FDS Options History — August 2020

In August 2020, FDS traded between $345.57 and $362.24. ATM implied volatility averaged 27.3%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 12.2% (HV 20d: 15.2%). Max pain ranged from $280.00 to $330.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2020-08-11: Highest Volume — 103 contracts
  • 2020-08-10: Largest IV spike — 8.8% change
  • 2020-08-31: Highest IV Rank — 19.6%
  • 2020-08-31: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$355.33$345.57$362.24$348.61$351.91
Max Pain$294.76$280.00$330.00$330.00$310.00
ATM IV27.3%24.7%30.0%28.3%30.0%
Expected Move7.9%7.1%8.6%8.1%8.6%
HV 20d15.2%12.3%16.9%16.9%12.3%
HV 60d38.1%36.9%39.6%39.5%36.9%
IV Rank15.7%11.9%19.6%17.2%19.6%
IV Percentile41.5%30.6%55.6%45.2%55.6%
Term Structure4.3%0.3%6.8%0.6%5.8%
VWIV28.2%22.4%41.1%41.1%25.8%
Skew 25d4.0%0.9%8.6%0.9%4.1%
Skew 10d8.9%1.6%18.3%7.7%5.9%
Call IV 25d26.3%22.4%30.6%30.6%26.2%
Put IV 25d30.3%27.6%32.0%31.5%30.3%
Bid-Ask Spread %88.9883.5595.7786.9295.77
Gamma HHI0.130.100.160.140.12
Net GEX627.5K385.4K850.9K666.0K385.4K
Net DEX-19.5M-24.1M-13.3M-17.6M-13.3M
Net VEX-39.3K-47.8K-31.8K-47.8K-35.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.035.870.450.80
Total Volume28.8576103169
Total OI2,253.5711,6592,5522,3841,661

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$348.61$330.0028.3%8.1%16.9%17.2%41.1%0.9%0.6%666.0K-17.6M-47.8K0.4586.921159171,467
2020-08-04$345.57$330.0027.7%7.9%16.9%16.3%30.3%1.1%0.3%684.7K-16.8M-46.9K0.5087.34429211,470
2020-08-05$349.47$330.0026.8%7.7%16.4%15.0%27.7%2.3%2.2%731.3K-18.0M-46.2K0.4088.801049221,471
2020-08-06$353.23$280.0025.9%8.1%16.8%13.6%27.8%1.3%3.7%778.2K-19.4M-44.8K0.2983.77729281,472
2020-08-07$355.15$280.0026.3%7.9%16.4%14.2%30.2%3.7%4.6%806.2K-20.3M-43.2K0.1585.411329351,472
2020-08-10$355.25$280.0028.6%8.2%15.2%17.5%33.1%3.8%3.7%799.0K-20.2M-43.2K0.0483.557539351,473
2020-08-11$357.34$280.0028.5%8.3%14.8%17.4%31.9%3.6%3.7%850.9K-22.1M-41.6K5.8786.0215889631,475
2020-08-12$360.51$280.0028.3%8.1%14.8%17.2%23.8%3.6%3.2%640.2K-22.4M-40.7K0.1685.791939681,564
2020-08-13$355.91$280.0027.8%8.0%15.6%16.5%33.5%3.9%4.1%639.5K-20.4M-43.6K0.7585.64439661,566
2020-08-14$353.80$280.0027.7%7.9%15.3%16.3%30.0%2.3%5.5%658.6K-19.8M-42.7K1.3388.37349681,569
2020-08-17$356.28$290.0028.0%8.0%15.5%16.7%25.0%3.5%4.0%653.0K-21.2M-37.1K0.1488.73719651,572
2020-08-18$361.09$290.0026.8%7.7%16.2%14.9%28.0%2.9%3.5%653.7K-23.2M-35.7K0.5990.5022139651,573
2020-08-19$362.24$290.0027.2%7.8%16.1%15.6%22.4%5.5%4.5%709.8K-24.1M-35.1K0.0891.062429811,571
2020-08-20$357.76$290.0025.5%7.3%15.6%13.1%25.3%3.0%6.8%707.0K-22.6M-33.8K1.6089.94589781,574
2020-08-21$357.51$290.0025.1%7.2%15.6%12.6%24.3%6.3%6.5%707.6K-22.9M-32.9K0.2992.1141129791,573
2020-08-24$357.12$290.0024.7%7.1%15.5%11.9%28.7%5.6%6.5%463.2K-17.9M-31.8K0.2091.77459777882
2020-08-25$356.16$290.0025.8%7.4%13.7%13.6%29.4%5.0%5.6%452.0K-17.6M-33.4K4.5488.931359782885
2020-08-26$357.31$300.0027.2%7.8%13.0%15.6%23.4%8.6%4.4%398.6K-17.5M-34.0K0.1794.42122788944
2020-08-27$355.63$300.0028.4%8.2%13.0%17.4%24.3%7.6%4.9%408.1K-16.9M-36.6K0.0391.96351798946
2020-08-28$354.00$300.0028.9%8.3%12.8%18.1%26.3%6.1%6.4%385.4K-15.0M-39.1K0.1391.7081762947
2020-08-31$351.91$310.0030.0%8.6%12.3%19.6%25.8%4.1%5.8%385.4K-13.3M-35.2K0.8095.7754713948