FDS Options History — May 2017

In May 2017, FDS traded between $159.08 and $165.83. ATM implied volatility averaged 14.8%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.6% (HV 20d: 12.2%). Max pain ranged from $165.00 to $165.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2017-05-03: Highest Volume — 703 contracts
  • 2017-05-08: Largest IV spike — 14.5% change
  • 2017-05-30: Highest IV Rank — 10.6%
  • 2017-05-30: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$161.98$159.08$165.83$163.15$165.83
Max Pain$165.00$165.00$165.00$165.00$165.00
ATM IV14.8%13.8%16.2%14.6%14.4%
Expected Move4.2%3.9%4.6%4.2%4.1%
HV 20d12.2%10.3%14.5%13.4%12.7%
HV 60d17.5%17.0%17.8%17.8%17.4%
IV Rank3.8%0.0%10.6%2.1%2.9%
IV Percentile6.2%0.0%24.2%2.4%3.6%
Term Structure4.7%1.0%7.4%2.6%7.4%
VWIV15.5%14.2%17.0%15.6%14.2%
Skew 25d1.9%-1.1%2.4%2.4%1.7%
Skew 10d4.4%0.4%6.9%5.6%6.9%
Call IV 25d14.2%13.2%17.3%14.2%13.8%
Put IV 25d16.2%15.4%17.5%16.6%15.5%
Bid-Ask Spread %67.3419.4996.7981.4952.64
Gamma HHI0.270.180.490.180.20
Net GEX-375.7K-1.2M236.2K-70.8K236.2K
Net DEX3.7M-2.1M8.3M2.4M-2.1M
Net VEX-42.7K-50.7K-37.1K-45.2K-38.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.331.280.700.41
Total Volume470331703393426
Total OI2,985.3642,6393,3422,6712,750

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$163.15$165.0014.6%4.2%13.4%2.1%15.6%2.4%2.6%-70.8K2.4M-45.2K0.7081.492311621,3951,276
2017-05-02$162.99$165.0014.3%4.1%13.3%0.5%15.7%2.4%2.9%-87.1K2.4M-45.4K1.2878.102423101,4121,291
2017-05-03$163.44$165.0014.0%4.0%12.5%0.0%16.1%2.4%1.0%-152.5K2.7M-46.5K0.7680.074003031,4361,438
2017-05-04$163.99$165.0014.3%4.2%12.3%1.4%15.0%2.4%4.0%-45.5K1.1M-50.7K0.5275.883461801,5821,549
2017-05-05$163.94$165.0014.0%4.2%12.3%0.4%15.7%2.1%3.8%-32.2K1.0M-50.7K0.6973.673092121,5951,548
2017-05-08$160.98$165.0016.1%4.4%13.8%9.3%16.5%2.1%3.6%-373.0K4.8M-46.7K1.0174.292392411,6031,541
2017-05-09$162.62$165.0014.5%4.1%14.2%2.5%15.2%1.9%4.3%-189.8K2.9M-46.8K1.0946.602512731,6041,543
2017-05-10$161.36$165.0014.9%4.3%14.5%4.0%14.4%2.2%4.3%-418.3K5.1M-45.7K0.9577.732542421,6061,574
2017-05-11$161.14$165.0014.9%4.3%14.3%4.1%14.5%2.1%4.4%-460.4K5.3M-45.3K0.8671.752592221,6191,580
2017-05-12$160.18$165.0014.7%4.2%14.4%3.1%14.5%1.9%4.3%-638.6K6.5M-43.0K0.8220.542662171,6171,583
2017-05-15$161.67$165.0014.7%4.2%14.2%3.3%14.8%2.2%4.6%-452.1K4.6M-42.1K1.0682.062702871,6381,578
2017-05-16$160.51$165.0014.7%4.2%10.7%3.3%16.8%1.6%4.5%-1.0M6.3M-42.2K0.6219.492701681,6601,682
2017-05-17$159.08$165.0015.8%4.5%10.3%8.2%17.0%2.2%3.7%-965.0K8.3M-40.8K0.8480.322502091,6601,637
2017-05-18$159.96$165.0015.5%4.4%10.5%6.8%16.3%2.1%3.8%-1.2M6.9M-41.0K0.8677.502432091,6741,650
2017-05-19$160.91$165.0015.1%4.3%10.7%5.0%15.6%1.9%4.5%-1.1M4.4M-40.2K0.8180.432431971,6731,655
2017-05-22$161.17$165.0015.2%4.4%10.6%5.5%15.6%2.1%6.3%-318.6K4.2M-37.9K0.6521.412111371,3371,302
2017-05-23$160.89$165.0014.4%4.1%10.6%1.9%14.7%1.9%6.9%-309.9K4.2M-38.8K0.5446.252151161,3531,314
2017-05-24$161.51$165.0014.8%4.2%10.6%3.7%15.2%2.1%6.6%-264.3K3.5M-38.1K0.3786.15269991,3711,313
2017-05-25$162.78$165.0013.8%3.9%11.1%0.0%16.4%2.1%7.2%-145.1K2.1M-38.5K0.3476.223311141,3711,322
2017-05-26$162.05$165.0014.8%4.2%11.2%4.6%14.8%2.1%6.8%-193.1K2.9M-37.8K0.3382.163401121,3401,332
2017-05-30$163.41$165.0016.2%4.6%11.6%10.6%15.6%-1.1%5.5%-60.0K914.5K-37.1K0.5496.793021631,3501,324
2017-05-31$165.83$165.0014.4%4.1%12.7%2.9%14.2%1.7%7.4%236.2K-2.1M-38.6K0.4152.643031231,3751,375