FDS Options History — December 2018

In December 2018, FDS traded between $189.43 and $234.81. ATM implied volatility averaged 29.7%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 7.1% (HV 20d: 22.6%). Max pain ranged from $220.00 to $240.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 2.21.

Notable Days

  • 2018-12-18: Highest Volume — 3,251 contracts
  • 2018-12-12: Largest IV drop — 38.2% change
  • 2018-12-10: Highest IV Rank — 100.0%
  • 2018-12-05: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$213.77$189.43$234.81$234.81$199.94
Max Pain$228.00$220.00$240.00$240.00$220.00
ATM IV29.7%24.4%42.1%27.4%26.3%
Expected Move7.9%7.0%9.4%7.8%7.5%
HV 20d22.6%15.2%32.0%15.2%32.0%
HV 60d21.4%18.0%25.6%18.0%25.4%
IV Rank59.9%39.9%100.0%55.8%46.4%
IV Percentile91.0%75.0%100.0%93.3%84.5%
Term Structure-2.9%-7.5%-0.7%-4.9%-1.8%
VWIV27.5%23.7%35.1%30.7%23.7%
Skew 25d4.5%3.4%6.8%4.8%4.9%
Skew 10d9.8%7.6%16.9%12.6%9.7%
Call IV 25d25.8%23.3%31.3%24.6%24.2%
Put IV 25d30.4%27.0%36.2%29.4%29.1%
Bid-Ask Spread %73.8164.4184.6183.8377.82
Gamma HHI0.290.220.380.330.38
Net GEX1.7M271.1K3.1M3.1M1.5M
Net DEX4.0M-50.0M57.6M-50.0M150.6K
Net VEX-233.2K-319.7K-119.8K-319.7K-164.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.077.007.000.56
Total Volume723.15423,25111242
Total OI11,738.257,98014,72012,1338,199

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$234.81$240.0027.4%7.8%15.2%55.8%30.7%4.8%-4.9%3.1M-50.0M-319.7K7.0083.8314987,7194,414
2018-12-04$228.04$240.0031.9%9.2%18.9%73.1%34.2%5.4%-7.2%2.4M-22.1M-315.7K3.9379.82592327,7274,510
2018-12-05$228.00$240.0032.8%9.4%18.9%76.3%35.1%4.9%-7.5%2.3M-20.5M-312.8K3.9584.61592337,7274,510
2018-12-06$226.36$230.0032.5%7.2%16.9%75.2%24.9%4.1%-1.7%2.2M-13.8M-299.5K0.0764.41207147,7514,522
2018-12-07$225.82$230.0033.6%7.4%16.9%79.5%28.5%3.5%-2.3%2.2M-12.0M-294.9K4.5374.16703177,8254,533
2018-12-10$223.20$230.0040.7%8.0%17.1%100.0%28.0%4.5%-3.0%1.9M-2.9M-280.0K0.8268.4185707,8674,652
2018-12-11$224.36$230.0042.1%8.0%16.3%100.0%27.0%4.3%-3.1%2.1M-6.4M-278.6K0.3673.08106387,9014,693
2018-12-12$228.74$230.0026.0%7.5%17.8%45.3%26.2%4.4%-3.0%2.6M-22.2M-287.1K0.5074.062051037,9314,699
2018-12-13$227.50$230.0026.2%7.5%17.4%46.0%26.7%4.5%-3.0%2.5M-18.6M-279.4K1.5571.27911418,0514,741
2018-12-14$222.61$230.0028.4%8.1%18.6%53.3%27.8%4.1%-3.2%1.9M-211.2K-267.3K0.8769.161411238,0754,823
2018-12-17$216.49$230.0030.0%8.6%20.0%59.0%31.0%3.5%-4.9%1.2M19.8M-229.6K2.0768.172485138,0934,839
2018-12-18$208.17$230.0024.4%7.0%23.7%39.9%24.6%4.0%-0.9%271.1K50.9M-174.6K0.7672.321,8451,4068,2604,925
2018-12-19$200.77$230.0025.0%7.2%26.1%41.8%23.9%3.4%-1.2%1.0M57.6M-183.0K0.5079.581,6688329,6605,060
2018-12-20$200.92$220.0025.2%7.2%25.9%42.4%24.0%3.8%-0.7%1.1M48.4M-190.9K0.3173.061,1133429,7084,788
2018-12-21$194.93$220.0026.7%7.6%27.0%47.6%23.8%4.7%-2.4%387.1K55.7M-157.3K0.4470.688483759,7054,635
2018-12-24$189.43$220.0030.5%8.7%27.0%60.5%28.2%6.8%-3.4%759.3K12.3M-119.8K0.4869.236633176,2491,731
2018-12-26$197.12$220.0029.1%8.4%31.6%56.0%27.9%5.0%-2.1%1.3M3.1M-163.7K5.9571.77855066,2561,732
2018-12-27$198.77$220.0028.6%8.2%31.7%54.0%28.2%4.5%-0.8%1.4M1.0M-172.4K5.6172.87905056,2741,848
2018-12-28$199.41$220.0026.0%7.5%31.9%45.2%26.2%5.5%-0.9%1.5M767.4K-173.1K3.9577.991335266,2771,855
2018-12-31$199.94$220.0026.3%7.5%32.0%46.4%23.7%4.9%-1.8%1.5M150.6K-164.5K0.5677.8227156,3541,845