FDS Options History — March 2019

In March 2019, FDS traded between $230.85 and $248.32. ATM implied volatility averaged 20.5%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.9% (HV 20d: 14.7%). 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 2.14.

Notable Days

  • 2019-03-01: Highest Volume — 7,004 contracts
  • 2019-03-26: Largest IV drop — 28.5% change
  • 2019-03-25: Highest IV Rank — 54.7%
  • 2019-03-25: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$237.55$230.85$248.32$237.33$248.32
Max Pain$223.50$210.00$240.00$210.00$240.00
ATM IV20.5%13.9%28.8%13.9%15.4%
Expected Move5.3%4.0%6.7%4.0%4.5%
HV 20d14.7%10.4%24.5%10.4%24.5%
HV 60d20.5%15.8%23.6%23.6%18.2%
IV Rank26.7%4.3%54.7%4.3%9.4%
IV Percentile48.2%0.8%94.8%0.8%4.4%
Term Structure-2.2%-5.5%6.9%6.9%0.3%
VWIV19.0%14.2%22.9%22.9%18.1%
Skew 25d3.9%2.8%5.1%5.1%2.8%
Skew 10d8.2%3.8%11.7%7.7%7.0%
Call IV 25d20.1%11.9%27.6%11.9%15.0%
Put IV 25d24.0%17.0%31.1%17.0%17.8%
Bid-Ask Spread %79.8153.1094.1392.8184.00
Gamma HHI0.520.390.670.660.42
Net GEX4.5M2.9M7.1M6.9M4.1M
Net DEX-88.7M-108.8M-63.8M-101.8M-108.8M
Net VEX-218.0K-238.6K-199.7K-206.7K-217.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.0220.310.020.35
Total Volume795.19287,0047,004557
Total OI8,224.6195,97810,3818,7278,225

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$237.33$210.0013.9%4.0%10.4%4.3%22.9%5.1%6.9%6.9M-101.8M-206.7K0.0292.816,8511537,0441,683
2019-03-04$235.25$210.0015.6%4.5%11.4%10.0%17.7%3.4%-1.3%6.2M-91.0M-203.4K0.1791.237761316,9941,694
2019-03-05$236.90$210.0015.0%4.3%11.3%7.9%19.9%3.5%-1.1%7.1M-103.4M-211.6K0.2292.346361427,3821,801
2019-03-06$234.72$210.0018.6%5.3%11.6%19.9%14.6%3.8%-2.8%6.7M-97.0M-213.6K0.6687.92143947,4151,815
2019-03-07$231.32$210.0018.9%5.4%11.3%21.2%14.5%3.5%-2.1%4.7M-83.4M-212.8K0.1293.90746887,4791,816
2019-03-08$230.85$210.0017.3%4.9%11.4%15.5%14.2%4.6%-3.3%4.2M-85.4M-217.0K0.0594.13742357,8201,817
2019-03-11$233.38$210.0020.7%5.8%11.8%27.1%21.0%3.3%-2.6%5.2M-93.9M-208.0K1.6466.4511187,8211,829
2019-03-12$233.82$210.0023.2%5.6%11.8%35.6%19.8%4.6%-3.5%5.0M-94.5M-204.6K2.1163.689197,8261,840
2019-03-13$234.63$210.0023.2%5.7%11.7%35.7%18.7%4.2%-3.2%5.4M-97.5M-206.5K0.7263.9832237,8291,838
2019-03-14$236.06$210.0022.0%5.5%11.7%31.5%18.9%4.1%-2.9%6.0M-101.2M-199.7K20.3153.10265287,8461,847
2019-03-15$236.57$210.0021.8%5.4%11.7%31.0%18.4%3.3%-3.1%3.0M-99.0M-224.8K10.8674.35636847,8612,520
2019-03-18$238.68$0.0022.4%5.6%11.7%33.0%18.4%4.1%-2.9%3.0M-71.9M-224.1K1.4282.3512174,8651,113
2019-03-19$238.81$240.0023.7%5.8%11.5%37.6%19.6%3.3%-3.1%2.9M-73.0M-224.4K0.3476.03176604,8771,135
2019-03-20$237.10$240.0024.6%6.0%11.9%40.6%19.9%5.1%-3.7%3.0M-70.4M-228.1K0.2983.63189545,0391,166
2019-03-21$242.50$240.0023.9%5.8%14.0%38.0%20.0%4.0%-3.9%3.2M-79.9M-222.4K0.6675.7797645,0461,168
2019-03-22$235.35$240.0025.6%6.1%17.5%43.8%21.1%4.7%-4.3%3.1M-66.1M-238.6K0.4681.67119555,0991,184
2019-03-25$233.82$240.0028.8%6.7%17.7%54.7%22.3%3.5%-5.5%3.0M-63.8M-237.7K3.4767.832598985,1631,221
2019-03-26$244.95$240.0020.6%5.4%24.1%26.8%20.6%3.4%-2.3%3.3M-86.8M-215.7K0.3087.809122745,3631,977
2019-03-27$243.25$240.0017.8%5.0%24.2%17.5%18.9%3.8%-0.6%4.1M-94.8M-231.9K0.4282.123551506,0212,062
2019-03-28$244.89$240.0018.3%4.9%24.3%19.0%19.1%3.7%-1.2%4.1M-99.5M-228.5K0.3380.983781236,0462,130
2019-03-29$248.32$240.0015.4%4.5%24.5%9.4%18.1%2.8%0.3%4.1M-108.8M-217.1K0.3584.004131446,1002,125