FDS Options History — October 2018

In October 2018, FDS traded between $211.07 and $225.61. ATM implied volatility averaged 21.0%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.3% (HV 20d: 16.8%). Max pain ranged from $210.00 to $230.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 3.95.

Notable Days

  • 2018-10-05: Highest Volume — 2,726 contracts
  • 2018-10-26: Largest IV spike — 16.3% change
  • 2018-10-29: Highest IV Rank — 56.0%
  • 2018-10-29: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$218.72$211.07$225.61$224.89$224.22
Max Pain$218.26$210.00$230.00$230.00$210.00
ATM IV21.0%16.3%27.4%18.6%23.3%
Expected Move6.0%4.7%7.9%5.3%6.7%
HV 20d16.8%12.1%24.6%12.9%24.6%
HV 60d17.2%16.0%18.0%16.1%17.4%
IV Rank31.7%13.6%56.0%22.7%40.3%
IV Percentile64.3%16.7%94.4%50.8%79.4%
Term Structure0.6%-1.1%1.6%-1.1%0.7%
VWIV22.2%17.7%29.0%18.3%28.8%
Skew 25d3.5%2.3%4.7%2.6%4.5%
Skew 10d8.1%4.9%13.2%5.4%9.8%
Call IV 25d19.6%16.2%25.6%16.4%20.8%
Put IV 25d23.1%18.5%30.3%19.0%25.3%
Bid-Ask Spread %27.4914.9878.2921.1976.45
Gamma HHI0.300.200.760.310.32
Net GEX553.9K-11.9M3.9M-670.3K3.9M
Net DEX6.4M-26.2M33.4M2.0M-26.2M
Net VEX-180.7K-223.8K-109.8K-111.8K-213.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.950.279.361.946.31
Total Volume1,637.9574072,7264501,572
Total OI8,985.7395,15310,9005,1679,748

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$224.89$230.0018.6%5.3%12.9%22.7%18.3%2.6%-1.1%-670.3K2.0M-111.8K1.9421.191532972,4612,706
2018-10-02$224.17$230.0018.5%5.3%12.1%22.1%18.2%2.5%-0.7%-780.5K3.6M-109.8K1.4518.301662412,4602,693
2018-10-03$225.61$230.0016.3%4.7%12.4%13.6%18.3%2.3%0.2%-635.6K1.1M-113.4K0.5917.631,0426132,4762,712
2018-10-04$222.41$220.0018.6%5.2%12.4%22.5%17.7%3.1%1.3%-459.0K4.4M-145.1K0.7015.221,0147103,3333,048
2018-10-05$222.69$220.0018.4%5.3%12.5%21.8%17.8%3.0%1.5%-494.2K4.3M-144.9K0.2720.082,1515753,3543,066
2018-10-08$220.13$220.0018.9%5.3%12.8%23.6%19.1%3.3%1.3%857.2K-581.2K-172.6K6.3517.411449145,1793,076
2018-10-09$222.98$220.0019.5%5.4%13.9%25.7%18.0%3.2%1.3%1.4M-10.6M-181.2K4.6617.481557235,2043,232
2018-10-10$216.36$220.0020.4%5.8%16.8%29.2%20.1%3.0%1.0%399.3K23.3M-197.6K1.7926.327531,3506,0174,037
2018-10-11$213.27$220.0022.6%6.5%17.0%37.7%20.7%4.1%0.1%385.7K22.4M-197.7K1.8927.876111,1566,5273,800
2018-10-12$212.66$220.0022.0%6.3%16.5%35.5%21.2%4.0%0.3%349.9K31.9M-188.8K4.6720.062511,1736,5744,094
2018-10-15$212.34$220.0022.2%6.4%16.0%36.0%23.9%4.0%0.4%367.9K33.4M-173.3K7.9717.851581,2596,6074,100
2018-10-16$217.01$220.0019.4%5.6%18.3%25.4%22.9%3.6%1.6%328.7K21.2M-192.7K6.6220.451921,2716,6254,182
2018-10-17$217.58$220.0019.4%5.6%18.4%25.4%22.4%3.3%1.5%290.6K18.5M-192.7K5.5018.102231,2276,6704,184
2018-10-18$218.37$220.0020.2%5.8%18.4%28.6%22.5%3.4%1.0%-557.4K15.9M-195.7K5.3278.292341,2446,6794,186
2018-10-19$219.84$220.0020.1%5.8%18.7%28.2%22.1%3.4%1.1%-11.9M8.1M-201.4K6.7821.082331,5796,6884,212
2018-10-22$221.13$220.0021.0%6.0%19.0%31.6%22.2%3.4%1.1%2.6M-6.6M-199.0K0.9814.981,3191,2945,4522,982
2018-10-23$218.65$210.0021.3%6.1%17.9%32.6%22.8%3.1%1.1%3.6M-10.4M-223.8K1.0533.301,2471,3106,5693,106
2018-10-24$217.40$210.0022.5%6.5%18.0%37.3%24.0%3.8%0.8%3.1M-4.9M-215.4K1.0427.941,2531,3036,5673,135
2018-10-25$216.59$210.0022.6%6.5%17.8%37.6%23.3%4.1%0.8%2.9M-1.2M-208.8K1.7529.487451,3046,5643,143
2018-10-26$213.21$210.0026.3%7.5%18.5%51.6%28.2%4.6%-0.9%2.3M8.4M-193.1K5.3732.612411,2956,5703,160
2018-10-29$211.07$210.0027.4%7.9%18.5%56.0%29.0%4.7%-1.1%2.0M13.4M-181.7K9.3633.241421,3296,5763,160
2018-10-30$217.94$210.0024.4%7.0%22.3%44.6%28.3%3.7%0.3%3.4M-5.2M-202.6K8.4826.911591,3486,5783,180
2018-10-31$224.22$210.0023.3%6.7%24.6%40.3%28.8%4.5%0.7%3.9M-26.2M-213.2K6.3176.452151,3576,5613,187