FDS Options History — September 2018

In September 2018, FDS traded between $223.92 and $235.51. ATM implied volatility averaged 20.9%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 8.1% (HV 20d: 12.8%). Max pain ranged from $220.00 to $230.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 2.76.

Notable Days

  • 2018-09-24: Highest Volume — 1,980 contracts
  • 2018-09-25: Largest IV drop — 35.5% change
  • 2018-09-24: Highest IV Rank — 52.0%
  • 2018-09-24: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$231.26$223.92$235.51$231.71$223.92
Max Pain$228.95$220.00$230.00$220.00$230.00
ATM IV20.9%16.1%26.4%16.6%16.7%
Expected Move6.4%4.6%7.6%4.7%4.8%
HV 20d12.8%11.3%14.9%11.9%14.4%
HV 60d18.4%15.3%19.9%19.8%16.2%
IV Rank31.1%12.8%52.0%14.7%15.2%
IV Percentile59.8%11.9%92.5%24.6%25.8%
Term Structure-1.5%-3.9%5.3%5.2%0.7%
VWIV23.4%16.2%29.1%16.2%16.2%
Skew 25d3.2%1.9%3.8%2.7%1.9%
Skew 10d7.4%4.6%9.5%6.5%4.6%
Call IV 25d20.7%15.4%24.8%15.4%16.0%
Put IV 25d23.9%17.9%28.4%18.1%17.9%
Bid-Ask Spread %26.8811.1474.7313.0614.99
Gamma HHI0.380.270.490.460.32
Net GEX1.3M-817.3K2.5M1.7M-817.3K
Net DEX-23.0M-36.2M3.9M-26.7M3.9M
Net VEX-102.3K-122.5K-90.3K-90.3K-115.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.761.303.642.703.64
Total Volume1,039.5267141,9801,004714
Total OI7,597.6843,0669,0257,8785,180

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$231.71$220.0016.6%4.7%11.9%14.7%16.2%2.7%5.2%1.7M-26.7M-90.3K2.7013.062717332,2635,615
2018-09-05$230.95$220.0017.1%4.9%12.2%16.9%18.8%3.1%5.3%1.7M-25.6M-93.8K3.4711.142297952,3065,638
2018-09-06$233.35$230.0017.8%6.5%12.3%19.5%22.2%3.0%-2.3%1.7M-29.5M-93.1K3.0122.632447342,3485,769
2018-09-07$233.11$230.0017.5%7.1%12.3%18.4%26.7%3.7%-3.2%1.8M-30.2M-99.2K3.5023.123381,1822,4875,797
2018-09-10$233.52$230.0019.0%7.2%11.7%24.1%28.7%3.6%-3.5%1.6M-28.8M-113.8K2.2721.813076982,6136,300
2018-09-11$232.00$230.0018.9%7.3%12.2%23.8%29.1%3.5%-3.4%1.4M-25.0M-112.8K2.0720.732926032,5446,335
2018-09-12$233.35$230.0024.9%7.1%12.0%46.5%26.5%3.2%-3.4%1.5M-28.4M-113.7K3.4348.923111,0682,6146,411
2018-09-13$233.82$230.0024.6%7.0%11.6%45.1%26.0%3.6%-2.4%2.0M-33.1M-99.4K2.3524.002696322,6536,040
2018-09-14$235.51$230.0022.9%6.6%11.3%38.6%25.9%3.5%-1.6%1.8M-36.2M-93.9K2.8827.632346742,6456,094
2018-09-17$231.88$230.0024.6%7.1%13.0%45.4%25.9%3.5%-2.3%2.1M-29.1M-96.9K3.3930.501776002,6486,153
2018-09-18$233.06$230.0024.6%7.0%12.8%45.1%27.2%3.8%-2.9%2.0M-32.2M-95.6K2.9624.952015952,6776,158
2018-09-19$232.49$230.0024.1%6.9%12.9%43.4%25.3%3.4%-2.9%2.3M-30.8M-95.5K2.9928.471835472,6846,188
2018-09-20$233.35$230.0024.8%7.1%12.6%46.1%24.9%3.8%-3.8%2.0M-33.6M-92.9K3.0926.711755412,6886,196
2018-09-21$231.98$230.0024.6%7.1%12.9%45.3%24.9%3.4%-3.9%2.5M-33.0M-92.0K1.5338.583465312,7056,237
2018-09-24$231.86$230.0026.4%7.6%12.6%52.0%27.0%3.6%-3.5%695.4K-13.9M-94.5K1.3023.098601,1201,7521,314
2018-09-25$226.99$230.0017.0%4.9%14.9%16.4%18.4%2.6%-0.7%230.5K-5.3M-107.6K3.1321.494271,3352,5532,243
2018-09-26$226.58$230.0016.1%4.6%14.4%12.8%17.6%2.4%0.3%-188.6K-2.3M-122.5K2.0274.733296652,5582,717
2018-09-27$224.47$230.0018.1%5.2%14.7%20.8%17.5%2.6%-0.5%-581.4K2.5M-120.6K2.6114.252195722,5092,724
2018-09-28$223.92$230.0016.7%4.8%14.4%15.2%16.2%1.9%0.7%-817.3K3.9M-115.6K3.6414.991545602,4722,708