FDS Options History — September 2019

In September 2019, FDS traded between $241.26 and $284.67. ATM implied volatility averaged 28.4%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 4.4% (HV 20d: 23.9%). Max pain ranged from $280.00 to $290.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.58.

Notable Days

  • 2019-09-25: Highest Volume — 3,476 contracts
  • 2019-09-26: Largest IV drop — 26.7% change
  • 2019-09-25: Highest IV Rank — 85.5%
  • 2019-09-25: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$270.50$241.26$284.67$270.88$243.81
Max Pain$281.00$280.00$290.00$280.00$280.00
ATM IV28.4%21.3%38.0%25.5%26.6%
Expected Move8.4%7.1%10.9%7.3%7.6%
HV 20d23.9%18.6%41.2%22.8%41.2%
HV 60d23.2%21.4%29.8%22.1%29.8%
IV Rank51.2%26.2%85.5%41.2%45.0%
IV Percentile85.4%47.2%99.2%79.4%79.0%
Term Structure-1.0%-7.1%4.3%4.0%-0.6%
VWIV30.1%24.0%40.6%26.0%24.0%
Skew 25d4.2%3.3%6.0%4.6%3.9%
Skew 10d10.7%7.8%18.8%9.9%9.1%
Call IV 25d27.6%22.9%36.0%23.7%24.6%
Put IV 25d31.8%26.4%42.1%28.4%28.5%
Bid-Ask Spread %68.4049.0781.8681.1171.49
Gamma HHI0.270.160.340.260.18
Net GEX-2.9M-3.7M-2.3M-3.0M-2.6M
Net DEX41.3M5.2M100.3M42.7M94.3M
Net VEX-226.7K-257.4K-180.2K-257.4K-189.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.1210.592.053.87
Total Volume587.2583,47664618
Total OI9,004.86,28211,9948,69211,994

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$270.88$280.0025.5%7.3%22.8%41.2%26.0%4.6%4.0%-3.0M42.7M-257.4K2.0581.1121432,3486,344
2019-09-04$270.77$280.0024.6%7.1%22.2%37.9%24.5%3.5%4.3%-3.2M43.6M-253.4K0.6781.8627182,3596,357
2019-09-05$274.16$280.0023.9%8.1%22.7%35.3%30.1%4.1%-0.4%-3.1M35.0M-255.3K0.9463.0233312,3486,364
2019-09-06$276.40$280.0021.3%7.9%20.9%26.2%25.5%4.2%-0.4%-2.8M30.4M-251.5K1.0063.89442,3406,384
2019-09-09$268.81$280.0026.3%8.5%22.8%43.8%29.8%4.3%-1.5%-3.5M49.0M-233.7K0.1264.45185222,3436,384
2019-09-10$268.60$280.0026.1%8.3%22.1%43.1%31.6%4.3%-0.6%-3.7M50.2M-234.6K0.7566.8820152,3896,400
2019-09-11$273.21$280.0029.4%8.4%22.2%54.9%29.0%3.9%-1.1%-3.3M36.6M-237.9K1.2568.638102,3986,403
2019-09-12$277.19$280.0028.0%8.0%19.6%49.9%29.4%3.6%-0.4%-3.0M27.8M-237.1K1.9765.6337732,4016,405
2019-09-13$276.46$280.0026.7%7.7%19.5%45.3%28.2%3.3%1.4%-3.1M30.1M-234.2K0.9569.6921202,4116,445
2019-09-16$277.43$280.0028.0%8.0%18.6%50.0%33.3%4.2%0.4%-3.2M28.0M-225.8K6.0075.315302,4166,447
2019-09-17$280.71$280.0028.7%8.2%19.1%52.4%30.3%3.9%-0.1%-2.6M18.0M-221.3K4.6768.15301402,4186,448
2019-09-18$283.72$280.0028.8%8.2%19.4%52.6%29.3%3.5%-0.2%-2.3M9.6M-221.9K2.7672.48882432,4286,559
2019-09-19$284.67$280.0028.9%8.3%19.4%53.3%28.7%4.4%-0.7%-2.3M5.2M-216.6K3.1771.76642032,4586,685
2019-09-20$281.88$280.0030.0%8.6%19.7%57.0%30.3%4.3%-2.4%-2.6M11.3M-215.7K3.8571.65481852,4796,777
2019-09-23$274.24$280.0035.4%10.1%20.8%76.2%36.2%4.4%-6.0%-2.7M31.5M-208.3K0.8270.506024951,4984,784
2019-09-24$268.65$290.0036.1%10.4%22.1%78.8%38.9%5.1%-7.1%-2.6M41.3M-225.4K10.5966.09961,0172,0875,333
2019-09-25$271.30$290.0038.0%10.9%21.9%85.5%40.6%6.0%-6.8%-2.9M40.6M-250.4K3.1649.078362,6402,1255,967
2019-09-26$245.79$280.0027.9%8.0%40.9%49.4%29.1%4.9%-1.5%-3.5M99.9M-185.4K1.5859.471,0341,6382,7838,048
2019-09-27$241.26$280.0027.1%7.8%40.8%46.8%26.9%3.7%-0.5%-2.6M100.3M-180.2K1.4466.894686733,2768,263
2019-09-30$243.81$280.0026.6%7.6%41.2%45.0%24.0%3.9%-0.6%-2.6M94.3M-189.0K3.8771.491274913,5908,404