FDS Options History — May 2020

In May 2020, FDS traded between $268.71 and $305.55. ATM implied volatility averaged 35.3%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 0.8% (HV 20d: 36.1%). Max pain ranged from $260.00 to $270.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 6.05.

Notable Days

2020-05-06: Highest Volume — 844 contracts
2020-05-05: Largest IV spike — 23.9% change
2020-05-05: Highest IV Rank — 37.4%
2020-05-14: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$284.48	$268.71	$305.55	$269.47	$305.55
Max Pain	$268.50	$260.00	$270.00	$270.00	$270.00
ATM IV	35.3%	28.2%	42.4%	36.2%	28.2%
Expected Move	9.8%	8.1%	10.9%	10.4%	8.1%
HV 20d	36.1%	28.3%	43.2%	43.2%	28.3%
HV 60d	68.3%	66.6%	69.2%	68.2%	66.6%
IV Rank	27.1%	17.0%	37.4%	28.5%	17.0%
IV Percentile	76.9%	56.7%	89.3%	81.7%	56.7%
Term Structure	2.9%	-1.1%	5.9%	-1.1%	4.3%
VWIV	36.2%	30.0%	45.8%	35.6%	30.7%
Skew 25d	9.0%	5.3%	16.8%	16.8%	9.2%
Skew 10d	20.6%	2.7%	31.6%	31.6%	22.9%
Call IV 25d	30.9%	25.6%	36.4%	26.5%	25.6%
Put IV 25d	39.9%	34.1%	45.8%	43.3%	34.9%
Bid-Ask Spread %	86.75	81.43	97.19	97.19	90.60
Gamma HHI	0.32	0.09	0.49	0.09	0.25
Net GEX	-415.9K	-710.2K	46.9K	36.4K	-250.3K
Net DEX	2.4M	-3.4M	8.4M	-367.6K	-3.2M
Net VEX	-72.6K	-88.6K	-46.3K	-46.7K	-70.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.05	0.00	52.00	0.06	0.80
Total Volume	84.05	7	844	8	45
Total OI	2,079.55	1,244	2,396	1,249	2,381

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-05-01	$269.47	$270.00	36.2%	10.4%	43.2%	28.5%	35.6%	16.8%	-1.1%	36.4K	-367.6K	-46.7K	0.00	97.19	0	8	558	691
2020-05-04	$268.95	$260.00	34.3%	10.9%	40.9%	25.7%	37.1%	7.8%	-0.3%	17.2K	-748.3K	-47.4K	0.06	82.56	32	2	558	693
2020-05-05	$272.17	$260.00	42.4%	10.7%	36.5%	37.4%	45.8%	8.2%	0.6%	46.9K	-1.4M	-46.3K	5.75	84.69	8	46	550	694
2020-05-06	$268.71	$260.00	36.7%	10.5%	35.8%	29.2%	36.4%	13.0%	1.2%	12.5K	-531.5K	-46.8K	31.46	82.04	26	818	552	722
2020-05-07	$276.26	$270.00	41.3%	10.6%	37.1%	35.8%	37.9%	9.2%	0.7%	-586.6K	6.8M	-77.8K	0.05	81.43	20	1	577	1,519
2020-05-08	$275.70	$270.00	38.5%	10.4%	35.1%	31.7%	39.5%	9.7%	1.2%	-609.9K	6.9M	-76.8K	0.78	84.27	32	25	589	1,519
2020-05-11	$286.35	$270.00	37.5%	9.7%	36.5%	30.4%	31.4%	7.5%	1.5%	-511.7K	2.3M	-75.5K	2.58	86.29	12	31	615	1,535
2020-05-12	$283.11	$270.00	39.9%	9.6%	35.9%	33.7%	36.7%	11.3%	5.4%	-520.5K	3.4M	-75.1K	12.41	91.08	17	211	617	1,525
2020-05-13	$277.91	$270.00	36.9%	10.6%	36.5%	29.5%	38.7%	9.6%	1.6%	-680.0K	7.4M	-86.2K	2.05	82.20	21	43	619	1,730
2020-05-14	$277.64	$270.00	38.1%	10.9%	36.1%	31.2%	39.3%	9.1%	3.1%	-706.2K	8.4M	-88.6K	0.00	83.87	20	0	623	1,773
2020-05-15	$279.58	$270.00	36.9%	10.6%	36.2%	29.4%	37.0%	9.2%	3.2%	-710.2K	7.3M	-88.1K	0.03	82.95	94	3	618	1,773
2020-05-18	$291.92	$270.00	32.8%	9.4%	38.0%	23.6%	33.9%	7.6%	4.3%	-539.8K	2.3M	-83.1K	0.42	86.35	24	10	568	1,715
2020-05-19	$289.74	$270.00	34.9%	10.0%	37.0%	26.5%	39.0%	9.2%	3.4%	-550.7K	3.0M	-82.2K	0.33	88.64	6	2	577	1,718
2020-05-20	$290.33	$270.00	34.0%	9.7%	36.9%	25.3%	38.1%	8.0%	3.8%	-535.4K	3.2M	-83.1K	0.40	83.77	5	2	582	1,718
2020-05-21	$290.51	$270.00	33.4%	9.6%	36.9%	24.5%	33.8%	10.2%	3.6%	-500.2K	3.1M	-81.4K	0.50	86.43	6	3	584	1,719
2020-05-22	$288.57	$270.00	31.5%	9.0%	37.0%	21.7%	38.6%	6.7%	5.9%	-589.1K	3.7M	-80.9K	52.00	89.12	1	52	583	1,719
2020-05-26	$295.07	$270.00	30.6%	8.8%	34.9%	20.4%	33.9%	6.6%	5.3%	-484.6K	909.8K	-76.3K	0.25	89.43	8	2	583	1,769
2020-05-27	$299.90	$270.00	30.3%	8.7%	32.2%	20.0%	30.0%	5.3%	5.8%	-393.5K	-1.5M	-71.8K	4.60	90.98	5	23	589	1,768
2020-05-28	$302.23	$270.00	31.0%	8.9%	30.8%	21.0%	30.2%	6.2%	4.1%	-262.6K	-3.4M	-68.3K	0.55	91.05	11	6	587	1,781
2020-05-29	$305.55	$270.00	28.2%	8.1%	28.3%	17.0%	30.7%	9.2%	4.3%	-250.3K	-3.2M	-70.5K	0.80	90.60	25	20	595	1,786