FDS Options History — April 2020

In April 2020, FDS traded between $250.76 and $286.54. ATM implied volatility averaged 39.5%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 36.1% (HV 20d: 75.6%). Max pain ranged from $220.00 to $270.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2020-04-09: Highest Volume — 108 contracts
  • 2020-04-28: Largest IV spike — 30.8% change
  • 2020-04-01: Highest IV Rank — 63.9%
  • 2020-04-01: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$272.91$250.76$286.54$254.78$276.23
Max Pain$237.14$220.00$270.00$270.00$270.00
ATM IV39.5%24.7%60.4%60.4%28.8%
Expected Move11.2%7.1%17.3%17.3%8.3%
HV 20d75.6%38.0%106.1%104.5%42.4%
HV 60d66.8%64.8%68.1%64.8%68.1%
IV Rank33.6%12.1%63.9%63.9%17.8%
IV Percentile83.7%56.0%95.2%95.2%66.7%
Term Structure-0.1%-9.6%6.9%-9.6%1.9%
VWIV39.8%29.5%51.5%46.3%30.6%
Skew 25d11.8%3.5%27.6%27.6%4.4%
Skew 10d21.9%3.0%47.1%47.1%8.6%
Call IV 25d33.1%21.4%42.0%39.7%28.7%
Put IV 25d44.9%29.6%67.3%67.3%33.1%
Bid-Ask Spread %89.5776.38100.4890.16100.48
Gamma HHI0.120.090.190.090.11
Net GEX170.2K63.7K439.5K63.7K71.6K
Net DEX-2.8M-8.1M1.8M1.3M-1.9M
Net VEX-53.6K-59.9K-47.5K-59.9K-47.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.006.130.000.75
Total Volume34.81110847
Total OI1,689.4761,1862,1031,9991,249

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$254.78$270.0060.4%17.3%104.5%63.9%46.3%27.6%-9.6%63.7K1.3M-59.9K0.0090.16401,011988
2020-04-02$259.90$220.0050.5%12.7%104.9%50.0%0.0%16.8%0.1%147.0K-222.4K-59.6K0.7579.78431,013988
2020-04-03$250.76$220.0056.4%14.0%105.0%58.3%0.0%16.8%-2.6%63.7K1.8M-56.8K0.8076.3820161,016989
2020-04-06$264.57$220.0044.1%12.8%105.8%41.0%0.0%14.1%-2.3%116.4K-452.5K-55.4K0.2082.644591,012980
2020-04-07$271.06$220.0039.2%12.0%106.1%34.1%49.9%12.4%-1.9%281.9K-3.1M-56.7K1.0083.9926261,024989
2020-04-08$269.40$220.0041.1%11.8%104.4%36.0%51.5%14.7%-2.0%193.9K-1.8M-57.4K2.2984.507161,0351,003
2020-04-09$278.68$230.0037.4%10.7%100.3%30.6%0.0%11.0%1.0%439.5K-5.8M-58.8K0.4687.8274341,0381,019
2020-04-13$272.35$230.0041.0%11.8%100.4%35.8%36.2%13.5%-0.6%215.6K-2.6M-55.3K1.1186.0119211,0541,049
2020-04-14$278.94$240.0038.4%11.0%98.0%32.0%0.0%8.9%-0.4%297.1K-5.2M-56.2K2.5687.589231,0421,043
2020-04-15$277.75$240.0037.2%10.7%96.3%30.2%47.5%11.0%-0.4%288.5K-4.8M-54.7K1.6489.1325411,0441,044
2020-04-16$281.97$240.0042.5%12.2%83.0%37.7%36.9%10.0%-5.4%233.1K-6.2M-53.5K0.3885.9226101,0271,032
2020-04-17$282.74$240.0035.6%10.2%73.0%27.9%34.5%10.1%0.0%139.4K-8.1M-51.9K0.2689.423491,0471,032
2020-04-20$275.35$240.0038.2%10.9%61.3%31.6%35.4%13.1%-0.1%133.0K-2.7M-51.6K3.7893.49934567619
2020-04-21$269.30$240.0041.9%12.0%55.7%37.0%41.6%14.4%3.6%93.8K-1.8M-53.2K0.6487.35149570652
2020-04-22$272.48$240.0038.8%11.1%45.2%32.5%43.7%10.4%0.5%114.2K-2.2M-52.2K4.0092.0014576660
2020-04-23$272.46$240.0038.4%11.0%41.5%31.9%29.5%9.6%1.4%117.8K-2.3M-51.0K0.1392.54557575661
2020-04-24$274.98$240.0033.6%9.6%38.0%24.9%33.5%15.5%3.0%94.1K-1.9M-49.3K0.4496.1394533661
2020-04-27$286.54$240.0024.7%7.1%39.2%12.1%0.0%5.1%6.9%158.3K-4.0M-48.8K0.0098.21190540660
2020-04-28$276.30$240.0032.3%9.2%41.4%23.0%0.0%3.5%0.6%128.1K-2.9M-47.8K0.0097.6010559660
2020-04-29$284.65$240.0028.8%8.3%41.5%18.1%30.6%5.5%3.4%183.2K-3.8M-47.9K6.1399.85849558660
2020-04-30$276.23$270.0028.8%8.3%42.4%17.8%0.0%4.4%1.9%71.6K-1.9M-47.5K0.75100.4843558691