FDS Options History — September 2020

In September 2020, FDS traded between $323.50 and $354.54. ATM implied volatility averaged 34.8%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 9.8% (HV 20d: 25.0%). Max pain ranged from $310.00 to $340.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2020-09-24: Highest Volume — 414 contracts
  • 2020-09-04: Largest IV drop — 14.6% change
  • 2020-09-10: Highest IV Rank — 33.4%
  • 2020-09-08: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$334.92$323.50$354.54$351.04$333.82
Max Pain$329.52$310.00$340.00$310.00$330.00
ATM IV34.8%30.1%39.7%30.1%32.9%
Expected Move10.2%8.6%11.6%8.6%9.4%
HV 20d25.0%11.8%30.3%11.9%30.3%
HV 60d30.3%20.8%37.5%36.9%21.0%
IV Rank26.5%19.8%33.4%19.8%23.8%
IV Percentile68.6%55.2%83.7%55.6%62.7%
Term Structure-0.9%-4.3%5.5%5.5%-0.1%
VWIV36.7%28.4%47.2%30.3%37.2%
Skew 25d6.1%4.2%9.3%5.7%4.6%
Skew 10d13.9%-3.3%25.7%-3.3%13.7%
Call IV 25d33.3%25.4%37.3%25.4%30.3%
Put IV 25d39.4%31.1%45.3%31.1%34.9%
Bid-Ask Spread %85.9577.8995.8895.8889.23
Gamma HHI0.150.100.300.110.14
Net GEX410.8K214.4K629.2K388.4K396.7K
Net DEX-8.9M-13.9M-5.8M-13.1M-7.0M
Net VEX-35.9K-41.3K-31.2K-36.2K-35.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.007.350.120.75
Total Volume96.197414197
Total OI1,669.6191,2811,9411,6651,540

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$351.04$310.0030.1%8.6%11.9%19.8%0.0%5.7%5.5%388.4K-13.1M-36.2K0.1295.88172713952
2020-09-02$354.54$310.0032.8%9.4%11.8%23.6%30.3%5.9%4.6%392.0K-13.9M-37.8K0.0294.82661728954
2020-09-03$340.36$340.0035.6%11.3%18.3%27.6%37.1%8.9%-3.7%402.1K-10.9M-39.1K0.5077.892211760956
2020-09-04$333.54$340.0030.4%11.3%19.2%20.1%39.3%7.4%-2.4%408.9K-9.2M-39.4K1.1679.361922769961
2020-09-08$323.50$340.0034.5%11.6%21.5%26.0%40.0%7.7%-3.1%377.7K-6.1M-37.8K0.2981.85247783980
2020-09-09$334.00$330.0037.5%10.7%24.9%30.3%47.2%6.0%-1.0%407.1K-9.2M-36.3K0.4482.7094793984
2020-09-10$326.19$330.0039.7%11.4%25.5%33.4%34.5%6.1%-4.3%423.6K-7.0M-35.1K0.0084.36210796982
2020-09-11$326.53$330.0036.5%10.5%25.4%29.0%0.0%5.5%-2.4%455.9K-7.2M-34.0K0.0085.26110816982
2020-09-14$333.65$330.0036.4%10.4%27.0%28.7%36.0%5.0%-1.9%463.8K-9.5M-32.5K0.5886.042615821982
2020-09-15$335.32$330.0036.2%10.4%26.9%28.5%34.9%5.4%-2.7%508.2K-10.5M-31.5K0.0784.46574838983
2020-09-16$335.28$330.0036.3%10.4%26.2%28.7%36.2%6.1%-3.9%513.0K-11.0M-33.4K0.1888.498315878986
2020-09-17$331.10$330.0037.1%10.6%26.2%29.8%36.5%6.0%-1.1%629.2K-10.1M-32.1K0.5387.99179942991
2020-09-18$338.79$330.0035.5%10.2%27.8%27.4%35.3%5.3%-1.3%486.4K-12.7M-31.2K0.0988.3714013943998
2020-09-21$337.26$330.0038.5%11.0%27.8%31.8%41.3%8.0%-2.9%362.9K-8.1M-36.6K1.8887.58112211686595
2020-09-22$339.25$330.0036.5%10.5%27.9%28.9%45.3%4.4%-1.1%214.4K-6.8M-41.3K7.3584.0326191662804
2020-09-23$331.83$330.0037.8%10.8%28.8%30.7%37.8%9.3%-1.9%284.1K-6.3M-37.9K0.3178.9521668677638
2020-09-24$333.36$330.0033.6%9.6%28.8%24.8%34.4%5.0%1.2%378.5K-7.3M-39.9K0.2286.0833876833713
2020-09-25$327.26$330.0031.4%9.0%29.3%21.6%32.4%5.7%1.6%328.9K-5.8M-35.8K0.5685.556335850700
2020-09-28$332.27$330.0031.5%9.0%30.1%21.7%34.0%6.7%1.5%383.0K-6.9M-35.7K2.0887.191327848704
2020-09-29$334.49$330.0031.0%8.9%30.3%21.1%28.4%4.2%0.5%422.5K-7.4M-35.4K0.4788.84157842699
2020-09-30$333.82$330.0032.9%9.4%30.3%23.8%37.2%4.6%-0.1%396.7K-7.0M-35.9K0.7589.2343844696