FDS Options History — September 2017

In September 2017, FDS traded between $156.96 and $180.10. ATM implied volatility averaged 19.8%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.6% (HV 20d: 14.2%). Max pain ranged from $155.00 to $165.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.63.

Notable Days

  • 2017-09-25: Highest Volume — 3,183 contracts
  • 2017-09-13: Largest IV spike — 45.8% change
  • 2017-09-25: Highest IV Rank — 68.7%
  • 2017-09-25: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$165.40$156.96$180.10$158.24$180.10
Max Pain$160.50$155.00$165.00$160.00$165.00
ATM IV19.8%14.3%26.7%14.3%16.4%
Expected Move6.3%4.1%7.7%4.1%4.7%
HV 20d14.2%10.9%19.4%15.7%19.3%
HV 60d16.0%15.0%18.1%16.2%16.7%
IV Rank32.2%3.1%68.7%3.1%14.0%
IV Percentile55.4%4.8%98.8%4.8%31.7%
Term Structure-2.5%-4.6%7.1%7.1%0.0%
VWIV22.7%15.8%30.6%15.8%18.0%
Skew 25d3.7%2.7%4.5%2.9%2.7%
Skew 10d8.3%6.0%10.1%6.0%7.5%
Call IV 25d20.6%13.8%26.1%13.8%15.5%
Put IV 25d24.3%16.6%29.2%16.6%18.2%
Bid-Ask Spread %32.1113.9179.3279.3248.35
Gamma HHI0.180.130.280.220.14
Net GEX-195.8K-667.6K184.6K-460.1K-118.8K
Net DEX-2.5M-14.5M6.2M4.2M-13.5M
Net VEX-44.3K-55.0K-39.3K-41.1K-55.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.576.041.622.55
Total Volume830.84763,1835421,132
Total OI3,347.151,8255,5842,9215,584

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$158.24$160.0014.3%4.1%15.7%3.1%15.8%2.9%7.1%-460.1K4.2M-41.1K1.6279.322073351,4091,512
2017-09-05$157.49$160.0018.6%6.8%15.6%25.7%23.5%3.6%-3.1%-560.2K5.3M-39.3K1.6431.841822981,4291,527
2017-09-06$156.96$160.0017.7%6.7%15.3%21.1%23.5%4.0%-3.2%-667.6K6.2M-39.3K1.6235.831853001,4451,568
2017-09-07$158.00$155.0015.0%6.4%15.1%6.9%22.7%4.2%-2.7%-602.3K4.7M-39.6K1.4113.912203111,4601,589
2017-09-08$159.01$155.0014.3%6.5%13.5%3.1%23.0%4.0%-3.2%-527.2K3.5M-41.0K1.2618.172342961,5041,612
2017-09-11$159.00$160.0015.8%6.7%13.5%11.1%23.3%3.7%-3.9%-419.7K2.8M-39.8K1.1914.112753271,5501,649
2017-09-12$160.94$160.0016.2%6.8%13.2%13.1%23.6%4.1%-4.4%-123.2K125.7K-40.4K0.8915.492652371,5561,707
2017-09-13$160.46$160.0023.6%6.8%13.0%52.3%23.3%3.5%-3.9%-272.7K810.1K-40.5K0.8518.202742331,5771,735
2017-09-14$161.26$160.0023.5%6.7%12.7%51.5%23.3%4.0%-4.0%-270.1K-877.7K-40.2K0.8720.943052641,6011,745
2017-09-15$161.84$160.0023.5%6.7%12.1%51.7%23.1%4.3%-4.0%-44.5K-2.6M-40.5K0.9122.512962691,6541,762
2017-09-18$162.98$160.0023.4%6.7%11.1%51.2%24.0%4.3%-3.5%-40.3K-581.3K-39.5K0.7442.222742028181,007
2017-09-19$163.00$160.0023.7%6.8%11.0%52.5%24.5%3.9%-4.4%-27.8K-685.5K-42.9K0.8420.343152669021,092
2017-09-20$164.36$160.0024.6%7.1%10.9%57.6%25.6%4.5%-4.2%14.0K-1.8M-47.0K0.8941.843042701,0201,213
2017-09-21$166.91$160.0025.3%7.3%10.9%61.2%26.0%4.5%-4.6%73.7K-4.1M-50.2K1.0316.262722811,1111,317
2017-09-22$168.75$160.0024.3%7.0%11.3%55.9%25.9%4.2%-4.5%88.2K-5.6M-49.6K0.5717.853491981,1461,406
2017-09-25$171.07$160.0026.7%7.7%11.9%68.7%30.6%3.1%-4.5%184.6K-7.6M-52.0K6.0454.984522,7311,2491,418
2017-09-26$179.97$165.0016.7%4.8%19.4%15.6%19.0%2.9%0.0%31.0K-14.5M-47.9K2.6149.764081,0641,3583,765
2017-09-27$179.29$165.0016.3%4.7%18.8%13.4%18.1%3.5%0.2%-100.9K-13.3M-50.7K2.6457.683799991,4023,962
2017-09-28$178.35$165.0016.4%4.7%19.3%14.5%17.8%2.9%0.1%-71.7K-12.4M-50.4K2.4322.564109971,4504,132
2017-09-29$180.10$165.0016.4%4.7%19.3%14.0%18.0%2.7%0.0%-118.8K-13.5M-55.0K2.5548.353198131,5124,072