FDS Options History — October 2019

In October 2019, FDS traded between $235.17 and $257.79. ATM implied volatility averaged 22.3%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 13.3% (HV 20d: 35.5%). Max pain ranged from $250.00 to $280.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.59.

Notable Days

  • 2019-10-18: Highest Volume — 1,852 contracts
  • 2019-10-15: Largest IV drop — 9.1% change
  • 2019-10-02: Highest IV Rank — 41.7%
  • 2019-10-08: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$247.07$235.17$257.79$240.36$253.02
Max Pain$252.61$250.00$280.00$280.00$250.00
ATM IV22.3%19.1%25.7%25.3%20.6%
Expected Move6.5%5.5%7.4%7.3%5.9%
HV 20d35.5%17.5%42.2%41.3%17.7%
HV 60d30.0%29.3%30.4%29.8%29.3%
IV Rank29.5%18.4%41.7%40.3%23.8%
IV Percentile47.7%22.6%74.2%72.2%34.1%
Term Structure4.6%0.9%7.6%0.9%7.4%
VWIV22.3%16.2%30.9%24.3%20.6%
Skew 25d3.6%2.7%5.2%4.9%2.8%
Skew 10d8.4%5.1%16.5%9.0%5.1%
Call IV 25d21.2%18.4%25.0%23.6%19.4%
Put IV 25d24.8%21.2%30.2%28.5%22.2%
Bid-Ask Spread %77.3665.1589.2476.6686.77
Gamma HHI0.270.190.790.190.25
Net GEX-1.8M-13.1M417.7K-2.4M-416.0K
Net DEX60.4M8.4M106.3M102.3M22.4M
Net VEX-173.9K-214.4K-142.3K-179.5K-214.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.039.360.441.17
Total Volume284.1361,85225052
Total OI10,188.7396,37912,79012,3447,355

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$240.36$280.0025.3%7.3%41.3%40.3%24.3%4.9%0.9%-2.4M102.3M-179.5K0.4476.66174763,6898,655
2019-10-02$236.21$280.0025.7%7.4%41.4%41.7%25.1%5.2%0.9%-2.2M106.3M-164.0K0.6074.75129783,7728,555
2019-10-03$238.05$250.0024.2%7.4%41.2%36.6%24.5%4.2%2.2%-2.1M101.0M-165.0K0.4668.6263293,8368,425
2019-10-04$240.90$250.0022.7%7.1%41.4%31.1%23.4%4.4%2.7%-2.0M97.1M-165.4K2.0473.81681393,8498,420
2019-10-07$240.15$250.0023.1%7.1%40.6%32.7%25.2%4.0%3.0%-2.0M99.4M-152.0K0.2065.1585173,8848,324
2019-10-08$235.17$250.0025.2%7.4%40.9%40.1%30.9%4.6%2.9%-1.9M104.8M-142.3K1.6268.80651053,9478,274
2019-10-09$241.48$250.0025.6%7.3%41.8%41.5%23.8%3.5%2.5%-1.8M91.4M-154.3K9.3667.86736833,9618,149
2019-10-10$241.71$250.0025.3%7.3%41.2%40.5%24.3%4.4%3.2%-1.8M90.2M-152.9K0.9371.8846434,0868,119
2019-10-11$246.15$250.0023.1%6.6%42.1%32.5%22.1%3.9%4.4%-1.7M82.0M-152.0K0.1282.52702814,0868,117
2019-10-14$244.12$250.0023.8%6.8%42.0%35.2%22.2%3.5%3.4%-1.7M85.0M-154.6K0.2076.5775154,4138,168
2019-10-15$246.57$250.0021.7%6.2%41.9%27.5%22.9%2.8%4.2%-1.9M79.5M-150.7K0.5870.0138224,4428,168
2019-10-16$248.42$250.0020.7%5.9%41.7%23.9%21.9%3.4%4.9%-2.2M75.1M-146.8K0.9678.761091054,4558,163
2019-10-17$251.83$250.0020.2%5.8%42.2%22.1%19.7%2.7%5.6%-2.1M59.6M-148.0K0.6071.48127764,5508,240
2019-10-18$250.24$250.0021.5%6.2%42.2%27.0%21.5%3.4%5.2%-13.1M62.1M-145.8K6.9579.392331,6194,5358,229
2019-10-21$250.21$250.0021.0%6.0%41.4%25.1%20.6%3.6%5.8%-388.5K20.5M-199.3K1.1578.8667772,8633,516
2019-10-22$250.28$250.0021.3%6.1%41.0%26.1%22.0%3.0%5.4%-328.0K19.7M-200.1K1.8781.61701312,9183,549
2019-10-23$252.46$250.0020.8%6.0%41.0%24.4%20.6%3.5%5.7%-226.8K17.4M-202.1K0.9382.5143402,9313,648
2019-10-24$252.70$250.0020.2%5.8%20.4%22.3%18.7%3.3%6.3%-245.2K17.3M-201.5K0.2081.03512,9173,666
2019-10-25$254.10$250.0020.2%5.8%19.0%22.2%16.2%3.1%6.2%-83.8K15.1M-199.1K0.0382.9325682,9193,667
2019-10-28$257.79$250.0019.1%5.5%19.3%18.4%21.3%2.8%7.1%417.7K8.4M-198.4K0.6485.7828183,1523,665
2019-10-29$256.71$250.0019.7%5.7%18.4%20.6%19.9%3.0%7.6%313.6K10.6M-199.0K5.0589.24834193,1593,675
2019-10-30$253.96$250.0020.7%5.9%17.5%23.9%20.8%3.0%7.5%-417.0K21.0M-213.6K0.4584.32112503,1404,090
2019-10-31$253.02$250.0020.6%5.9%17.7%23.8%20.6%2.8%7.4%-416.0K22.4M-214.4K1.1786.7724283,2434,112