FDS Options History — July 2020

In July 2020, FDS traded between $336.04 and $355.56. ATM implied volatility averaged 29.9%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 15.9% (HV 20d: 45.9%). Max pain ranged from $310.00 to $330.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.80.

Notable Days

  • 2020-07-09: Highest Volume — 603 contracts
  • 2020-07-15: Largest IV drop — 13.9% change
  • 2020-07-14: Highest IV Rank — 29.2%
  • 2020-07-06: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$347.45$336.04$355.56$336.04$344.14
Max Pain$319.09$310.00$330.00$320.00$330.00
ATM IV29.9%26.0%36.7%29.0%26.6%
Expected Move8.5%7.5%9.2%8.3%7.6%
HV 20d45.9%16.2%62.1%62.1%16.5%
HV 60d42.0%39.8%44.0%44.0%39.8%
IV Rank19.5%13.9%29.2%18.1%14.7%
IV Percentile54.6%37.3%74.6%54.8%39.7%
Term Structure1.1%-0.1%3.5%1.8%3.0%
VWIV32.1%25.0%38.9%34.4%29.6%
Skew 25d5.0%3.0%7.5%5.5%3.0%
Skew 10d12.6%-4.8%22.4%17.1%12.1%
Call IV 25d29.0%25.8%32.1%30.5%26.7%
Put IV 25d34.1%29.5%37.9%36.1%29.7%
Bid-Ask Spread %78.0864.3591.1579.2091.15
Gamma HHI0.170.130.310.130.15
Net GEX590.9K378.6K911.3K442.0K663.3K
Net DEX-16.6M-22.0M-13.0M-13.0M-16.0M
Net VEX-50.9K-64.9K-41.5K-64.9K-48.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.800.0929.152.371.46
Total Volume128.5660317232
Total OI2,228.8181,8252,5781,8252,361

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$336.04$320.0029.0%8.3%62.1%18.1%34.4%5.5%1.8%442.0K-13.0M-64.9K2.3779.2051121916909
2020-07-02$336.28$320.0027.5%7.9%61.9%16.0%29.3%5.5%2.5%378.6K-13.6M-62.8K0.2387.78225935988
2020-07-06$338.94$310.0030.8%9.2%61.5%20.8%35.8%5.7%1.3%396.3K-14.5M-60.4K0.7265.63247177935994
2020-07-07$342.24$310.0031.6%9.1%61.4%21.8%29.8%6.5%0.6%501.1K-16.2M-59.7K0.1966.53265984993
2020-07-08$347.72$310.0029.8%8.8%60.4%19.2%32.3%6.0%0.7%597.0K-18.7M-54.7K0.1264.3516921997996
2020-07-09$346.66$310.0033.8%9.1%60.5%25.0%28.9%6.0%0.5%634.8K-18.6M-56.0K29.1569.19205831,0301,011
2020-07-10$350.54$310.0030.8%9.0%53.6%20.7%30.7%7.0%0.7%681.7K-19.7M-59.0K0.5066.7722111,0361,539
2020-07-13$345.01$310.0034.2%9.2%54.1%25.7%38.9%5.6%1.0%659.4K-18.2M-52.9K1.0371.0532331,0291,549
2020-07-14$349.46$310.0036.7%8.9%53.5%29.2%33.0%5.8%0.9%705.0K-19.7M-50.0K1.7570.03471,0131,562
2020-07-15$352.03$310.0031.6%9.1%53.5%21.9%36.3%4.0%0.6%808.9K-21.0M-49.1K0.7370.742421761,0131,565
2020-07-16$350.60$310.0031.4%9.0%53.6%21.6%38.2%3.8%0.0%911.3K-21.1M-45.5K0.1976.103161,0131,565
2020-07-17$354.43$310.0029.1%8.3%53.5%18.3%30.4%4.6%1.1%827.7K-22.0M-46.8K0.1681.14116181,0021,571
2020-07-20$355.04$320.0026.5%7.6%53.6%14.5%30.9%7.5%2.0%531.7K-16.4M-45.5K0.5686.9518107921,194
2020-07-21$355.56$320.0028.7%8.2%53.5%17.7%33.2%4.4%0.6%527.0K-16.6M-46.1K1.6780.469157931,203
2020-07-22$354.30$330.0029.9%8.6%53.5%19.4%29.6%4.9%-0.1%507.3K-16.1M-44.5K8.1681.24252047931,216
2020-07-23$348.64$330.0029.1%8.3%52.3%18.3%36.4%4.1%0.5%549.1K-14.5M-49.3K5.7181.527407991,419
2020-07-24$347.96$330.0029.2%8.4%20.5%18.4%29.7%3.3%0.3%507.8K-14.4M-46.4K0.5580.561167991,457
2020-07-27$350.14$330.0028.6%8.2%17.7%17.6%32.3%4.2%0.7%541.8K-15.0M-45.1K0.7584.69438021,459
2020-07-28$343.50$330.0029.4%8.4%17.7%18.7%29.4%5.4%1.7%523.0K-13.0M-45.6K0.5686.151698051,466
2020-07-29$348.08$330.0028.1%8.0%18.1%16.8%33.1%4.4%0.9%532.3K-14.0M-45.4K5.0087.37157971,469
2020-07-30$346.51$330.0026.0%7.5%16.2%13.9%25.0%3.7%3.5%572.4K-13.8M-41.5K0.0989.20245227981,467
2020-07-31$344.14$330.0026.6%7.6%16.5%14.7%29.6%3.0%3.0%663.3K-16.0M-48.7K1.4691.1513199121,449