FDS Options History — May 2018

In May 2018, FDS traded between $186.62 and $202.85. ATM implied volatility averaged 18.4%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.6% (HV 20d: 13.8%). Max pain ranged from $195.00 to $200.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.21.

Notable Days

  • 2018-05-22: Highest Volume — 1,168 contracts
  • 2018-05-29: Largest IV spike — 15.8% change
  • 2018-05-02: Highest IV Rank — 32.4%
  • 2018-05-02: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$196.74$186.62$202.85$188.67$201.01
Max Pain$196.14$195.00$200.00$195.00$200.00
ATM IV18.4%15.9%21.9%21.1%17.6%
Expected Move5.2%4.6%6.3%6.0%5.1%
HV 20d13.8%11.6%14.9%14.2%11.6%
HV 60d21.6%21.1%23.2%23.2%21.1%
IV Rank18.5%8.6%32.4%29.1%15.5%
IV Percentile45.9%15.9%74.2%68.3%40.5%
Term Structure3.3%-1.5%5.2%-0.6%4.4%
VWIV19.9%17.0%23.3%21.2%20.0%
Skew 25d2.6%0.7%3.6%2.9%2.2%
Skew 10d6.3%0.3%8.9%6.9%5.1%
Call IV 25d17.4%15.3%20.5%20.5%17.0%
Put IV 25d20.1%17.3%23.5%23.5%19.2%
Bid-Ask Spread %47.6114.2779.7057.6016.28
Gamma HHI0.250.180.330.200.22
Net GEX548.1K-50.8K917.9K56.7K886.5K
Net DEX-1.7M-8.8M10.1M7.9M-7.4M
Net VEX-69.0K-73.5K-61.7K-70.5K-68.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.792.922.411.12
Total Volume640.0915121,168601549
Total OI4,398.7273,8814,6294,2674,571

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$188.67$195.0021.1%6.0%14.2%29.1%21.2%2.9%-0.6%56.7K7.9M-70.5K2.4157.601764252,3031,964
2018-05-02$186.62$195.0021.9%6.3%14.3%32.4%21.0%3.1%-1.5%-50.8K10.1M-66.5K2.4344.661643982,3151,965
2018-05-03$187.00$195.0021.8%6.0%14.2%32.0%21.4%3.1%2.0%-37.4K10.0M-66.5K2.7152.331614362,3181,977
2018-05-04$190.00$195.0019.7%5.6%14.6%23.8%21.1%3.6%2.7%159.9K7.2M-69.9K2.5252.091614062,3202,010
2018-05-07$191.43$195.0021.1%5.8%13.7%29.0%23.3%3.5%2.2%228.0K5.2M-71.0K2.8664.681494262,3302,028
2018-05-08$194.00$195.0019.8%5.5%14.1%24.2%20.4%2.7%2.9%412.0K2.2M-71.7K1.7761.442344152,3312,041
2018-05-09$196.76$195.0018.7%5.4%14.9%19.8%19.9%2.4%2.8%608.0K-2.6M-73.5K2.2959.812004572,3362,049
2018-05-10$197.65$195.0017.7%5.1%14.4%15.8%21.2%2.6%3.3%640.8K-3.2M-71.7K2.8277.221494202,3362,083
2018-05-11$197.81$195.0018.0%5.2%14.2%17.0%20.8%3.2%3.3%573.3K-3.0M-71.9K2.9255.631504382,3372,098
2018-05-14$196.39$195.0018.6%5.3%14.3%19.5%20.8%3.0%3.3%521.1K-932.2K-68.3K2.8321.551634622,3432,120
2018-05-15$196.34$195.0019.0%5.5%14.3%21.1%20.9%0.7%2.9%561.8K-1.4M-68.1K2.6277.771634272,3582,143
2018-05-16$197.52$195.0017.6%5.1%14.3%15.5%20.9%2.7%3.9%637.6K-2.6M-67.8K2.4125.841704102,3752,166
2018-05-17$197.74$195.0017.1%4.9%13.9%13.6%17.5%2.4%3.7%688.0K-3.4M-66.2K2.4157.431804342,3812,178
2018-05-18$198.04$195.0016.8%4.8%12.9%12.0%19.5%2.9%4.4%395.1K-2.6M-66.2K2.6056.241834762,4022,227
2018-05-21$201.53$195.0015.9%4.6%14.0%8.6%17.6%2.0%5.2%782.6K-6.8M-61.7K2.0869.282495171,9741,907
2018-05-22$201.11$195.0016.6%4.8%14.0%11.6%17.9%2.5%4.7%686.9K-6.0M-62.1K0.7979.706545141,9781,950
2018-05-23$201.68$195.0016.7%4.8%14.0%12.0%18.1%2.8%4.5%906.5K-8.3M-69.8K2.5943.272125492,3861,992
2018-05-24$202.85$200.0016.4%4.7%13.9%10.8%17.8%2.5%4.8%860.5K-8.8M-71.4K2.1122.102445142,4012,056
2018-05-25$201.49$200.0016.1%4.6%13.1%9.3%17.0%2.1%5.0%862.6K-7.6M-72.9K1.3514.272433282,4822,066
2018-05-29$200.64$200.0018.6%5.3%12.7%19.3%19.8%2.5%4.5%759.6K-6.2M-72.0K1.4319.222323322,4902,096
2018-05-30$202.09$200.0017.6%5.0%12.4%15.3%19.5%2.3%4.7%917.9K-8.5M-69.7K1.5619.022003122,4732,116
2018-05-31$201.01$200.0017.6%5.1%11.6%15.5%20.0%2.2%4.4%886.5K-7.4M-68.8K1.1216.282592902,4742,097