FDS Options History — June 2020

In June 2020, FDS traded between $284.62 and $342.05. ATM implied volatility averaged 35.2%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 2.4% (HV 20d: 37.6%). Max pain ranged from $280.00 to $320.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.79.

Notable Days

  • 2020-06-04: Highest Volume — 597 contracts
  • 2020-06-08: Largest IV spike — 34.2% change
  • 2020-06-11: Highest IV Rank — 43.1%
  • 2020-06-11: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$308.46$284.62$342.05$306.79$327.67
Max Pain$296.36$280.00$320.00$280.00$320.00
ATM IV35.2%23.4%46.4%31.1%30.5%
Expected Move10.4%8.2%13.3%8.9%8.8%
HV 20d37.6%26.1%62.6%26.1%62.4%
HV 60d51.9%36.0%66.5%66.5%45.0%
IV Rank27.1%10.1%43.1%21.1%20.4%
IV Percentile73.4%41.3%91.3%68.7%59.9%
Term Structure-2.3%-8.8%6.0%4.1%1.4%
VWIV36.3%26.9%45.6%45.6%30.5%
Skew 25d7.0%1.1%14.1%8.7%3.5%
Skew 10d17.1%6.2%30.6%17.7%13.2%
Call IV 25d33.6%26.5%40.7%26.5%31.8%
Put IV 25d40.7%31.4%53.1%35.2%35.3%
Bid-Ask Spread %83.1875.9692.5591.0679.89
Gamma HHI0.190.110.470.230.12
Net GEX26.9K-898.2K394.5K-182.1K377.5K
Net DEX-5.3M-13.2M6.5M-3.9M-10.5M
Net VEX-60.7K-70.7K-48.5K-66.1K-66.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.0518.756.330.09
Total Volume128.091105972238
Total OI2,224.4091,2552,6542,3711,829

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$306.79$280.0031.1%8.9%26.1%21.1%45.6%8.7%4.1%-182.1K-3.9M-66.1K6.3391.063195671,804
2020-06-02$303.41$280.0032.1%9.2%26.7%22.7%29.2%7.2%4.2%-272.9K-1.9M-69.2K0.0590.578845701,809
2020-06-03$312.88$280.0028.6%8.2%28.0%17.6%34.3%3.5%6.0%78.5K-7.4M-62.1K4.6992.5516756451,812
2020-06-04$309.65$310.0029.3%9.7%27.8%18.6%34.9%7.2%-1.9%-38.6K-6.2M-62.5K1.3078.102603376501,866
2020-06-05$316.65$300.0023.4%9.6%27.3%10.1%26.9%8.3%-3.2%149.0K-9.1M-56.7K0.1186.20916571,866
2020-06-08$314.20$300.0031.4%9.9%27.7%21.5%33.8%6.3%-2.6%171.9K-8.5M-56.3K0.3580.082076591,865
2020-06-09$305.76$300.0031.4%10.6%27.5%21.6%38.7%9.4%-5.9%-73.7K-4.8M-63.6K0.2181.144396751,865
2020-06-10$306.77$290.0037.3%10.7%27.0%30.0%34.2%5.5%-5.5%-110.3K-4.9M-64.3K0.1084.533036991,872
2020-06-11$286.38$300.0046.4%13.3%36.7%43.1%44.3%10.9%-8.8%-762.9K5.2M-70.7K0.5081.0032166971,873
2020-06-12$284.62$300.0045.4%13.0%36.8%41.6%37.0%14.1%-7.2%-898.2K6.5M-69.2K0.5083.441057071,875
2020-06-15$293.59$290.0040.6%11.6%38.2%34.7%39.0%8.4%-4.8%-234.2K-1.4M-60.0K0.3677.471457131,875
2020-06-16$295.24$290.0039.1%11.2%35.1%32.7%40.2%9.4%-6.5%-3.6K-3.0M-57.3K18.7580.5581507201,872
2020-06-17$300.55$290.0036.7%10.5%35.5%29.1%36.6%5.9%-1.1%237.4K-5.3M-56.4K0.0585.902217231,931
2020-06-18$300.98$290.0037.4%10.7%35.5%30.2%37.8%6.6%-3.9%387.4K-5.9M-54.5K0.3184.141347191,932
2020-06-19$304.24$290.0038.4%11.0%35.6%31.6%34.6%8.4%-2.3%350.1K-7.2M-54.0K0.0684.9612487211,933
2020-06-22$309.22$290.0039.0%11.2%35.8%32.5%39.8%7.8%-5.9%142.7K-4.8M-53.3K1.1284.181719549706
2020-06-23$307.86$290.0038.7%11.1%35.2%32.0%37.9%7.2%-4.7%132.8K-4.4M-55.5K0.6387.10218138559717
2020-06-24$298.38$290.0038.0%10.9%36.7%31.1%40.3%1.1%-2.7%70.2K-2.4M-55.8K1.1279.598494565728
2020-06-25$342.05$300.0034.5%9.9%60.9%26.1%32.9%7.3%-1.4%305.2K-13.2M-48.5K0.3481.09440149651815
2020-06-26$332.84$320.0033.4%9.6%62.0%24.5%35.4%4.2%1.2%394.5K-12.7M-65.4K0.5975.9613680918905
2020-06-29$326.46$320.0032.5%9.3%62.6%23.1%35.5%3.9%0.3%370.3K-10.5M-67.1K1.8880.372445925898
2020-06-30$327.67$320.0030.5%8.8%62.4%20.4%30.5%3.5%1.4%377.5K-10.5M-66.1K0.0979.89353918911