FDS Options History — December 2017

In December 2017, FDS traded between $187.18 and $204.63. ATM implied volatility averaged 20.9%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 1.3% (HV 20d: 22.2%). Max pain ranged from $200.00 to $210.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.41.

Notable Days

  • 2017-12-12: Highest Volume — 5,724 contracts
  • 2017-12-11: Largest IV spike — 19.9% change
  • 2017-12-15: Highest IV Rank — 94.4%
  • 2017-12-11: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$198.42$187.18$204.63$201.51$192.89
Max Pain$200.50$200.00$210.00$210.00$200.00
ATM IV20.9%17.0%26.1%19.4%17.0%
Expected Move6.4%4.9%7.5%5.6%4.9%
HV 20d22.2%10.7%37.7%10.7%37.1%
HV 60d19.6%16.0%24.5%16.0%24.0%
IV Rank46.4%25.3%94.4%29.9%25.3%
IV Percentile79.5%53.2%98.4%79.4%53.2%
Term Structure-0.9%-3.4%5.5%5.5%1.3%
VWIV23.0%17.5%27.7%19.6%17.5%
Skew 25d2.1%0.4%3.6%1.5%2.1%
Skew 10d4.4%1.9%6.2%4.3%3.8%
Call IV 25d22.2%17.1%26.2%19.2%17.1%
Put IV 25d24.2%19.2%28.8%20.6%19.2%
Bid-Ask Spread %36.4115.5572.9272.9217.22
Gamma HHI0.350.120.810.470.13
Net GEX-1.2M-6.1M395.9K-1.2M-114.2K
Net DEX10.5M-9.4M37.7M23.6M793.1K
Net VEX-104.3K-133.7K-71.3K-122.4K-100.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.877.351.822.44
Total Volume2,053.89635,7242,4031,016
Total OI7,776.53,32911,5909,2364,991

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$201.51$210.0019.4%5.6%10.7%29.9%19.6%1.5%5.5%-1.2M23.6M-122.4K1.8272.928521,5513,3615,875
2017-12-04$204.54$200.0022.4%7.3%11.5%46.0%25.5%2.7%-3.1%-3.6M9.2M-129.3K1.1029.445145653,5435,948
2017-12-05$202.35$200.0021.7%7.3%12.5%42.2%25.8%2.4%-2.6%-1.9M13.9M-133.7K1.2542.234405523,6296,004
2017-12-06$202.12$200.0021.1%7.3%12.6%38.9%25.9%2.3%-2.9%-1.8M15.1M-128.3K1.2434.504405443,8436,074
2017-12-07$200.05$200.0020.4%7.4%11.7%35.2%27.3%1.9%-2.3%-344.8K27.1M-121.7K1.4834.684576763,8286,061
2017-12-08$202.02$200.0019.5%7.5%11.9%30.8%27.7%2.7%-3.3%-1.1M18.9M-117.0K2.2138.111,4303,1663,8136,207
2017-12-11$204.19$200.0023.4%7.5%12.3%51.2%27.0%2.6%-3.4%-969.7K4.2M-111.1K7.3537.034253,1224,9326,240
2017-12-12$204.06$200.0022.2%7.5%12.3%44.7%27.6%2.3%-2.7%-926.3K1.7M-109.5K2.5334.041,6214,1034,9476,246
2017-12-13$201.81$200.0026.1%7.5%13.0%65.2%27.5%2.3%-3.1%-6.1M37.7M-97.9K4.9428.996323,1224,2997,268
2017-12-14$202.55$200.0025.9%7.4%13.0%93.5%27.6%2.0%-3.3%-5.5M30.8M-87.8K4.8423.986463,1294,3057,247
2017-12-15$204.63$200.0026.0%7.5%13.3%94.4%26.4%3.6%-3.3%390.2K22.3M-80.7K0.8732.547976934,3317,259
2017-12-18$203.73$200.0024.7%7.1%13.5%84.5%25.6%0.4%-2.8%395.9K-9.4M-84.7K1.5059.954556831,8031,526
2017-12-19$187.18$200.0020.3%5.8%33.6%50.8%20.4%0.8%0.5%-111.3K6.7M-71.3K1.7442.577821,3621,9541,776
2017-12-20$195.06$200.0017.4%5.0%37.0%28.6%17.9%1.7%1.1%-5.7K-1.7M-91.7K1.3352.828131,0822,2012,080
2017-12-21$190.82$200.0018.1%5.2%37.7%33.8%18.4%2.3%1.0%-165.1K4.3M-94.4K1.8129.474498112,3562,282
2017-12-22$191.80$200.0018.1%5.2%37.7%33.3%18.1%1.8%1.3%-53.0K1.1M-101.5K2.0948.603767862,4302,271
2017-12-26$190.99$200.0018.8%5.4%37.6%39.4%18.5%1.9%1.0%-118.8K2.6M-98.1K2.2235.263277272,4302,331
2017-12-27$192.79$200.0017.9%5.1%37.4%32.2%18.4%2.1%1.0%-68.3K334.3K-102.2K2.3315.552906772,4922,380
2017-12-28$193.32$200.0017.3%5.0%37.4%27.8%18.1%2.1%1.3%-76.5K399.5K-102.8K3.1718.262317322,5062,461
2017-12-29$192.89$200.0017.0%4.9%37.1%25.3%17.5%2.1%1.3%-114.2K793.1K-100.1K2.4417.222957212,4972,494