FDS Options History — January 2018

In January 2018, FDS traded between $191.79 and $208.57. ATM implied volatility averaged 19.8%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 8.1% (HV 20d: 28.0%). Max pain ranged from $190.00 to $200.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 5.78.

Notable Days

  • 2018-01-08: Highest Volume — 4,238 contracts
  • 2018-01-29: Largest IV spike — 24.0% change
  • 2018-01-29: Highest IV Rank — 80.6%
  • 2018-01-29: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$198.24$191.79$208.57$191.79$200.92
Max Pain$192.86$190.00$200.00$200.00$195.00
ATM IV19.8%16.9%24.2%19.2%21.6%
Expected Move5.7%5.2%6.9%5.5%6.2%
HV 20d28.0%11.0%37.2%37.0%20.3%
HV 60d24.4%23.9%25.9%24.0%25.0%
IV Rank47.0%24.3%80.6%42.4%60.6%
IV Percentile76.3%50.4%92.9%78.2%84.9%
Term Structure-0.1%-1.9%0.7%0.1%-0.5%
VWIV21.2%18.1%24.4%20.2%22.7%
Skew 25d1.9%1.5%2.9%2.0%2.0%
Skew 10d4.8%3.4%7.8%3.5%5.3%
Call IV 25d19.9%17.4%23.3%18.6%21.8%
Put IV 25d21.8%19.4%25.5%20.6%23.8%
Bid-Ask Spread %39.7212.9866.5220.1566.52
Gamma HHI0.210.110.300.130.20
Net GEX-188.5K-1.7M1.1M-124.6K388.1K
Net DEX-979.2K-22.2M25.3M2.7M-9.5M
Net VEX-127.3K-190.1K-94.8K-94.8K-117.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.780.6812.293.990.88
Total Volume2,522.7621,3584,2381,5121,502
Total OI7,372.3815,00910,4145,0097,347

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$191.79$200.0019.2%5.5%37.0%42.4%20.2%2.0%0.1%-124.6K2.7M-94.8K3.9920.153031,2092,5312,478
2018-01-03$193.19$200.0018.1%5.2%36.6%33.7%18.1%2.2%0.4%-64.8K372.9K-98.6K3.6412.983191,1622,5672,972
2018-01-04$196.04$190.0017.1%5.2%37.0%25.7%19.9%2.3%0.5%-11.8K-4.0M-99.9K3.5816.453261,1662,5973,023
2018-01-05$197.01$190.0016.9%5.2%37.1%24.3%18.7%1.9%0.5%134.3K-6.8M-98.1K2.5013.193889702,6393,044
2018-01-08$194.29$190.0018.2%5.4%37.2%34.8%20.7%2.1%0.4%27.6K-2.7M-102.3K12.2920.733193,9192,7613,077
2018-01-09$194.15$190.0017.4%5.4%37.0%28.4%19.6%2.0%0.3%-1.5M25.3M-156.4K11.8248.553263,8542,7826,056
2018-01-10$195.28$190.0019.0%5.4%36.8%40.6%20.9%2.5%0.6%-1.5M23.0M-161.7K7.0623.593372,3802,8196,052
2018-01-11$196.75$190.0018.9%5.4%37.0%40.1%19.0%1.5%0.7%-1.5M17.5M-156.1K4.1318.655862,4222,8396,057
2018-01-12$197.82$190.0020.5%5.9%36.9%52.1%21.1%1.8%-0.2%-1.1M13.1M-175.3K5.1049.925632,8733,3836,095
2018-01-16$198.23$190.0021.0%6.0%36.9%55.7%22.9%1.6%-0.5%-1.7M21.3M-190.1K5.4058.754882,6343,4966,918
2018-01-17$198.26$190.0020.6%5.9%36.6%53.3%22.8%1.7%-0.1%-319.0K-5.7M-137.7K6.3261.564152,6213,4605,029
2018-01-18$199.24$190.0020.6%5.9%36.7%53.3%23.0%1.8%-0.2%-315.8K-8.6M-132.2K6.0150.064372,6253,4575,036
2018-01-19$200.89$190.0020.0%5.7%19.3%48.6%21.9%1.7%0.0%398.0K-15.6M-129.3K6.6646.393652,4323,4755,053
2018-01-22$199.50$195.0020.2%5.8%13.6%49.9%21.8%1.6%-0.4%283.9K-7.1M-124.4K8.1417.442962,4082,4464,246
2018-01-23$197.89$195.0020.2%5.8%11.1%50.2%21.3%1.6%-0.8%200.5K-4.8M-118.2K10.3162.982372,4442,4634,229
2018-01-24$197.98$195.0019.9%5.7%11.0%47.3%20.4%1.5%-0.6%182.9K-4.5M-120.3K10.2551.802372,4292,4854,241
2018-01-25$201.16$195.0019.9%5.7%11.9%47.3%21.4%2.2%-0.2%579.8K-10.1M-114.7K9.7130.592522,4472,4814,253
2018-01-26$208.57$195.0019.5%5.6%16.7%44.7%21.3%2.9%0.5%1.1M-22.2M-113.8K2.1843.394309372,5144,291
2018-01-29$202.93$195.0024.2%6.9%20.1%80.6%23.9%2.2%-1.4%636.4K-13.2M-116.8K0.7055.551,2879052,5394,394
2018-01-30$201.07$195.0023.2%6.7%20.5%73.2%24.4%1.9%-1.9%232.0K-9.1M-116.1K0.6864.931,0277012,7774,418
2018-01-31$200.92$195.0021.6%6.2%20.3%60.6%22.7%2.0%-0.5%388.1K-9.5M-117.0K0.8866.528017012,9654,382