FDS Options History — December 2020

In December 2020, FDS traded between $325.90 and $352.24. ATM implied volatility averaged 31.1%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.2% (HV 20d: 28.0%). Max pain ranged from $320.00 to $340.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2020-12-18: Highest Volume — 311 contracts
  • 2020-12-09: Largest IV spike — 16.0% change
  • 2020-12-17: Highest IV Rank — 28.3%
  • 2020-12-17: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$340.01$325.90$352.24$340.65$332.16
Max Pain$330.00$320.00$340.00$320.00$330.00
ATM IV31.1%28.3%36.1%28.8%30.0%
Expected Move9.1%8.1%10.4%8.3%8.6%
HV 20d28.0%22.4%35.0%35.0%25.0%
HV 60d26.9%26.0%27.8%27.8%27.4%
IV Rank21.2%17.2%28.3%17.8%19.6%
IV Percentile46.2%25.8%70.2%32.9%39.7%
Term Structure-2.1%-7.5%3.8%2.7%-1.7%
VWIV32.6%28.9%38.0%28.9%29.7%
Skew 25d3.3%2.1%5.4%2.8%4.7%
Skew 10d8.5%5.5%12.5%9.2%8.1%
Call IV 25d30.7%27.4%33.5%28.2%27.4%
Put IV 25d34.0%30.8%37.0%31.0%32.0%
Bid-Ask Spread %77.3968.9790.8290.8285.61
Gamma HHI0.260.110.620.270.13
Net GEX504.6K89.7K1.1M500.3K328.9K
Net DEX-8.3M-14.4M-1.1M-9.9M-3.1M
Net VEX-31.0K-33.5K-26.6K-33.4K-30.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.063.360.060.50
Total Volume96.045103113375
Total OI1,563.8649142,0141,6311,265

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$340.65$320.0028.8%8.3%35.0%17.8%28.9%2.8%2.7%500.3K-9.9M-33.4K0.0690.82312729902
2020-12-02$336.00$320.0028.6%8.2%34.3%17.6%29.4%2.3%3.8%442.5K-8.6M-33.5K3.3689.982584738902
2020-12-03$346.14$330.0028.3%9.3%34.6%17.2%32.2%3.4%-3.7%612.1K-12.3M-32.5K0.6770.172114756939
2020-12-04$350.20$330.0029.0%9.1%34.6%18.2%38.0%3.3%-2.0%645.4K-13.4M-32.4K0.9170.915449766935
2020-12-07$351.66$330.0030.4%9.8%34.4%20.1%33.4%5.4%-5.1%668.2K-14.1M-31.6K0.2168.975612768947
2020-12-08$348.38$330.0028.4%9.4%29.0%17.2%0.0%3.6%-1.8%714.5K-13.4M-32.3K0.7370.25118799950
2020-12-09$344.69$330.0032.9%9.4%29.4%23.7%35.8%4.2%-1.6%663.3K-11.7M-33.3K0.5971.422213800958
2020-12-10$348.29$330.0033.4%9.6%27.0%24.5%34.3%3.1%-2.0%717.4K-13.3M-31.5K1.4873.172537812972
2020-12-11$352.24$330.0033.5%9.6%23.9%24.5%32.9%2.9%-0.9%770.8K-14.4M-32.0K0.3872.621358121,008
2020-12-14$345.52$330.0035.4%10.1%25.1%27.2%34.5%3.9%-3.8%742.7K-12.3M-29.6K1.1974.6042508091,010
2020-12-15$346.90$330.0035.9%10.3%25.0%28.0%35.3%3.5%-3.4%791.2K-12.7M-29.5K0.1373.43199258231,053
2020-12-16$345.18$330.0033.2%9.5%23.6%24.1%35.2%2.4%-1.7%718.9K-10.7M-26.6K2.0775.7229608351,077
2020-12-17$344.68$330.0036.1%10.4%22.4%28.3%35.0%4.4%-5.5%619.3K-10.2M-26.7K0.1174.7287108441,126
2020-12-18$346.88$330.0033.9%9.7%22.4%25.2%34.8%3.2%-3.5%1.1M-10.9M-28.0K0.6569.901891228741,140
2020-12-21$331.53$340.0032.6%9.3%27.9%23.2%32.8%3.6%-7.5%170.9K-2.2M-29.4K0.9477.99126119553361
2020-12-22$331.09$340.0030.6%8.8%27.2%20.4%32.1%3.2%-1.2%178.9K-2.1M-31.7K0.7279.2311079618458
2020-12-23$325.90$330.0029.8%8.5%27.9%19.3%30.6%3.2%-1.5%102.5K-1.1M-31.6K0.8778.838271650488
2020-12-24$326.70$330.0029.1%8.3%27.8%18.2%31.1%2.2%-1.9%89.7K-1.2M-33.1K0.5081.592010658534
2020-12-28$330.83$330.0028.4%8.1%28.1%17.3%29.3%3.8%-0.6%202.7K-2.4M-31.6K0.2984.437020672539
2020-12-29$327.06$330.0028.3%8.1%26.2%17.2%29.4%2.2%-1.0%169.9K-1.7M-31.3K0.4383.9273725535
2020-12-30$327.43$330.0028.5%8.2%24.8%17.5%30.1%2.1%-1.9%180.6K-1.7M-30.2K1.8984.28917730535
2020-12-31$332.16$330.0030.0%8.6%25.0%19.6%29.7%4.7%-1.7%328.9K-3.1M-30.7K0.5085.615025731534