FDS Options History — March 2020

In March 2020, FDS traded between $204.85 and $292.19. ATM implied volatility averaged 60.0%, placing in the 77.4% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 9.6% (HV 20d: 69.5%). Max pain ranged from $270.00 to $290.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.95.

Notable Days

  • 2020-03-17: Highest Volume — 380 contracts
  • 2020-03-05: Largest IV spike — 40.3% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-23: Largest Expected Move — 24.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$251.97$204.85$292.19$276.80$259.99
Max Pain$282.27$270.00$290.00$280.00$270.00
ATM IV60.0%30.7%86.1%36.4%50.4%
Expected Move16.7%8.8%24.7%10.4%14.4%
HV 20d69.5%36.8%108.0%36.9%105.7%
HV 60d43.7%25.2%64.7%25.2%64.7%
IV Rank77.4%39.4%100.0%54.8%49.8%
IV Percentile97.7%89.3%100.0%96.0%92.9%
Term Structure-9.8%-19.6%4.1%0.7%-3.8%
VWIV57.2%30.3%100.2%38.3%37.3%
Skew 25d16.5%5.3%28.3%7.2%18.2%
Skew 10d34.8%8.8%64.1%12.3%50.9%
Call IV 25d50.8%29.0%74.6%35.3%43.5%
Put IV 25d67.3%34.3%99.0%42.5%61.8%
Bid-Ask Spread %69.2755.4688.9779.9588.97
Gamma HHI0.130.080.520.120.11
Net GEX-66.0K-448.1K659.5K61.1K132.2K
Net DEX7.3M-12.2M25.5M-1.1M-194.9K
Net VEX-67.8K-93.8K-37.7K-91.0K-62.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.078.890.550.09
Total Volume101.63693806558
Total OI3,024.2271,5113,7643,5261,996

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$276.80$280.0036.4%10.4%36.9%54.8%38.3%7.2%0.7%61.1K-1.1M-91.0K0.5579.9542231,9291,597
2020-03-03$280.38$280.0040.2%11.5%36.8%63.1%42.4%7.1%-1.2%144.9K-2.4M-92.7K1.8879.868151,9171,616
2020-03-04$292.19$280.0030.7%8.8%39.1%39.4%30.3%5.3%4.1%659.5K-12.2M-85.7K0.2983.372881,9181,625
2020-03-05$287.78$290.0043.0%11.3%38.8%70.3%38.1%6.1%-7.3%498.2K-9.4M-93.7K8.8958.449801,9291,630
2020-03-06$278.42$290.0051.9%12.6%40.5%92.4%44.6%12.8%-6.7%128.5K-898.0K-93.8K8.6457.2611951,9301,632
2020-03-09$265.90$290.0067.8%14.5%43.3%100.0%47.6%11.9%-10.4%-115.6K6.4M-85.5K0.8056.81541,9401,601
2020-03-10$267.71$290.0057.5%13.4%43.2%80.4%51.4%11.1%-6.8%-218.0K6.1M-82.9K1.2055.4655661,9371,601
2020-03-11$254.35$290.0055.3%15.9%46.0%76.3%52.4%11.5%-10.7%-358.4K13.0M-75.4K7.5060.442151,9461,632
2020-03-12$235.02$290.0065.7%18.8%52.4%96.0%59.2%12.7%-15.1%-343.8K20.2M-62.7K0.5565.2069381,9451,636
2020-03-13$242.96$290.0061.7%17.7%54.0%88.3%0.0%16.3%-11.3%-375.5K17.9M-66.2K5.2368.31482511,9391,623
2020-03-16$230.15$290.0069.1%19.8%55.9%100.0%75.8%17.5%-13.3%-369.4K23.8M-58.5K1.1269.1326291,9431,778
2020-03-17$244.30$290.0069.3%19.9%61.0%100.0%58.2%17.9%-15.0%-433.4K19.0M-67.2K0.0760.88354261,9611,788
2020-03-18$215.70$280.0083.6%24.0%71.8%100.0%79.3%24.4%-19.6%-238.1K25.5M-51.9K0.3558.4897341,9851,779
2020-03-19$242.97$280.0069.4%19.9%86.7%79.3%69.5%21.7%-12.6%-448.1K18.1M-59.5K0.3276.96103332,0691,631
2020-03-20$218.71$280.0075.8%21.7%92.9%88.6%61.0%27.0%-16.9%-439.2K23.0M-45.5K0.5668.231692,1661,592
2020-03-23$204.85$280.0086.1%24.7%94.5%100.0%100.2%28.3%-15.7%-68.3K6.9M-37.7K0.6069.274024816695
2020-03-24$226.60$280.0068.5%19.6%103.6%75.2%81.4%22.1%-14.8%-62.6K5.6M-41.9K1.2857.512532852717
2020-03-25$240.01$280.0067.8%19.4%106.3%74.3%66.3%23.8%-13.4%5163.5M-51.1K0.6078.309658870733
2020-03-26$252.65$270.0061.9%17.7%108.0%65.9%64.6%20.5%-12.6%83.4K831.0K-58.6K1.4365.7080114947791
2020-03-27$260.31$270.0056.1%16.1%106.7%57.9%54.2%17.9%-7.4%128.6K-498.4K-63.8K0.3387.133612982971
2020-03-30$265.62$270.0051.0%14.6%105.7%50.7%48.3%22.7%-6.8%181.8K-1.7M-63.6K0.5578.214022980968
2020-03-31$259.99$270.0050.4%14.4%105.7%49.8%37.3%18.2%-3.8%132.2K-194.9K-62.0K0.0988.975351,007989