FDS Options History — November 2019

In November 2019, FDS traded between $245.83 and $261.96. ATM implied volatility averaged 26.9%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 8.2% (HV 20d: 18.7%). Max pain ranged from $250.00 to $260.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2019-11-25: Highest Volume — 265 contracts
  • 2019-11-13: Largest IV spike — 31.4% change
  • 2019-11-29: Highest IV Rank — 76.6%
  • 2019-11-29: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$256.25$245.83$261.96$255.19$260.25
Max Pain$259.50$250.00$260.00$250.00$260.00
ATM IV26.9%18.4%35.5%18.4%35.5%
Expected Move8.5%5.3%10.2%5.3%10.2%
HV 20d18.7%12.5%22.6%17.5%21.6%
HV 60d28.8%28.0%29.4%28.8%29.1%
IV Rank45.9%15.7%76.6%15.7%76.6%
IV Percentile68.4%19.4%98.4%19.4%98.4%
Term Structure-2.6%-6.8%8.6%8.6%-6.8%
VWIV30.4%20.2%37.2%20.2%37.2%
Skew 25d4.6%2.7%5.4%2.7%5.3%
Skew 10d10.1%6.5%12.6%6.5%10.9%
Call IV 25d28.1%18.4%33.8%18.4%33.8%
Put IV 25d32.7%21.1%39.0%21.1%39.0%
Bid-Ask Spread %75.0966.1490.4490.4474.64
Gamma HHI0.280.220.440.270.22
Net GEX-802.9K-1.7M1.7M-78.1K-1.1M
Net DEX20.8M11.0M36.5M18.1M16.6M
Net VEX-187.9K-214.3K-176.5K-214.3K-181.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.059.005.170.33
Total Volume105.88265378
Total OI6,849.455,8827,4137,3476,618

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$255.19$250.0018.4%5.3%17.5%15.7%20.2%2.7%8.6%-78.1K18.1M-214.3K5.1790.446313,2464,101
2019-11-04$255.49$260.0019.1%8.0%17.3%18.3%26.9%4.2%-1.6%39.0K17.6M-208.5K0.3966.1431123,2514,116
2019-11-05$255.10$260.0019.9%8.0%15.0%21.1%27.7%4.5%-1.6%-8.7K18.8M-206.6K0.1274.78153183,2684,115
2019-11-06$256.64$260.0019.1%7.8%12.5%18.4%27.1%4.7%-1.2%6.7K16.9M-202.6K0.0770.329063,1964,130
2019-11-07$251.76$260.0020.8%8.2%14.8%24.3%31.6%4.7%-1.5%-669.9K26.0M-193.7K2.7575.468223,1354,135
2019-11-08$245.83$260.0019.8%8.0%16.1%20.7%30.3%4.2%-1.4%-1.7M36.5M-179.9K0.5874.4433193,1364,155
2019-11-11$248.44$260.0021.8%7.8%16.2%27.8%28.3%5.3%-1.5%-1.5M32.9M-176.5K1.4574.7856813,1334,156
2019-11-12$250.30$260.0020.8%8.1%16.1%24.3%27.8%4.2%-1.8%-1.3M29.0M-179.0K0.5876.9233193,1704,200
2019-11-13$255.02$260.0027.3%7.8%17.2%47.4%28.9%4.0%-1.4%-141.4K20.9M-186.1K2.1070.7529613,1814,214
2019-11-14$259.63$260.0027.2%7.8%17.6%47.1%29.6%4.5%-1.6%1.7M11.0M-185.1K1.0477.3128293,1844,202
2019-11-15$254.96$260.0029.7%8.5%18.8%56.0%27.3%4.5%-2.8%-1.5M21.1M-181.7K0.1575.41209323,1904,223
2019-11-18$252.19$260.0031.5%9.0%19.3%62.5%31.6%4.9%-4.3%-1.5M28.2M-176.9K1.9774.4531612,2863,596
2019-11-19$259.62$260.0029.8%8.5%21.8%56.2%30.6%4.8%-2.8%-1.2M18.5M-185.0K0.6877.2560412,2983,641
2019-11-20$261.96$260.0030.7%8.8%21.8%59.4%37.0%5.1%-3.2%-1.0M15.2M-183.5K9.0075.13232072,2953,672
2019-11-21$258.31$260.0032.4%9.3%22.5%65.6%33.4%5.4%-4.7%-1.3M20.9M-185.9K2.1776.3218392,3173,869
2019-11-22$260.34$260.0032.5%9.3%22.6%66.0%32.4%4.6%-4.8%-1.2M18.8M-185.5K0.3775.37101372,3233,904
2019-11-25$261.75$260.0032.6%9.3%22.1%66.3%34.3%4.7%-5.0%-1.2M16.0M-178.8K0.8572.681431222,3683,933
2019-11-26$261.26$260.0034.3%9.8%22.0%72.2%32.4%4.8%-6.2%-1.3M17.4M-181.1K0.0574.81185102,4014,030
2019-11-27$261.00$260.0034.5%9.9%21.6%72.9%33.6%5.2%-6.5%-1.1M15.3M-186.0K0.7174.3314102,5604,041
2019-11-29$260.25$260.0035.5%10.2%21.6%76.6%37.2%5.3%-6.8%-1.1M16.6M-181.7K0.3374.64622,5714,047