FDS Options History — March 2018

In March 2018, FDS traded between $198.49 and $215.60. ATM implied volatility averaged 26.7%, placing in the 63.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.1% (HV 20d: 20.7%). Max pain ranged from $195.00 to $210.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.88.

Notable Days

  • 2018-03-16: Highest Volume — 1,706 contracts
  • 2018-03-27: Largest IV drop — 27.7% change
  • 2018-03-23: Highest IV Rank — 100.0%
  • 2018-03-26: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$208.82$198.49$215.60$203.64$199.40
Max Pain$204.76$195.00$210.00$195.00$210.00
ATM IV26.7%20.7%39.0%23.3%25.1%
Expected Move8.2%6.2%11.2%6.7%7.2%
HV 20d20.7%15.4%31.0%22.9%31.0%
HV 60d25.4%19.9%28.0%27.4%24.8%
IV Rank63.8%37.1%100.0%51.3%45.1%
IV Percentile91.1%76.2%100.0%85.3%91.3%
Term Structure-2.7%-8.0%6.0%4.3%-0.7%
VWIV29.6%23.7%37.8%23.7%25.0%
Skew 25d4.3%3.5%6.3%4.5%3.5%
Skew 10d9.9%5.2%18.3%10.4%7.5%
Call IV 25d26.5%21.1%34.9%21.1%24.3%
Put IV 25d30.9%25.1%41.2%25.7%27.8%
Bid-Ask Spread %50.8424.5576.2875.3947.34
Gamma HHI0.220.130.350.140.14
Net GEX682.6K-65.0K1.6M507.1K-28.9K
Net DEX-13.8M-30.9M8.3M-8.5M7.4M
Net VEX-75.6K-100.5K-61.4K-75.9K-87.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.843.201.801.13
Total Volume1,029.5246911,706984922
Total OI5,7092,8977,4916,5895,036

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$203.64$195.0023.3%6.7%22.9%51.3%23.7%4.5%4.3%507.1K-8.5M-75.9K1.8075.393526322,3964,193
2018-03-02$206.45$195.0021.7%6.2%22.8%42.7%23.8%4.0%6.0%920.5K-15.0M-76.5K2.2976.282485672,4894,287
2018-03-05$208.45$200.0021.2%7.6%21.4%39.8%28.0%4.1%-2.3%1.2M-19.2M-71.3K2.0936.592685592,5254,323
2018-03-06$210.12$200.0021.1%7.9%16.6%39.6%29.1%4.9%-3.5%1.3M-22.0M-69.0K2.4332.762295562,5674,327
2018-03-07$207.90$200.0022.6%8.1%17.2%47.2%29.1%3.7%-4.1%1.2M-18.7M-70.7K2.1054.182635532,5954,333
2018-03-08$207.18$200.0020.7%7.8%17.4%37.1%28.6%3.7%-2.6%1.1M-18.1M-69.5K1.7828.643275832,6424,345
2018-03-09$213.41$200.0021.1%7.6%17.2%39.2%28.3%3.6%-2.1%1.6M-28.4M-65.9K2.0624.553346882,6364,373
2018-03-12$213.56$200.0023.3%7.8%17.3%50.9%30.2%5.1%-2.9%1.3M-27.8M-62.9K3.1628.082618262,6184,508
2018-03-13$212.45$200.0023.9%8.0%17.2%54.1%31.0%4.6%-3.1%1.1M-26.7M-64.7K3.2047.912397652,6724,501
2018-03-14$211.29$200.0028.2%8.1%17.0%77.3%30.4%4.0%-3.7%831.0K-24.2M-64.2K2.8658.642888242,6724,538
2018-03-15$212.59$210.0028.0%8.0%15.4%76.1%32.5%5.3%-4.1%689.5K-27.1M-64.6K2.8564.672848082,7134,740
2018-03-16$214.92$210.0027.3%7.8%15.7%72.5%26.0%4.0%-4.1%232.5K-30.9M-61.4K1.0537.068328742,7364,755
2018-03-19$211.61$210.0029.7%8.5%17.0%85.3%29.6%4.0%-5.2%279.5K-6.7M-71.6K1.4151.354436251,4511,446
2018-03-20$215.60$210.0028.6%8.2%17.6%79.6%31.7%4.6%-3.8%515.2K-10.4M-75.0K1.7458.273576201,6371,477
2018-03-21$214.65$210.0030.7%8.8%17.8%90.4%31.0%4.0%-3.7%482.9K-10.3M-78.4K1.1564.264735461,7181,544
2018-03-22$206.84$210.0032.4%9.3%22.8%99.8%33.1%4.3%-3.9%316.5K-3.7M-86.8K1.0369.314724841,9431,592
2018-03-23$204.08$210.0037.5%10.7%22.6%100.0%35.6%4.4%-6.6%218.7K-1.4M-90.8K0.8465.196845752,0041,677
2018-03-26$211.10$210.0039.0%11.2%25.6%100.0%37.8%6.3%-8.0%588.2K-9.6M-100.5K0.8557.348997612,2991,834
2018-03-27$201.52$210.0028.2%8.1%30.5%57.2%29.2%4.0%-1.8%81.3K3.9M-92.8K1.7364.443335752,5052,262
2018-03-28$198.49$210.0027.5%7.9%30.9%54.7%28.4%4.0%-1.3%-65.0K8.3M-88.4K1.8425.382434482,6442,336
2018-03-29$199.40$210.0025.1%7.2%31.0%45.1%25.0%3.5%-0.7%-28.9K7.4M-87.3K1.1347.344334892,6482,388