FDS Options History — November 2020

In November 2020, FDS traded between $310.30 and $336.04. ATM implied volatility averaged 32.1%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 0.5% (HV 20d: 31.5%). Max pain ranged from $310.00 to $320.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 4.24.

Notable Days

2020-11-03: Highest Volume — 302 contracts
2020-11-09: Largest IV spike — 21.3% change
2020-11-02: Highest IV Rank — 35.5%
2020-11-02: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$324.49	$310.30	$336.04	$310.30	$333.37
Max Pain	$319.00	$310.00	$320.00	$310.00	$320.00
ATM IV	32.1%	26.9%	41.1%	41.1%	28.6%
Expected Move	9.3%	7.7%	11.8%	11.8%	8.2%
HV 20d	31.5%	19.7%	36.0%	19.7%	34.7%
HV 60d	26.3%	21.7%	28.3%	21.7%	27.7%
IV Rank	22.5%	15.1%	35.5%	35.5%	17.6%
IV Percentile	50.2%	23.0%	86.9%	86.9%	31.7%
Term Structure	-0.6%	-4.2%	5.2%	-2.3%	4.0%
VWIV	34.5%	27.4%	43.3%	40.7%	29.4%
Skew 25d	6.1%	1.7%	10.2%	9.7%	1.8%
Skew 10d	14.7%	3.5%	32.3%	9.3%	3.5%
Call IV 25d	32.1%	27.2%	37.1%	37.1%	29.7%
Put IV 25d	38.2%	31.4%	46.7%	46.7%	31.6%
Bid-Ask Spread %	88.95	83.54	95.55	93.93	89.98
Gamma HHI	0.17	0.14	0.24	0.15	0.24
Net GEX	122.3K	-12.8K	330.3K	299	330.3K
Net DEX	-3.9M	-7.1M	-173.2K	-173.2K	-7.1M
Net VEX	-36.7K	-41.2K	-30.9K	-39.6K	-30.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.24	0.00	49.33	2.00	0.10
Total Volume	49.8	3	302	6	99
Total OI	1,997.25	1,512	2,234	1,817	1,564

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-11-02	$310.30	$310.00	41.1%	11.8%	19.7%	35.5%	40.7%	9.7%	-2.3%	299	-173.2K	-39.6K	2.00	93.93	2	4	624	1,193
2020-11-03	$319.57	$310.00	38.0%	10.9%	22.7%	31.1%	35.3%	7.5%	-4.1%	48.0K	-2.2M	-41.2K	49.33	95.55	6	296	624	1,193
2020-11-04	$328.37	$320.00	30.4%	8.7%	24.6%	20.2%	30.6%	5.4%	5.2%	129.7K	-4.7M	-41.1K	2.00	94.90	4	8	632	1,493
2020-11-05	$331.94	$320.00	33.3%	9.5%	24.7%	24.3%	32.8%	10.2%	-2.5%	153.9K	-5.4M	-39.9K	0.03	91.78	58	2	631	1,497
2020-11-06	$336.04	$320.00	28.4%	9.2%	25.0%	17.2%	33.2%	6.6%	-1.9%	248.3K	-7.1M	-40.6K	0.35	87.76	17	6	668	1,499
2020-11-09	$319.98	$320.00	34.4%	9.7%	30.6%	25.9%	38.9%	7.9%	-1.9%	86.6K	-2.8M	-39.6K	1.00	86.10	8	8	682	1,504
2020-11-10	$323.63	$320.00	31.6%	9.7%	30.1%	21.9%	35.2%	6.7%	-2.6%	95.8K	-3.5M	-40.0K	2.00	83.91	1	2	687	1,510
2020-11-11	$335.21	$320.00	33.0%	9.5%	32.9%	23.9%	38.0%	5.1%	-4.2%	260.8K	-7.1M	-39.1K	1.67	83.54	3	5	686	1,510
2020-11-12	$324.43	$320.00	34.9%	10.0%	34.6%	26.7%	34.2%	6.8%	-4.2%	132.5K	-3.8M	-38.9K	3.20	85.17	5	16	687	1,513
2020-11-13	$328.14	$320.00	33.1%	9.5%	34.9%	24.0%	35.5%	6.5%	-3.4%	148.2K	-4.7M	-38.1K	0.50	84.58	4	2	689	1,523
2020-11-16	$330.56	$320.00	33.8%	9.7%	34.4%	25.0%	32.9%	1.7%	-3.8%	165.4K	-5.6M	-37.3K	1.00	86.50	2	2	688	1,525
2020-11-17	$323.71	$320.00	31.7%	9.1%	35.2%	22.0%	34.4%	7.3%	-1.8%	69.1K	-3.4M	-34.9K	1.75	87.25	4	7	688	1,525
2020-11-18	$318.05	$320.00	32.8%	9.4%	35.7%	23.6%	37.6%	7.2%	-2.3%	4.2K	-1.7M	-33.9K	2.13	89.04	8	17	691	1,528
2020-11-19	$318.08	$320.00	31.4%	9.0%	35.4%	21.6%	43.3%	8.3%	-0.1%	-12.8K	-1.7M	-33.4K	0.64	90.31	11	7	691	1,532
2020-11-20	$323.73	$320.00	30.3%	8.7%	36.0%	20.0%	33.3%	7.0%	1.8%	78.3K	-3.5M	-33.4K	0.72	89.43	40	29	695	1,539
2020-11-23	$318.75	$320.00	32.6%	9.3%	35.4%	23.3%	36.9%	4.3%	-0.4%	78.7K	-2.2M	-33.7K	0.53	89.66	57	30	623	889
2020-11-24	$319.83	$320.00	27.2%	7.8%	35.4%	15.6%	27.8%	4.7%	2.8%	91.0K	-2.6M	-33.8K	15.17	90.65	12	182	669	910
2020-11-25	$322.64	$320.00	27.6%	7.9%	34.4%	16.2%	27.4%	4.3%	4.4%	154.7K	-3.9M	-32.2K	0.00	88.96	27	0	673	895
2020-11-27	$323.37	$320.00	26.9%	7.7%	34.3%	15.1%	31.8%	2.9%	4.5%	183.4K	-4.0M	-32.3K	0.67	90.03	3	2	680	895
2020-11-30	$333.37	$320.00	28.6%	8.2%	34.7%	17.6%	29.4%	1.8%	4.0%	330.3K	-7.1M	-30.9K	0.10	89.98	90	9	669	895