FDS Options History — November 2017

In November 2017, FDS traded between $185.42 and $200.24. ATM implied volatility averaged 17.8%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.2% (HV 20d: 15.6%). Max pain ranged from $185.00 to $210.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.98.

Notable Days

  • 2017-11-17: Highest Volume — 5,748 contracts
  • 2017-11-21: Largest IV drop — 10.9% change
  • 2017-11-20: Highest IV Rank — 27.8%
  • 2017-11-20: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$195.13$185.42$200.24$185.42$200.24
Max Pain$203.10$185.00$210.00$185.00$210.00
ATM IV17.8%15.9%19.0%17.7%19.0%
Expected Move5.1%4.7%5.4%5.1%5.4%
HV 20d15.6%13.2%16.4%13.9%13.2%
HV 60d16.5%15.6%17.7%17.1%16.0%
IV Rank21.4%11.6%27.8%20.9%27.8%
IV Percentile60.8%26.2%77.0%59.1%77.0%
Term Structure2.9%-0.7%5.7%-0.7%5.1%
VWIV18.8%15.2%22.7%17.4%19.7%
Skew 25d2.4%1.1%3.3%3.3%1.1%
Skew 10d5.5%2.9%7.2%6.3%2.9%
Call IV 25d17.3%15.7%19.6%15.9%19.3%
Put IV 25d19.7%18.1%21.6%19.2%20.3%
Bid-Ask Spread %60.5045.3574.8872.0974.88
Gamma HHI0.600.360.880.480.45
Net GEX-2.1M-3.5M97.2K-921.0K-967.3K
Net DEX28.3M-1.8M43.8M-1.8M27.6M
Net VEX-138.3K-179.8K-64.9K-64.9K-124.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.980.4931.661.820.68
Total Volume1,285.3815555,7488181,174
Total OI8,551.813,8639,4353,8639,189

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$185.42$185.0017.7%5.1%13.9%20.9%17.4%3.3%-0.7%-921.0K-1.8M-64.9K1.8272.092905281,2482,615
2017-11-02$190.14$200.0015.9%4.7%16.3%11.6%15.2%2.7%2.0%-2.6M29.8M-104.2K1.0058.011,5641,5641,3185,102
2017-11-03$190.60$200.0016.5%4.8%15.9%14.5%17.1%2.2%2.0%-2.6M37.8M-153.6K1.1755.994785602,6256,195
2017-11-06$191.15$200.0017.1%4.9%15.5%17.9%18.0%2.8%1.5%-2.6M37.4M-147.9K1.4554.484025822,6606,227
2017-11-07$191.33$200.0017.0%4.9%15.3%17.1%18.1%2.8%1.4%-2.7M36.1M-148.9K1.5847.753645762,6666,247
2017-11-08$195.16$200.0017.3%5.0%16.3%19.0%18.4%2.9%1.9%-3.1M21.6M-168.1K1.3658.054726432,6876,275
2017-11-09$196.48$200.0018.3%5.2%16.2%24.2%18.7%1.9%1.9%-3.1M16.0M-176.7K1.7361.544287402,7886,408
2017-11-10$196.30$200.0018.3%5.2%16.0%24.2%18.8%2.3%2.0%-3.1M17.4M-179.8K1.5358.824416752,8656,518
2017-11-13$195.84$200.0018.7%5.4%16.2%26.4%19.6%2.6%1.7%-3.2M18.5M-169.4K2.4345.352586272,8706,538
2017-11-14$195.16$200.0018.3%5.3%16.3%24.4%19.3%2.3%2.0%-3.2M22.0M-162.5K2.3653.072646222,8576,550
2017-11-15$195.39$200.0018.9%5.4%16.4%27.3%22.7%2.8%1.9%-3.3M22.1M-159.6K2.3359.562495802,8636,537
2017-11-16$195.44$200.0018.4%5.3%16.2%24.9%21.1%2.6%2.3%-3.3M21.4M-160.2K1.9359.252324482,8666,541
2017-11-17$196.15$200.0018.7%5.4%15.2%26.2%16.6%3.2%2.0%-3.5M20.2M-159.6K31.6658.971765,5722,8776,558
2017-11-20$196.31$210.0019.0%5.4%15.1%27.8%21.3%2.3%3.2%-968.9K41.1M-119.9K2.9762.301464332,3795,600
2017-11-21$196.74$210.0016.9%4.8%15.1%16.9%18.4%1.8%4.7%-849.8K41.1M-116.2K2.9665.141404152,4105,625
2017-11-22$197.58$210.0016.6%4.7%15.1%15.1%18.1%2.0%5.2%-1.0M39.5M-118.3K0.8363.534904052,4015,629
2017-11-24$198.71$210.0016.3%4.7%15.1%13.6%18.1%2.3%5.7%-1.0M36.3M-117.2K0.8873.394754172,7765,667
2017-11-27$196.49$210.0018.0%5.2%15.8%22.7%17.9%2.0%5.1%-389.4K43.8M-106.3K0.4965.149294542,7925,697
2017-11-28$199.04$210.0017.4%5.0%16.1%19.6%19.5%2.7%5.3%97.2K34.2M-119.7K0.8266.895244313,2185,775
2017-11-29$198.03$210.0018.9%5.4%16.1%27.6%21.1%1.9%5.0%-761.1K32.7M-126.4K0.6256.257584673,1475,782
2017-11-30$200.24$210.0019.0%5.4%13.2%27.8%19.7%1.1%5.1%-967.3K27.6M-124.6K0.6874.887004743,3495,840