%	3.4%	16.0%	2.5%	2.2%	-226.7K	3.2M	-41.4K	0.83	63.41	266	222	1,160	1,212
2017-04-26	$163.63	$165.00	14.6%	4.2%	13.5%	1.9%	16.3%	2.1%	2.4%	-171.9K	2.7M	-42.3K	0.75	72.26	260	195	1,194	1,224
2017-04-27	$163.68	$165.00	14.2%	4.1%	13.5%	0.3%	16.0%	2.5%	2.8%	-146.6K	2.3M	-43.7K	0.67	80.04	273	182	1,251	1,226
2017-04-28	$163.47	$165.00	14.3%	4.1%	13.5%	0.5%	15.4%	2.1%	2.8%	-160.3K	2.5M	-43.5K	0.75	76.41	227	170	1,251	1,227