FDS Options History — October 2020

In October 2020, FDS traded between $305.19 and $340.45. ATM implied volatility averaged 32.2%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 12.2% (HV 20d: 19.9%). 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 12 of 22 days. Put/call ratio averaged 3.03.

Notable Days

  • 2020-10-01: Highest Volume — 212 contracts
  • 2020-10-28: Largest IV spike — 19.7% change
  • 2020-10-30: Highest IV Rank — 34.2%
  • 2020-10-30: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$326.79$305.19$340.45$327.18$305.19
Max Pain$320.00$310.00$330.00$330.00$310.00
ATM IV32.2%26.5%40.2%33.0%40.2%
Expected Move9.0%7.6%11.5%9.5%11.5%
HV 20d19.9%16.0%30.5%30.5%18.5%
HV 60d20.9%20.5%21.5%21.1%21.4%
IV Rank22.7%14.5%34.2%23.9%34.2%
IV Percentile54.9%29.0%84.1%62.7%84.1%
Term Structure0.2%-2.8%3.3%1.1%-2.8%
VWIV31.9%26.5%38.5%33.3%36.6%
Skew 25d5.7%1.9%8.8%4.9%8.8%
Skew 10d14.3%10.9%19.3%13.5%15.9%
Call IV 25d29.6%26.0%37.5%30.7%37.5%
Put IV 25d35.3%28.0%46.3%35.6%46.3%
Bid-Ask Spread %87.8282.7992.2090.3991.60
Gamma HHI0.170.120.370.130.13
Net GEX274.8K22.0K888.4K329.4K22.0K
Net DEX-5.2M-11.0M718.4K-5.7M718.4K
Net VEX-41.7K-47.7K-35.2K-35.2K-38.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.030.0020.500.0420.50
Total Volume47.5021221286
Total OI1,828.0451,5422,2351,5421,734

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$327.18$330.0033.0%9.5%30.5%23.9%33.3%4.9%1.1%329.4K-5.7M-35.2K0.0490.392039845697
2020-10-02$325.24$330.0032.7%9.4%27.3%23.5%34.5%8.1%2.2%321.3K-6.1M-42.0K3.3387.911860931706
2020-10-05$323.02$320.0032.5%9.8%26.5%23.1%35.6%6.1%-0.7%232.1K-5.3M-40.8K1.1182.884651941753
2020-10-06$322.69$320.0034.8%9.2%24.2%26.5%33.9%6.4%-1.6%114.6K-3.4M-47.7K3.0083.8939960917
2020-10-07$325.09$320.0033.8%8.8%21.3%25.0%30.6%5.1%0.1%114.7K-3.7M-46.3K5.5085.32633960920
2020-10-08$327.74$320.0032.8%8.6%19.8%23.6%30.5%6.7%-0.2%153.6K-4.4M-47.1K4.6782.791884965945
2020-10-09$327.52$320.0028.9%8.5%19.8%18.0%0.0%4.7%0.9%163.2K-4.6M-45.8K0.0686.851719721,216
2020-10-12$329.47$320.0034.5%8.1%18.3%26.1%28.4%4.7%3.3%218.8K-5.1M-43.9K0.0785.368469711,217
2020-10-13$335.69$320.0035.4%8.1%19.5%27.3%29.8%5.8%-1.5%499.9K-8.4M-44.2K0.2984.25721,0161,219
2020-10-14$335.72$320.0028.9%8.3%19.5%18.0%29.7%5.2%-2.2%494.3K-8.4M-43.9K0.3887.36831,0161,219
2020-10-15$338.57$320.0028.4%8.2%19.1%17.4%28.7%4.8%-1.7%886.6K-10.1M-41.5K0.0088.411001,0151,218
2020-10-16$340.45$320.0026.5%7.6%17.4%14.5%26.9%1.9%0.6%888.4K-11.0M-40.6K0.0391.363511,0131,218
2020-10-19$334.29$320.0028.6%8.2%18.5%17.6%26.7%4.3%1.3%232.7K-6.6M-40.7K0.0790.98141593983
2020-10-20$334.25$320.0027.3%7.8%18.4%15.7%26.5%4.5%3.1%253.3K-6.6M-39.7K0.0092.2090605984
2020-10-21$333.25$320.0030.3%8.7%16.6%20.1%0.0%6.0%1.1%258.8K-6.5M-40.0K0.0091.6300614984
2020-10-22$328.57$320.0030.2%8.7%17.3%19.9%34.3%3.7%0.7%215.3K-5.7M-42.2K0.0090.40026614984
2020-10-23$329.27$320.0029.4%8.4%16.0%18.7%0.0%4.5%1.4%208.2K-5.3M-40.6K0.0089.54206181,008
2020-10-26$321.51$320.0032.5%9.3%17.1%23.2%31.6%7.6%-0.0%151.3K-3.4M-39.7K0.5084.6120106201,008
2020-10-27$320.60$320.0032.0%9.2%16.8%22.4%32.4%6.7%-0.5%138.0K-3.2M-40.0K13.0085.842266251,018
2020-10-28$312.87$320.0038.3%11.0%18.6%31.5%38.5%8.6%-1.9%92.2K-1.7M-38.5K8.0889.0212976251,012
2020-10-29$311.15$310.0036.8%10.6%17.5%29.4%37.5%7.4%1.2%56.7K-1.1M-38.9K0.0489.402516301,108
2020-10-30$305.19$310.0040.2%11.5%18.5%34.2%36.6%8.8%-2.8%22.0K718.4K-38.1K20.5091.604826251,109