FDS Options History — August 2017

In August 2017, FDS traded between $155.87 and $165.80. ATM implied volatility averaged 16.3%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.4% (HV 20d: 14.9%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.00.

Notable Days

  • 2017-08-18: Highest Volume — 776 contracts
  • 2017-08-07: Largest IV spike — 18.5% change
  • 2017-08-07: Highest IV Rank — 21.0%
  • 2017-08-10: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$160.70$155.87$165.80$165.80$157.27
Max Pain$160.43$160.00$165.00$165.00$160.00
ATM IV16.3%14.9%17.7%16.3%16.9%
Expected Move4.6%4.3%5.0%4.7%4.8%
HV 20d14.9%11.9%17.0%16.8%15.5%
HV 60d15.6%14.7%16.2%15.3%16.1%
IV Rank13.6%6.4%21.0%13.5%16.6%
IV Percentile29.9%12.7%48.4%30.6%39.7%
Term Structure3.7%-0.1%6.0%-0.1%5.6%
VWIV16.1%13.7%18.4%15.9%16.6%
Skew 25d2.9%2.3%4.0%2.7%2.3%
Skew 10d6.0%2.7%7.4%5.0%2.7%
Call IV 25d15.2%14.4%16.7%14.7%16.2%
Put IV 25d18.0%16.9%20.1%17.5%18.4%
Bid-Ask Spread %76.0853.6685.8185.8175.41
Gamma HHI0.230.140.520.150.24
Net GEX-394.2K-1.5M343.3K-31.5K-465.9K
Net DEX3.9M-725.9K7.2M-725.9K4.7M
Net VEX-36.9K-40.2K-33.6K-37.8K-35.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.701.440.801.44
Total Volume553.696379776497597
Total OI2,737.6962,5343,1872,5452,736

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$165.80$165.0016.3%4.7%16.8%13.5%15.9%2.7%-0.1%-31.5K-725.9K-37.8K0.8085.812762211,2841,261
2017-08-02$164.68$165.0015.4%4.4%17.0%8.9%15.5%2.3%0.3%-195.6K1.3M-39.2K0.7084.562902021,2941,299
2017-08-03$164.63$160.0015.2%4.3%12.2%8.0%15.7%2.6%3.3%-192.7K1.1M-36.3K0.7576.353002261,2311,303
2017-08-04$163.82$160.0014.9%4.3%11.9%6.4%15.7%2.5%3.7%-231.5K1.8M-35.9K0.8871.562862531,2591,313
2017-08-07$162.40$160.0017.7%4.7%12.4%21.0%15.8%2.7%2.8%-374.7K3.6M-35.8K0.8274.152942421,2581,346
2017-08-08$160.93$160.0017.2%4.6%12.8%18.3%15.7%2.7%2.9%-466.9K4.8M-34.0K0.7772.932962281,2621,347
2017-08-09$162.45$160.0016.4%4.7%12.7%14.1%15.8%2.8%3.0%-424.7K3.3M-35.3K0.9171.723062771,2641,362
2017-08-10$159.13$160.0017.6%5.0%14.5%20.5%18.4%3.4%2.1%-583.8K6.8M-37.7K1.2273.923183871,2671,427
2017-08-11$159.12$160.0017.0%4.9%14.5%17.5%18.4%3.2%2.4%-601.2K6.7M-39.4K0.9075.433182871,3231,466
2017-08-14$161.45$160.0016.8%4.8%15.2%16.3%16.2%2.7%2.3%-463.0K4.2M-38.0K0.9676.173943801,3631,467
2017-08-15$162.55$160.0015.2%4.4%15.4%7.9%16.2%3.0%3.6%-111.5K2.0M-40.2K1.2577.853344171,5531,557
2017-08-16$163.83$160.0015.1%4.3%15.4%7.3%16.4%2.8%3.6%343.3K160.0K-38.6K1.0975.863373671,5521,563
2017-08-17$161.87$160.0017.3%5.0%15.0%18.9%17.2%4.0%1.9%-491.4K3.9M-39.1K1.0782.833173381,5641,623
2017-08-18$159.57$160.0016.3%4.7%15.6%13.6%16.4%3.0%3.0%-1.5M7.2M-37.4K1.1775.143574191,5631,624
2017-08-21$159.01$160.0016.4%4.7%15.5%14.4%17.0%2.8%5.1%-373.0K4.7M-36.0K0.9479.322652481,2531,297
2017-08-22$160.52$160.0015.9%4.6%16.1%11.5%16.0%2.8%5.5%-254.8K3.1M-38.5K1.1353.662212491,3051,334
2017-08-23$158.68$160.0015.4%4.4%16.4%8.8%14.2%2.9%5.6%-361.0K4.5M-37.2K1.0979.182012191,3081,334
2017-08-24$158.81$160.0015.4%4.4%16.3%8.8%14.5%2.7%5.6%-361.2K4.5M-36.9K1.0179.082042071,3181,344
2017-08-25$159.39$160.0015.1%4.3%16.3%7.4%13.7%2.5%6.0%-352.1K4.1M-36.7K1.0781.651831961,3231,349
2017-08-28$157.42$160.0017.2%4.9%15.3%18.5%16.0%3.4%5.0%-503.9K6.3M-33.6K1.1481.202022311,3241,352
2017-08-29$155.87$160.0017.1%4.9%15.1%18.1%17.0%3.5%5.0%-539.7K7.1M-33.8K1.0183.082052081,3291,374
2017-08-30$156.91$160.0016.7%4.8%15.4%16.0%16.1%3.0%6.0%-488.5K5.4M-34.9K0.9462.922232091,3471,345
2017-08-31$157.27$160.0016.9%4.8%15.5%16.6%16.6%2.3%5.6%-465.9K4.7M-35.8K1.4475.412453521,3771,359