FDS Options History — July 2018

In July 2018, FDS traded between $199.25 and $207.39. ATM implied volatility averaged 16.9%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 4.8% (HV 20d: 21.7%). Max pain ranged from $200.00 to $200.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.85.

Notable Days

  • 2018-07-13: Highest Volume — 2,155 contracts
  • 2018-07-27: Largest IV spike — 16.8% change
  • 2018-07-30: Highest IV Rank — 20.3%
  • 2018-07-30: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$203.73$199.25$207.39$200.03$201.94
Max Pain$200.00$200.00$200.00$200.00$200.00
ATM IV16.9%15.4%18.5%17.7%18.2%
Expected Move4.9%4.4%5.3%5.1%5.2%
HV 20d21.7%13.0%25.0%23.7%13.2%
HV 60d17.2%17.0%17.5%17.5%17.0%
IV Rank13.9%8.4%20.3%17.3%19.1%
IV Percentile28.2%7.9%50.8%43.3%48.0%
Term Structure0.4%-0.4%1.5%0.4%0.3%
VWIV17.4%15.8%18.6%17.9%17.4%
Skew 25d2.3%1.6%2.7%1.9%2.6%
Skew 10d5.3%3.8%8.6%3.9%7.9%
Call IV 25d16.3%15.5%17.7%17.2%17.0%
Put IV 25d18.6%17.7%19.8%19.1%19.6%
Bid-Ask Spread %18.9211.8238.3117.5916.08
Gamma HHI0.290.160.530.260.17
Net GEX1.9M-198.6K7.1M1.4M-198.6K
Net DEX-1.3M-19.2M17.3M12.7M859.1K
Net VEX-109.9K-162.7K-68.5K-158.4K-68.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.203.822.421.99
Total Volume899.3814692,155705663
Total OI10,374.2863,63414,46613,9683,635

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$200.03$200.0017.7%5.1%23.7%17.3%17.9%1.9%0.4%1.4M12.7M-158.4K2.4217.592064999,2064,762
2018-07-03$199.25$200.0017.8%5.1%23.6%17.7%18.3%1.6%0.5%1.0M16.0M-162.7K2.0938.312224639,2174,844
2018-07-05$199.60$200.0017.6%5.1%23.6%17.0%18.6%2.4%-0.4%667.4K17.3M-150.2K2.0419.632004089,2374,862
2018-07-06$201.99$200.0016.6%5.0%24.0%13.0%18.2%2.4%0.7%2.7M3.7M-149.8K2.3926.491944649,2884,868
2018-07-09$204.32$200.0017.9%5.1%24.1%17.9%17.5%2.6%-0.2%4.7M-8.1M-144.3K1.2012.873434139,2794,907
2018-07-10$205.60$200.0015.4%4.5%24.0%8.4%17.4%2.7%0.6%6.2M-16.0M-143.4K1.9213.041973789,2934,921
2018-07-11$206.35$200.0016.3%4.7%24.0%11.7%17.4%2.2%0.3%7.1M-19.2M-139.9K0.8114.555104159,2934,935
2018-07-12$205.30$200.0016.1%4.6%23.8%10.8%17.0%2.3%0.5%5.8M-12.1M-133.2K0.2011.821,7273519,5234,943
2018-07-13$202.11$200.0017.6%5.1%24.1%16.9%17.7%1.9%0.1%1.2M5.9M-117.9K0.2316.121,7544018,2604,892
2018-07-16$201.93$200.0018.0%5.2%24.1%18.3%17.8%2.6%-0.1%1.1M7.0M-106.6K0.2618.411,4863918,2914,902
2018-07-17$205.16$200.0016.2%4.6%25.0%11.2%17.0%2.4%-0.3%3.0M-7.8M-99.7K0.2519.121,1832978,3074,906
2018-07-18$205.87$200.0016.1%4.6%25.0%10.8%16.6%2.2%0.3%3.1M-5.7M-94.1K1.8812.911633068,0864,898
2018-07-19$205.34$200.0016.0%4.6%24.6%10.4%17.3%1.9%0.7%2.0M-4.2M-89.4K1.8317.741783268,1014,860
2018-07-20$205.86$200.0015.8%4.5%24.3%9.9%16.4%2.1%0.7%-131.4K-4.2M-86.6K2.4720.172295658,1134,862
2018-07-23$204.46$200.0017.5%5.0%24.4%16.5%17.1%2.6%1.1%-78.3K-1.4M-84.5K2.9620.431484381,6312,155
2018-07-24$205.63$200.0015.6%4.5%23.7%9.1%16.9%2.3%1.2%49.0K-3.2M-83.6K3.8216.041345121,6622,163
2018-07-25$207.39$200.0015.5%4.4%14.8%8.6%15.8%2.3%1.5%216.2K-5.4M-78.2K2.7735.091945381,6672,074
2018-07-26$205.21$200.0015.5%4.5%14.5%8.8%16.8%2.3%0.9%78.4K-3.1M-75.1K2.5521.972135431,7122,035
2018-07-27$203.38$200.0018.1%5.2%13.0%18.9%18.1%2.7%0.0%-30.4K-858.0K-72.0K2.6013.931624211,7171,917
2018-07-30$201.60$200.0018.5%5.3%13.5%20.3%18.2%2.7%0.2%-153.8K1.3M-70.1K2.1015.052104421,7071,929
2018-07-31$201.94$200.0018.2%5.2%13.2%19.1%17.4%2.6%0.3%-198.6K859.1K-68.5K1.9916.082224411,7011,934