FDS Options History — October 2017

In October 2017, FDS traded between $177.22 and $189.85. ATM implied volatility averaged 16.2%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 1.9% (HV 20d: 18.1%). Max pain ranged from $165.00 to $185.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.67.

Notable Days

  • 2017-10-09: Highest Volume — 1,387 contracts
  • 2017-10-03: Largest IV drop — 9.8% change
  • 2017-10-02: Highest IV Rank — 21.2%
  • 2017-10-02: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$182.73$177.22$189.85$182.44$189.85
Max Pain$174.77$165.00$185.00$165.00$185.00
ATM IV16.2%14.7%17.7%17.7%16.0%
Expected Move4.7%4.2%5.1%5.1%4.6%
HV 20d18.1%10.9%21.3%19.4%11.2%
HV 60d16.8%16.4%17.1%16.8%16.4%
IV Rank13.1%5.1%21.2%21.2%12.2%
IV Percentile30.8%8.7%53.2%53.2%28.2%
Term Structure0.2%-0.6%0.7%-0.6%-0.4%
VWIV17.1%15.4%20.3%17.5%16.9%
Skew 25d2.8%2.1%3.8%3.3%2.7%
Skew 10d6.3%4.9%8.5%8.2%6.9%
Call IV 25d15.2%13.8%16.2%16.0%14.9%
Put IV 25d18.0%15.9%19.2%19.2%17.5%
Bid-Ask Spread %53.6616.9076.0828.4076.08
Gamma HHI0.230.120.460.140.39
Net GEX-222.0K-620.5K107.2K9.3K-477.4K
Net DEX-11.8M-20.5M-5.9M-16.3M-8.2M
Net VEX-48.2K-61.5K-38.0K-50.9K-60.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.671.655.463.402.06
Total Volume1,115.4555421,3871,259793
Total OI5,196.0452,6686,3055,6683,786

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$182.44$165.0017.7%5.1%19.4%21.2%17.5%3.3%-0.6%9.3K-16.3M-50.9K3.4028.402869731,5514,117
2017-10-03$182.82$165.0016.0%4.6%19.0%12.0%18.0%3.8%-0.0%59.7K-16.6M-49.4K4.1742.732681,1181,5514,262
2017-10-04$181.13$165.0017.3%4.9%19.5%18.8%17.1%3.0%-0.6%-22.3K-14.7M-52.1K4.2024.962561,0751,5514,562
2017-10-05$180.88$165.0016.9%4.8%19.8%16.8%20.1%3.2%0.4%-74.9K-14.2M-50.8K3.9318.752621,0291,5484,595
2017-10-06$179.66$165.0016.6%4.8%20.4%15.1%20.3%3.0%0.3%-183.6K-12.6M-52.6K3.7034.582801,0351,5614,697
2017-10-09$178.49$165.0016.6%4.8%20.7%15.0%20.2%3.0%0.6%-262.1K-11.2M-52.5K4.0816.902731,1141,5654,740
2017-10-10$177.83$170.0016.1%4.8%20.9%12.8%17.3%2.4%0.7%-89.7K-11.4M-47.3K3.8616.982168341,5624,453
2017-10-11$178.07$170.0016.2%4.6%20.7%13.1%16.9%2.8%0.6%-110.8K-11.6M-44.3K5.1144.692101,0731,5534,480
2017-10-12$178.07$170.0016.4%4.7%20.8%14.0%16.7%2.6%0.4%-135.7K-11.7M-43.7K4.9862.372141,0661,5444,369
2017-10-13$177.22$170.0016.8%4.8%21.1%16.1%16.2%2.2%0.4%-179.0K-10.5M-43.5K5.4663.752091,1421,5404,383
2017-10-16$177.67$175.0016.2%4.6%21.1%13.2%16.7%2.4%0.4%-240.8K-10.4M-40.8K5.4064.632021,0911,5414,403
2017-10-17$179.42$175.0016.1%4.6%21.1%12.6%16.3%2.5%0.2%-303.7K-13.1M-40.6K4.9766.632081,0331,5414,413
2017-10-18$180.15$175.0016.1%4.6%21.0%12.5%15.7%2.1%0.3%-303.9K-14.5M-38.6K4.1166.582531,0391,5584,414
2017-10-19$182.06$180.0016.1%4.6%20.8%12.7%15.9%2.9%0.6%-114.0K-16.5M-40.2K4.7266.692141,0111,5814,498
2017-10-20$185.56$180.0014.7%4.2%21.3%5.1%15.4%2.1%0.7%94.0K-20.5M-38.0K3.1860.213139951,5904,570
2017-10-23$186.47$180.0016.0%4.6%21.1%12.2%16.2%2.8%0.5%107.2K-9.1M-39.4K2.9165.632687799761,692
2017-10-24$187.28$185.0016.5%4.7%12.0%14.7%16.3%3.2%-0.5%-453.6K-7.0M-47.6K2.2868.571653771,0362,182
2017-10-25$188.43$185.0015.3%4.4%11.8%8.4%16.2%2.5%0.2%-481.9K-8.0M-46.5K1.6568.462484081,0432,237
2017-10-26$189.49$185.0015.4%4.4%11.5%9.0%16.1%2.5%0.4%-486.7K-7.9M-59.7K2.5274.862145391,1412,465
2017-10-27$188.96$185.0015.2%4.4%11.4%7.9%16.2%2.9%0.5%-614.4K-6.8M-61.5K2.0273.882434921,1582,538
2017-10-30$188.22$185.0016.2%4.6%10.9%13.2%17.4%3.4%-0.1%-620.5K-5.9M-61.2K1.9674.092444781,2072,559
2017-10-31$189.85$185.0016.0%4.6%11.2%12.2%16.9%2.7%-0.4%-477.4K-8.2M-60.0K2.0676.082595341,2252,561