FDS Options History — November 2018

In November 2018, FDS traded between $222.14 and $234.84. ATM implied volatility averaged 24.6%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.1% (HV 20d: 21.5%). Max pain ranged from $210.00 to $240.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 3.33.

Notable Days

  • 2018-11-16: Highest Volume — 8,125 contracts
  • 2018-11-12: Largest IV spike — 25.8% change
  • 2018-11-29: Highest IV Rank — 58.2%
  • 2018-11-29: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$228.86$222.14$234.84$222.14$234.46
Max Pain$237.14$210.00$240.00$210.00$240.00
ATM IV24.6%19.8%28.0%22.9%27.4%
Expected Move7.1%6.4%8.0%6.6%7.9%
HV 20d21.5%15.3%24.3%24.3%15.3%
HV 60d18.1%17.5%18.6%17.6%18.0%
IV Rank45.1%27.1%58.2%39.0%56.0%
IV Percentile82.0%51.2%94.8%77.4%93.7%
Term Structure-2.3%-5.2%1.2%1.2%-4.1%
VWIV24.5%21.8%28.3%27.6%26.7%
Skew 25d4.0%2.5%4.9%4.4%4.8%
Skew 10d8.9%7.0%10.7%8.6%10.1%
Call IV 25d23.4%20.9%25.3%21.1%24.7%
Put IV 25d27.3%24.6%29.9%25.5%29.5%
Bid-Ask Spread %61.8935.1583.3383.3378.16
Gamma HHI0.340.270.760.350.33
Net GEX3.9M2.2M8.7M4.0M3.0M
Net DEX-45.1M-65.8M-19.7M-19.7M-48.9M
Net VEX-242.3K-343.8K-160.7K-209.2K-337.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.330.188.678.060.27
Total Volume2,855.8571,5408,1251,5402,618
Total OI9,996.0489,15212,0759,80912,075

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$222.14$210.0022.9%6.6%24.3%39.0%27.6%4.4%1.2%4.0M-19.7M-209.2K8.0683.331701,3706,6223,187
2018-11-02$223.20$210.0023.4%6.7%24.3%40.7%28.3%4.8%0.7%4.2M-23.8M-206.1K8.3582.941681,4026,6463,188
2018-11-05$224.59$240.0025.1%7.1%24.0%47.1%24.4%3.5%-2.4%4.7M-31.0M-202.5K3.8249.533581,3696,6483,210
2018-11-06$224.27$240.0025.0%7.0%23.6%46.9%22.5%2.9%-2.2%4.3M-27.3M-195.9K3.3946.194191,4206,6563,228
2018-11-07$229.74$240.0019.8%6.5%22.1%27.1%22.0%3.4%-2.0%5.3M-52.3M-193.5K8.6755.291661,4406,6373,234
2018-11-08$230.20$240.0019.9%6.4%21.2%27.5%21.8%3.1%-2.6%5.2M-52.5M-189.3K6.1863.452381,4716,6313,222
2018-11-09$231.67$240.0020.0%6.5%21.0%27.9%22.6%2.5%-2.0%5.4M-59.9M-194.0K7.0059.902101,4696,6903,276
2018-11-12$227.94$240.0025.2%6.9%22.2%47.6%23.4%4.1%-1.9%4.8M-44.5M-176.4K5.9360.312381,4126,6813,282
2018-11-13$227.71$240.0024.6%6.9%21.2%45.2%24.1%4.0%-1.9%4.6M-43.7M-171.2K5.6657.812411,3646,7013,310
2018-11-14$225.11$240.0024.7%7.1%21.7%45.6%24.6%3.6%-3.1%4.6M-32.7M-167.3K5.3857.942521,3566,7163,331
2018-11-15$227.65$240.0023.9%6.8%22.0%42.4%23.3%4.2%-2.3%3.0M-45.3M-162.0K2.1765.345681,2346,7533,367
2018-11-16$230.89$240.0023.3%6.7%22.4%40.5%23.4%3.1%-2.2%8.7M-60.3M-160.7K0.1864.656,8631,2626,5543,370
2018-11-19$229.84$240.0024.1%6.9%22.4%43.5%22.6%4.0%-1.0%2.4M-49.6M-306.9K0.3454.473,7161,2546,1892,963
2018-11-20$226.86$240.0026.0%7.5%22.6%50.7%26.1%4.9%-2.7%2.2M-39.9M-311.2K0.6355.852,1581,3566,2653,055
2018-11-21$227.96$240.0025.3%7.3%22.4%48.0%24.9%4.7%-2.1%2.4M-42.7M-316.4K0.6558.722,1341,3796,3203,074
2018-11-23$228.33$240.0026.7%7.7%22.3%53.3%25.9%4.3%-2.8%2.3M-43.3M-317.6K0.6062.262,1221,2716,3333,170
2018-11-26$230.96$240.0026.7%7.7%21.4%53.4%25.2%3.7%-3.6%2.5M-52.9M-308.2K0.6235.152,0981,3066,3663,212
2018-11-27$233.11$240.0026.8%7.7%20.8%53.5%24.6%4.3%-3.6%2.7M-60.3M-306.1K0.6362.832,0931,3156,4903,264
2018-11-28$234.84$240.0026.7%7.6%18.3%53.2%24.7%4.4%-3.5%3.0M-65.8M-313.5K0.6269.012,0411,2686,6333,299
2018-11-29$234.65$240.0028.0%8.0%15.8%58.2%25.0%4.4%-5.2%3.0M-50.7M-343.8K0.7576.603,0762,3087,7064,363
2018-11-30$234.46$240.0027.4%7.9%15.3%56.0%26.7%4.8%-4.1%3.0M-48.9M-337.1K0.2778.162,0635557,7074,368