FDS Options History — January 2020

In January 2020, FDS traded between $265.37 and $289.90. ATM implied volatility averaged 19.1%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.5% (HV 20d: 14.6%). Max pain ranged from $260.00 to $280.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2020-01-29: Highest Volume — 954 contracts
  • 2020-01-15: Largest IV drop — 13.8% change
  • 2020-01-13: Highest IV Rank — 24.1%
  • 2020-01-31: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$274.45$265.37$289.90$268.18$285.57
Max Pain$269.05$260.00$280.00$260.00$280.00
ATM IV19.1%16.3%21.6%18.9%21.6%
Expected Move5.4%4.7%6.2%5.4%6.2%
HV 20d14.6%12.4%18.8%15.3%18.8%
HV 60d17.0%16.4%18.5%18.0%18.5%
IV Rank16.3%7.5%24.1%15.6%23.9%
IV Percentile28.1%7.1%54.4%23.0%54.4%
Term Structure0.9%0.3%1.6%0.4%1.2%
VWIV19.3%16.4%26.7%20.2%26.7%
Skew 25d3.4%2.6%4.5%2.6%3.7%
Skew 10d7.7%3.5%12.4%6.7%6.2%
Call IV 25d17.9%15.7%21.3%18.7%21.3%
Put IV 25d21.3%18.6%25.0%21.3%25.0%
Bid-Ask Spread %73.6249.5886.5577.8484.70
Gamma HHI0.370.160.500.370.26
Net GEX-213.3K-2.4M2.6M-1.3M2.0M
Net DEX-2.9M-20.7M8.9M4.4M-14.7M
Net VEX-93.8K-115.8K-77.3K-115.8K-109.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.001.681.441.00
Total Volume126.71489542216
Total OI4,273.9522,8615,2024,9824,088

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$268.18$260.0018.9%5.4%15.3%15.6%20.2%2.6%0.4%-1.3M4.4M-115.8K1.4477.849132,0182,964
2020-01-03$268.93$260.0019.3%5.5%14.3%16.7%22.5%4.5%0.3%-1.2M2.9M-114.9K1.6864.6128472,0212,972
2020-01-06$266.61$270.0020.1%5.5%14.7%19.3%19.4%3.3%1.1%-1.7M8.5M-111.5K1.0049.5814142,0393,006
2020-01-07$267.64$260.0019.7%5.4%12.4%17.9%22.1%3.4%1.2%-1.6M6.4M-108.5K1.2976.0314182,0453,002
2020-01-08$270.30$260.0019.3%5.4%12.9%16.7%19.7%4.0%0.9%-859.7K-590.3K-101.2K1.0975.3453582,0473,007
2020-01-09$269.01$270.0019.0%5.3%13.0%15.8%18.9%3.5%1.3%-1.2M1.5M-99.7K1.1477.8822252,0523,039
2020-01-10$265.37$270.0019.0%5.2%13.7%15.9%19.4%3.1%1.2%-2.4M8.9M-99.9K1.2373.0631382,0423,034
2020-01-13$266.59$270.0021.6%5.3%13.8%24.1%19.1%3.4%1.2%-2.0M5.2M-91.7K0.5653.0577432,0573,057
2020-01-14$268.37$270.0021.2%5.2%14.0%22.8%18.3%3.5%1.1%-1.1M1.3M-89.2K0.0561.202012,0743,080
2020-01-15$271.00$270.0018.3%5.2%14.4%13.6%18.2%3.0%0.9%394.6K-5.0M-84.1K0.2877.6436102,0763,081
2020-01-16$275.53$270.0016.4%4.7%15.2%7.7%18.2%3.2%1.6%256.7K-12.5M-77.5K0.5380.5338202,0883,089
2020-01-17$275.38$270.0016.3%4.7%15.2%7.5%16.4%2.9%1.1%-183.6K-12.6M-77.3K0.0381.2211642,1003,102
2020-01-21$277.40$270.0018.0%5.1%15.3%12.6%17.7%3.4%0.5%384.8K-3.6M-83.3K0.5366.6838201,4271,434
2020-01-22$278.79$270.0017.8%5.1%13.1%12.2%18.1%3.0%0.7%450.3K-3.8M-86.1K0.2962.4965191,4401,450
2020-01-23$280.53$270.0018.2%5.2%12.6%13.2%17.4%3.1%0.6%608.4K-5.4M-85.5K0.6474.1433211,4701,462
2020-01-24$276.11$270.0019.5%5.6%14.0%17.4%18.6%3.5%0.5%329.4K-1.8M-86.8K0.1383.425371,4901,474
2020-01-27$275.14$270.0020.5%5.9%14.1%20.7%19.7%3.8%0.6%313.5K-1.4M-83.6K0.0080.17801,5181,477
2020-01-28$278.58$270.0018.4%5.3%14.3%13.9%17.5%4.3%1.3%582.8K-3.4M-82.1K0.2777.0641111,5211,477
2020-01-29$288.58$270.0018.8%5.4%17.7%15.2%18.2%3.4%1.1%1.1M-13.7M-81.6K0.0986.55874801,5351,481
2020-01-30$289.90$280.0019.9%5.7%17.7%18.6%19.9%3.5%0.3%2.6M-20.7M-99.7K0.0082.8662512,3561,561
2020-01-31$285.57$280.0021.6%6.2%18.8%23.9%26.7%3.7%1.2%2.0M-14.7M-109.3K1.0084.70882,5261,562