FDS Options History — June 2017

In June 2017, FDS traded between $163.47 and $171.68. ATM implied volatility averaged 19.1%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.7% (HV 20d: 12.5%). Max pain ranged from $165.00 to $165.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2017-06-26: Highest Volume — 1,398 contracts
  • 2017-06-27: Largest IV drop — 38.4% change
  • 2017-06-26: Highest IV Rank — 56.6%
  • 2017-06-26: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$166.58$163.47$171.68$165.09$166.60
Max Pain$165.00$165.00$165.00$165.00$165.00
ATM IV19.1%13.7%26.7%13.7%16.2%
Expected Move6.2%3.9%7.7%3.9%4.6%
HV 20d12.5%9.8%16.7%12.8%16.7%
HV 60d15.9%12.8%17.5%17.4%13.8%
IV Rank23.9%0.0%56.6%0.0%13.2%
IV Percentile46.4%0.0%98.0%0.0%27.0%
Term Structure-2.2%-5.4%8.4%7.9%0.2%
VWIV22.1%13.8%27.3%13.8%16.7%
Skew 25d2.8%1.2%3.6%1.8%2.9%
Skew 10d6.4%4.4%8.7%5.0%6.5%
Call IV 25d20.5%13.3%25.3%13.3%15.1%
Put IV 25d23.3%14.5%28.4%15.1%18.0%
Bid-Ask Spread %33.4620.7883.6542.9270.46
Gamma HHI0.250.110.760.200.39
Net GEX-84.1K-2.5M2.5M182.3K-2.2M
Net DEX-402.9K-7.2M10.2M-1.4M8.1M
Net VEX-41.5K-68.8K-32.7K-39.6K-68.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.471.570.631.07
Total Volume501.6822961,398532596
Total OI2,991.3641,5534,9522,7914,940

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$165.09$165.0013.7%3.9%12.8%0.0%13.8%1.8%7.9%182.3K-1.4M-39.6K0.6342.923272051,4131,378
2017-06-02$165.39$165.0013.7%3.9%12.7%0.0%14.2%1.2%8.4%199.5K-1.7M-40.1K0.6183.652501531,4531,423
2017-06-05$164.55$165.0014.9%6.4%12.9%5.2%23.5%2.7%-3.0%125.5K-726.4K-38.8K0.6327.902351481,4811,431
2017-06-06$163.50$165.0014.7%6.4%11.2%4.3%23.0%2.6%-3.3%-22.1K844.2K-38.3K0.7221.462291661,4951,445
2017-06-07$164.18$165.0014.2%6.5%10.8%2.4%22.9%3.2%-3.7%52.5K181.0K-37.8K0.7321.662221621,4991,440
2017-06-08$163.72$165.0014.3%6.4%10.4%2.5%23.4%3.0%-3.3%-4.1K867.7K-37.1K0.7322.632131561,5071,449
2017-06-09$163.47$165.0014.2%6.5%10.4%2.4%23.7%2.9%-3.3%-9.5K1.1M-36.4K0.6238.452141331,5101,462
2017-06-12$165.68$165.0018.1%6.8%11.0%19.2%24.1%2.9%-4.3%278.9K-2.0M-34.7K0.6835.252841921,5081,460
2017-06-13$166.79$165.0018.4%6.8%10.8%20.4%24.1%3.2%-4.4%462.9K-3.8M-34.6K0.4724.363141461,5371,497
2017-06-14$167.14$165.0024.1%6.9%10.3%45.2%24.7%2.9%-4.5%570.4K-4.7M-34.4K0.7536.622231681,5531,476
2017-06-15$168.77$165.0023.0%6.6%9.8%40.4%24.4%2.9%-4.0%970.7K-6.3M-33.4K0.6421.982481591,5521,487
2017-06-16$169.73$165.0023.7%6.8%9.8%43.5%25.1%2.8%-4.6%2.5M-7.2M-33.9K0.8135.122151751,5611,509
2017-06-19$171.68$165.0023.9%6.8%10.2%44.3%24.0%2.8%-2.8%98.9K-2.7M-32.7K0.7325.84195143783770
2017-06-20$168.02$165.0024.1%6.9%13.5%45.4%25.0%3.2%-3.8%47.3K-1.0M-36.6K1.0226.08164168878837
2017-06-21$165.84$165.0025.0%7.2%14.5%49.1%25.7%3.0%-4.3%-24.9K169.4K-36.3K1.1924.43145173879870
2017-06-22$166.03$165.0025.1%7.2%14.4%49.6%25.4%3.5%-4.3%-11.3K-25.4K-36.6K1.0433.38145151915904
2017-06-23$166.46$165.0025.6%7.3%14.2%51.6%25.6%3.6%-4.5%1.9K-161.5K-37.5K1.0320.78151156951925
2017-06-26$166.81$165.0026.7%7.7%14.1%56.6%27.3%3.1%-5.4%40.0K-762.1K-36.9K1.5521.98549849983929
2017-06-27$165.96$165.0016.5%4.7%14.0%12.0%17.3%3.0%-0.8%-2.5M10.2M-68.8K1.5724.634837601,3353,617
2017-06-28$169.78$165.0015.0%4.3%15.3%6.9%15.9%2.0%0.0%-1.2M141.1K-58.7K0.9834.893243191,4043,508
2017-06-29$169.63$165.0016.1%4.6%15.2%12.7%17.4%2.5%-0.0%-1.4M2.2M-62.0K1.2941.612753541,3613,495
2017-06-30$166.60$165.0016.2%4.6%16.7%13.2%16.7%2.9%0.2%-2.2M8.1M-68.0K1.0770.462883081,4153,525