FDS Options History — March 2021

In March 2021, FDS traded between $305.22 and $324.81. ATM implied volatility averaged 31.1%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 6.1% (HV 20d: 25.0%). Max pain ranged from $290.00 to $320.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 3.28.

Notable Days

  • 2021-03-19: Highest Volume — 2,055 contracts
  • 2021-03-31: Largest IV drop — 18.0% change
  • 2021-03-29: Highest IV Rank — 26.8%
  • 2021-03-04: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$314.98$305.22$324.81$311.63$309.40
Max Pain$300.43$290.00$320.00$300.00$310.00
ATM IV31.1%24.7%34.3%28.9%24.7%
Expected Move9.0%7.1%10.4%8.3%7.1%
HV 20d25.0%19.7%28.2%28.2%24.9%
HV 60d24.0%23.1%24.7%24.7%24.4%
IV Rank14.2%3.6%26.8%8.9%3.6%
IV Percentile44.4%1.2%69.4%27.4%1.2%
Term Structure-1.7%-8.5%4.8%4.0%1.4%
VWIV32.9%25.1%39.6%38.8%25.1%
Skew 25d4.4%1.8%13.3%5.2%1.8%
Skew 10d10.0%3.8%19.4%7.4%4.6%
Call IV 25d29.7%24.9%32.4%28.8%24.9%
Put IV 25d34.1%26.7%39.2%34.0%26.7%
Bid-Ask Spread %85.3276.9294.5193.3190.28
Gamma HHI0.130.100.240.110.13
Net GEX96.1K-87.9K288.9K92.9K-87.9K
Net DEX-2.0M-3.6M264.3K-1.6M264.3K
Net VEX-33.6K-39.8K-28.3K-34.6K-39.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.280.0035.003.000.78
Total Volume155.56542,0554471
Total OI1,119.2177591,3691,1361,369

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$311.63$300.0028.9%8.3%28.2%8.9%38.8%5.2%4.0%92.9K-1.6M-34.6K3.0093.311133710426
2021-03-02$311.15$300.0028.2%8.1%25.5%7.6%30.4%4.2%4.8%78.4K-1.5M-33.3K35.0094.51135714442
2021-03-03$310.82$300.0029.0%8.3%24.7%9.0%27.1%6.1%2.9%56.4K-1.1M-34.7K0.1193.68182715459
2021-03-04$305.22$290.0025.9%10.4%25.3%4.0%39.6%13.3%-2.6%-19.4K-8.2K-32.9K4.6785.47314715459
2021-03-05$313.33$290.0030.4%9.0%27.2%11.2%32.1%4.2%-1.1%78.2K-1.3M-33.8K0.9379.024037715466
2021-03-08$315.66$300.0033.7%9.3%27.3%16.5%35.1%3.6%-2.4%126.5K-2.5M-33.9K2.8076.92514716461
2021-03-09$312.96$300.0034.0%9.7%27.2%16.9%32.7%4.9%-3.3%86.9K-2.1M-33.5K0.1480.11213718455
2021-03-10$311.65$300.0032.5%9.3%26.6%14.5%0.0%4.1%-2.4%74.6K-1.9M-32.1K0.0079.5540728455
2021-03-11$313.35$300.0032.8%9.4%26.0%15.0%32.4%4.5%-3.0%108.9K-2.2M-30.5K0.0080.6590732455
2021-03-12$310.79$300.0031.8%9.1%24.8%13.4%34.3%3.1%-1.1%58.1K-1.8M-31.0K1.0980.832224737455
2021-03-15$317.71$300.0031.8%9.1%26.1%13.5%0.0%3.0%-2.0%211.4K-3.2M-31.9K0.7180.641410744476
2021-03-16$318.16$300.0030.6%8.8%25.8%11.6%35.8%5.1%1.3%288.9K-3.6M-31.4K0.3681.69114741467
2021-03-17$315.19$300.0030.0%8.6%25.8%10.6%35.0%2.2%0.8%107.6K-2.6M-29.3K0.1686.47315737468
2021-03-18$311.20$300.0031.3%9.0%25.7%12.6%31.5%2.5%0.1%-31.1K-1.3M-29.4K1.5084.1469717473
2021-03-19$316.50$300.0029.2%8.4%25.9%9.3%30.4%2.1%1.1%96.6K-1.8M-28.3K6.1482.592881,767720480
2021-03-22$314.03$300.0034.2%9.8%22.9%17.3%29.9%6.7%-8.5%66.5K-1.3M-29.2K0.1983.957514420339
2021-03-23$321.02$300.0033.7%9.7%24.0%16.5%33.1%2.3%-7.8%151.9K-2.7M-35.6K1.0689.743234487363
2021-03-24$322.43$300.0034.3%9.8%23.6%24.2%32.2%6.3%-3.8%166.2K-2.9M-37.1K3.8090.42519511395
2021-03-25$320.79$300.0033.3%9.5%22.7%22.2%35.6%3.8%-5.5%155.7K-2.8M-36.8K0.6384.4385513391
2021-03-26$324.62$300.0032.2%9.2%20.9%22.9%35.5%6.7%-4.5%185.2K-3.4M-37.5K8.7187.10761517392
2021-03-29$324.81$300.0033.3%9.5%19.7%26.8%33.9%2.7%-5.4%165.0K-3.4M-38.3K0.6684.23244160517432
2021-03-30$312.22$320.0030.1%8.6%24.6%18.2%31.0%3.0%-2.8%-6.7K-745.5K-38.8K2.9492.57102300750590
2021-03-31$309.40$310.0024.7%7.1%24.9%3.6%25.1%1.8%1.4%-87.9K264.3K-39.8K0.7890.284031753616