FDS Options History — December 2019

In December 2019, FDS traded between $259.26 and $271.32. ATM implied volatility averaged 29.7%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 12.3% (HV 20d: 17.4%). Max pain ranged from $260.00 to $260.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2019-12-18: Highest Volume — 6,976 contracts
  • 2019-12-19: Largest IV drop — 39.3% change
  • 2019-12-09: Highest IV Rank — 100.0%
  • 2019-12-04: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$267.76$259.26$271.32$261.06$268.76
Max Pain$260.00$260.00$260.00$260.00$260.00
ATM IV29.7%18.3%45.8%38.6%19.3%
Expected Move7.8%5.2%11.6%11.1%5.5%
HV 20d17.4%12.7%22.3%21.5%15.5%
HV 60d25.1%17.9%29.0%29.0%18.0%
IV Rank52.2%13.5%100.0%87.4%16.7%
IV Percentile67.7%18.3%100.0%99.2%26.2%
Term Structure-3.1%-10.1%3.6%-8.9%0.4%
VWIV28.0%18.8%41.0%36.7%19.8%
Skew 25d4.2%2.8%6.7%6.3%3.1%
Skew 10d10.0%6.5%15.1%15.1%7.2%
Call IV 25d26.0%17.7%38.1%36.3%18.6%
Put IV 25d30.2%20.9%44.8%42.6%21.7%
Bid-Ask Spread %66.7058.3782.0773.9367.70
Gamma HHI0.260.170.440.220.36
Net GEX-995.8K-2.2M-406.4K-1.1M-1.3M
Net DEX5.1M-13.5M18.8M17.0M4.1M
Net VEX-150.7K-178.6K-120.3K-177.1K-120.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.056.060.312.60
Total Volume628.524276,976114353
Total OI6,865.1434,73711,8196,5974,909

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$261.06$260.0038.6%11.1%21.5%87.4%36.7%6.3%-8.9%-1.1M17.0M-177.1K0.3173.9387272,5484,049
2019-12-03$259.26$260.0040.3%11.6%21.6%93.6%41.0%6.7%-9.5%-1.2M18.8M-176.4K1.2773.11911162,5944,072
2019-12-04$263.46$260.0040.4%11.6%22.3%94.0%35.8%6.4%-10.1%-907.4K12.7M-178.6K0.0575.454222,6434,137
2019-12-05$263.78$260.0040.5%8.6%22.2%94.1%30.0%4.6%-3.2%-865.3K12.5M-175.3K1.0962.1934372,6354,139
2019-12-06$269.69$260.0040.2%8.3%22.0%93.1%30.9%4.0%-3.0%-481.6K3.1M-171.0K1.8658.3735652,6524,157
2019-12-09$269.81$260.0044.8%8.6%19.6%100.0%31.1%4.4%-3.9%-557.8K3.2M-164.5K1.1061.9480882,6554,210
2019-12-10$269.68$260.0045.8%8.7%19.5%100.0%31.8%4.7%-4.1%-552.9K3.7M-164.5K3.3759.8119642,6894,219
2019-12-11$271.07$260.0030.4%8.7%19.5%51.8%32.3%4.4%-4.0%-406.4K973.5K-160.0K1.9562.871102152,6804,225
2019-12-12$269.90$260.0030.6%8.8%18.9%52.2%32.1%4.0%-4.8%-609.7K3.2M-158.4K0.3461.45258872,7144,329
2019-12-13$270.53$260.0030.5%8.7%18.0%51.9%32.1%4.6%-5.1%-435.8K1.4M-162.0K6.0664.0016972,9284,378
2019-12-16$271.10$260.0030.8%8.8%16.4%52.8%31.1%4.3%-5.2%-468.5K1.6M-150.3K2.0764.721112302,9284,413
2019-12-17$268.75$260.0029.5%8.5%16.1%48.9%32.0%5.5%-4.7%-764.9K5.6M-149.9K1.7164.023105312,9984,572
2019-12-18$268.46$260.0030.2%8.7%13.0%51.1%32.5%3.5%-5.9%-929.0K8.7M-148.8K2.2965.032,1214,8553,2434,974
2019-12-19$269.85$260.0018.3%5.3%12.7%13.8%20.0%3.1%3.6%-2.2M-13.5M-132.0K1.7782.077451,3204,8436,976
2019-12-20$264.61$260.0019.8%5.7%13.8%18.4%19.2%3.2%1.5%-1.9M-677.8K-134.6K0.3870.154251614,7566,972
2019-12-23$268.21$260.0018.3%5.2%14.3%13.5%19.5%3.1%0.7%-1.3M7.0M-131.8K0.3765.3762231,8112,926
2019-12-24$267.43$260.0018.3%5.2%14.3%13.6%18.8%3.2%0.6%-1.4M7.1M-134.5K0.9366.6814131,8562,934
2019-12-26$268.54$260.0018.8%5.4%14.3%15.3%19.0%3.3%0.6%-1.3M5.4M-128.0K0.0664.14160101,8652,935
2019-12-27$271.32$260.0019.4%5.6%14.6%17.1%20.8%2.8%0.3%-868.6K515.7K-125.3K1.4559.4729421,8512,938
2019-12-30$267.68$260.0019.5%5.6%15.5%17.3%20.6%3.1%0.5%-1.4M5.6M-121.4K0.3678.2884301,8692,946
2019-12-31$268.76$260.0019.3%5.5%15.5%16.7%19.8%3.1%0.4%-1.3M4.1M-120.3K2.6067.70982551,9452,964