FDS Options History — June 2018

In June 2018, FDS traded between $197.51 and $215.67. ATM implied volatility averaged 19.9%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.9% (HV 20d: 13.0%). Max pain ranged from $200.00 to $200.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2018-06-15: Highest Volume — 7,209 contracts
  • 2018-06-26: Largest IV drop — 40.2% change
  • 2018-06-25: Highest IV Rank — 62.1%
  • 2018-06-25: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$207.77$197.51$215.67$204.08$198.40
Max Pain$200.00$200.00$200.00$200.00$200.00
ATM IV19.9%13.3%29.3%17.0%17.5%
Expected Move6.2%4.8%8.4%4.9%5.0%
HV 20d13.0%8.8%24.1%12.3%23.4%
HV 60d18.5%13.6%21.2%21.2%17.7%
IV Rank25.2%0.0%62.1%13.1%16.3%
IV Percentile51.2%0.0%97.2%34.1%38.9%
Term Structure-1.7%-6.6%4.6%4.6%0.1%
VWIV22.4%16.9%29.8%17.8%17.5%
Skew 25d2.5%1.6%3.2%1.8%1.6%
Skew 10d5.8%3.5%8.5%6.1%3.8%
Call IV 25d20.5%15.2%28.2%15.2%17.1%
Put IV 25d23.1%17.0%30.3%17.0%18.7%
Bid-Ask Spread %30.309.8651.1414.8018.30
Gamma HHI0.320.230.590.230.25
Net GEX3.4M1.1M6.7M1.1M1.1M
Net DEX-36.4M-87.2M18.0M-12.6M16.7M
Net VEX-147.6K-233.4K-67.1K-70.0K-171.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.042.971.311.73
Total Volume1,957.5245557,209581736
Total OI9,002.5714,62813,8994,62813,899

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$204.08$200.0017.0%4.9%12.3%13.1%17.8%1.8%4.6%1.1M-12.6M-70.0K1.3114.802523292,5332,095
2018-06-04$203.96$200.0018.0%6.3%11.6%16.8%22.3%2.3%-1.3%1.1M-13.1M-67.1K1.1042.252993302,5252,116
2018-06-05$204.79$200.0018.2%6.5%11.5%16.1%21.9%3.0%-1.8%1.1M-14.5M-67.5K0.8038.863562852,5272,143
2018-06-06$205.20$200.0016.1%5.9%10.9%7.6%20.8%2.6%-1.2%1.2M-15.8M-67.5K0.5826.934082352,6052,144
2018-06-07$206.06$200.0013.3%6.0%10.1%0.0%21.0%2.6%-1.2%1.6M-17.9M-68.4K0.4547.325422422,7432,146
2018-06-08$208.06$200.0014.7%6.1%10.4%5.4%21.7%2.5%-1.9%2.4M-22.6M-69.6K1.2348.662533102,9462,153
2018-06-11$209.92$200.0016.4%6.1%10.6%11.9%21.0%2.7%-2.1%2.8M-26.7M-67.6K0.8822.642962592,9872,204
2018-06-12$210.80$200.0016.0%6.1%9.9%10.7%22.1%2.9%-1.2%3.0M-29.0M-67.8K0.5428.233,4581,8553,0142,214
2018-06-13$212.49$200.0020.8%6.0%9.9%29.3%25.7%3.0%-1.5%4.9M-72.7M-168.7K0.8837.321,7271,5136,2643,767
2018-06-14$213.61$200.0021.0%6.0%9.9%29.9%23.7%3.0%-1.8%4.6M-79.0M-162.7K0.1724.751,4462506,5413,766
2018-06-15$213.21$200.0022.1%6.3%10.1%34.2%22.0%2.5%-2.2%3.6M-79.0M-163.8K0.0424.936,9222876,5483,776
2018-06-18$213.74$200.0024.5%7.0%10.1%43.7%25.5%3.0%-3.3%6.7M-77.7M-228.5K0.4333.301,5416617,7032,570
2018-06-19$213.51$200.0025.1%7.2%8.8%46.0%25.1%3.2%-4.0%6.4M-76.3M-231.7K0.2614.431,5203887,7952,749
2018-06-20$215.67$200.0023.9%6.9%8.9%41.3%25.8%3.0%-3.5%6.5M-87.2M-230.0K0.2323.851,5773697,8662,830
2018-06-21$212.58$200.0025.3%7.3%11.0%46.8%27.5%2.7%-3.5%6.5M-72.6M-231.6K0.2851.141,4774187,9972,863
2018-06-22$212.09$200.0026.5%7.6%11.0%51.4%27.1%3.0%-4.8%6.3M-70.3M-233.1K0.3736.311,7786638,0932,962
2018-06-25$208.20$200.0029.3%8.4%12.9%62.1%29.8%2.1%-6.6%5.4M-47.8M-233.4K1.3628.277551,0268,3783,244
2018-06-26$197.98$200.0017.5%5.0%22.5%16.3%17.7%1.7%-0.1%1.4M13.1M-138.4K2.979.867622,2658,9993,816
2018-06-27$201.30$200.0016.7%4.8%23.2%13.1%16.9%2.2%0.5%3.0M3.1M-186.4K1.9945.667681,5309,1394,628
2018-06-28$197.51$200.0017.7%5.1%24.1%17.3%18.1%1.8%0.1%1.1M18.0M-175.1K2.3118.453087129,1664,600
2018-06-29$198.40$200.0017.5%5.0%23.4%16.3%17.5%1.6%0.1%1.1M16.7M-171.8K1.7318.302704669,1754,724