FDS Options History — July 2017

In July 2017, FDS traded between $160.40 and $167.83. ATM implied volatility averaged 16.5%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.1% (HV 20d: 18.5%). Max pain ranged from $165.00 to $170.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.87.

Notable Days

2017-07-19: Highest Volume — 2,504 contracts
2017-07-12: Largest IV drop — 13.0% change
2017-07-06: Highest IV Rank — 27.9%
2017-07-05: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$164.27	$160.40	$167.83	$165.77	$167.83
Max Pain	$165.75	$165.00	$170.00	$165.00	$165.00
ATM IV	16.5%	14.5%	19.0%	16.8%	14.5%
Expected Move	4.6%	4.2%	5.1%	4.8%	4.2%
HV 20d	18.5%	16.3%	20.4%	16.7%	16.3%
HV 60d	14.7%	13.8%	15.4%	13.8%	15.1%
IV Rank	14.6%	4.1%	27.9%	16.0%	4.1%
IV Percentile	30.4%	6.3%	61.9%	34.5%	6.3%
Term Structure	0.0%	-0.8%	0.6%	-0.8%	0.3%
VWIV	16.6%	15.3%	18.5%	17.2%	15.5%
Skew 25d	2.6%	2.1%	3.3%	2.6%	2.4%
Skew 10d	5.6%	4.6%	6.6%	5.8%	5.1%
Call IV 25d	15.2%	13.9%	16.5%	15.9%	14.1%
Put IV 25d	17.7%	16.4%	19.6%	18.5%	16.5%
Bid-Ask Spread %	56.62	13.57	86.89	70.62	79.09
Gamma HHI	0.37	0.14	0.70	0.39	0.15
Net GEX	-2.2M	-4.2M	21.6K	-2.3M	21.6K
Net DEX	9.8M	-1.8M	22.7M	9.3M	-1.8M
Net VEX	-47.2K	-64.9K	-37.0K	-64.9K	-37.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.87	0.93	8.11	0.95	1.13
Total Volume	616.7	316	2,504	533	408
Total OI	4,078.2	2,229	5,145	4,912	2,442

Daily Data (20 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
2017-07-03	$165.77	$165.00	16.8%	4.8%	16.7%	16.0%	17.2%	2.6%	-0.8%	-2.3M	9.3M	-64.9K	0.95	70.62	273	260	1,421	3,491
2017-07-05	$165.62	$165.00	17.7%	5.1%	16.5%	21.1%	18.5%	3.3%	-0.5%	-2.5M	10.2M	-62.5K	0.99	76.58	229	227	1,432	3,500
2017-07-06	$160.40	$170.00	19.0%	5.0%	20.1%	27.9%	17.0%	2.7%	-0.5%	-3.0M	22.7M	-58.8K	1.37	71.63	220	302	1,433	3,508
2017-07-07	$162.00	$170.00	17.8%	4.9%	20.4%	21.7%	16.7%	3.1%	0.3%	-3.3M	19.6M	-59.4K	1.61	20.18	204	329	1,440	3,598
2017-07-10	$161.99	$170.00	18.7%	5.0%	20.4%	26.1%	16.5%	2.6%	0.3%	-3.4M	19.8M	-55.0K	1.20	49.84	242	291	1,435	3,591
2017-07-11	$162.20	$165.00	18.7%	4.9%	19.8%	26.3%	16.4%	2.1%	0.5%	-3.5M	18.8M	-54.4K	1.21	50.66	239	288	1,460	3,599
2017-07-12	$163.89	$165.00	16.3%	4.7%	20.0%	13.5%	15.9%	2.5%	-0.0%	-3.8M	14.5M	-54.6K	1.26	58.55	241	303	1,475	3,603
2017-07-13	$164.40	$165.00	16.2%	4.6%	20.0%	13.0%	17.3%	2.7%	0.1%	-4.1M	13.0M	-52.7K	1.62	55.68	195	315	1,502	3,608
2017-07-14	$163.80	$165.00	15.9%	4.6%	19.7%	11.5%	17.4%	2.3%	-0.1%	-4.2M	15.0M	-52.7K	1.48	50.45	204	302	1,506	3,586
2017-07-17	$162.32	$165.00	16.8%	4.8%	19.7%	16.1%	18.1%	2.3%	-0.0%	-3.6M	19.3M	-42.7K	1.67	49.41	202	337	1,500	3,591
2017-07-18	$162.00	$165.00	16.8%	4.8%	19.0%	16.1%	17.4%	2.8%	-0.2%	-3.0M	19.4M	-40.0K	1.21	14.58	199	240	1,505	3,605
2017-07-19	$163.31	$165.00	15.8%	4.5%	18.0%	11.1%	17.9%	2.4%	0.1%	-4.2M	16.8M	-40.3K	8.11	53.81	275	2,229	1,508	3,637
2017-07-20	$165.72	$165.00	15.8%	4.5%	18.3%	11.1%	16.2%	2.3%	0.0%	-1.2M	232.0K	-38.7K	6.04	52.98	211	1,275	1,592	1,887
2017-07-21	$166.00	$165.00	15.1%	4.3%	18.3%	7.5%	15.3%	2.5%	0.4%	-945.9K	-1.2M	-38.0K	1.45	13.57	194	281	1,601	1,897
2017-07-24	$166.38	$165.00	15.3%	4.4%	18.3%	8.5%	15.4%	2.7%	0.6%	-77.7K	-211.1K	-37.0K	0.93	30.45	179	166	1,056	1,173
2017-07-25	$166.55	$165.00	15.5%	4.4%	18.3%	9.5%	15.5%	2.7%	0.1%	-44.4K	-529.3K	-38.2K	1.26	81.18	140	176	1,097	1,190
2017-07-26	$165.58	$165.00	15.7%	4.5%	18.3%	10.7%	15.8%	2.5%	-0.2%	-81.0K	40.8K	-38.1K	1.41	83.89	153	215	1,114	1,208
2017-07-27	$164.51	$165.00	15.6%	4.5%	16.3%	9.9%	16.1%	2.2%	0.4%	-179.2K	1.4M	-39.3K	1.36	86.89	161	219	1,127	1,250
2017-07-28	$165.14	$165.00	15.5%	4.4%	16.4%	9.2%	15.7%	2.6%	0.0%	-157.8K	669.3K	-39.1K	1.15	82.26	191	219	1,134	1,262
2017-07-31	$167.83	$165.00	14.5%	4.2%	16.3%	4.1%	15.5%	2.4%	0.3%	21.6K	-1.8M	-37.9K	1.13	79.09	192	216	1,180	1,262