FDS Options History — August 2021

In August 2021, FDS traded between $357.12 and $381.47. ATM implied volatility averaged 18.9%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.0% (HV 20d: 15.9%). 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 21 of 22 days. Put/call ratio averaged 1.23.

Notable Days

  • 2021-08-25: Highest Volume — 87 contracts
  • 2021-08-03: Largest IV drop — 13.7% change
  • 2021-08-02: Highest IV Rank — 21.0%
  • 2021-08-02: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$367.57$357.12$381.47$360.62$380.30
Max Pain$328.18$320.00$340.00$340.00$340.00
ATM IV18.9%16.7%22.2%22.2%17.2%
Expected Move5.5%4.8%6.4%6.4%4.9%
HV 20d15.9%12.7%19.0%14.2%17.5%
HV 60d14.5%13.3%15.4%15.2%13.9%
IV Rank7.8%0.0%21.0%21.0%1.8%
IV Percentile4.8%0.0%15.5%11.5%1.6%
Term Structure4.2%-2.3%9.7%-2.3%6.6%
VWIV19.3%16.2%23.6%19.6%17.0%
Skew 25d2.0%-0.0%5.0%4.8%1.9%
Skew 10d5.2%-0.7%11.2%8.9%6.8%
Call IV 25d18.2%16.1%21.0%18.1%16.9%
Put IV 25d20.2%17.2%22.9%22.9%18.7%
Bid-Ask Spread %94.4289.73100.7696.7194.73
Gamma HHI0.240.160.390.160.32
Net GEX1.1M716.9K1.6M885.9K1.1M
Net DEX-10.7M-15.2M-7.7M-9.4M-12.2M
Net VEX-37.8K-44.8K-32.8K-40.1K-44.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.008.201.671.35
Total Volume37.5912874054
Total OI1,297.9091,0961,4111,2941,331

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$360.62$340.0022.2%6.4%14.2%21.0%19.6%4.8%-2.3%885.9K-9.4M-40.1K1.6796.711525851443
2021-08-03$357.12$340.0019.1%5.5%14.8%8.5%21.6%5.0%2.3%875.8K-8.7M-40.5K0.0099.88013852442
2021-08-04$360.07$340.0018.8%5.4%14.9%7.0%19.5%1.3%2.2%947.9K-8.9M-37.7K0.3397.8593854442
2021-08-05$358.45$320.0017.9%5.9%15.1%3.6%21.5%3.5%3.4%921.3K-8.6M-38.2K0.3392.7593854453
2021-08-06$361.76$320.0019.2%5.4%15.1%8.7%0.0%1.1%6.1%966.5K-9.7M-38.4K1.0092.2011851454
2021-08-09$363.03$320.0019.6%5.6%14.3%10.2%19.7%1.5%4.7%1.0M-10.1M-37.4K0.3691.94114850456
2021-08-10$362.09$320.0017.1%5.9%13.8%0.3%20.8%3.0%3.6%1.1M-9.8M-36.0K1.6793.9635850457
2021-08-11$363.53$320.0019.4%5.6%13.7%9.5%19.4%0.8%4.1%1.1M-10.4M-36.4K0.0093.48130854458
2021-08-12$362.85$320.0019.1%5.5%13.7%8.2%19.0%1.3%4.7%1.1M-10.2M-36.1K0.0391.16371856461
2021-08-13$367.62$320.0017.5%5.0%14.1%1.7%18.2%2.2%5.3%1.2M-12.1M-34.0K0.0395.24311856461
2021-08-16$373.39$320.0019.7%5.6%13.0%10.6%16.2%2.1%3.7%1.1M-14.5M-35.3K0.8393.731815870462
2021-08-17$375.03$320.0020.2%5.8%12.7%12.8%21.1%2.2%3.3%1.1M-15.2M-36.4K0.2690.81236876462
2021-08-18$363.09$320.0021.2%6.1%18.3%17.0%19.4%1.8%4.3%1.3M-10.5M-33.8K1.2491.253847889465
2021-08-19$364.62$320.0022.0%6.3%18.2%20.3%20.7%1.9%1.3%1.3M-11.2M-34.8K0.1089.73525899468
2021-08-20$368.47$330.0019.6%5.6%18.0%10.3%23.6%1.8%5.1%1.6M-12.8M-36.2K0.0090.46380917494
2021-08-23$367.37$330.0018.1%5.2%17.8%4.3%18.7%1.7%5.5%716.9K-7.7M-32.8K8.2095.09541753343
2021-08-24$367.99$330.0019.3%5.5%17.8%9.1%21.2%2.4%2.7%836.8K-8.5M-35.7K2.1793.96613833343
2021-08-25$376.04$330.0017.9%5.1%18.9%3.5%16.7%1.9%4.8%956.0K-10.9M-39.2K0.2496.157017837384
2021-08-26$374.66$340.0017.9%5.1%19.0%3.6%17.2%1.6%3.6%932.8K-10.3M-39.6K0.9597.514240840395
2021-08-27$376.96$340.0016.8%4.8%17.9%0.0%16.4%-0.0%6.8%1.0M-11.1M-43.4K0.3597.98207881412
2021-08-30$381.47$340.0016.7%4.8%17.9%0.0%17.4%0.9%9.7%1.1M-13.3M-44.5K4.67100.761570896449
2021-08-31$380.30$340.0017.2%4.9%17.5%1.8%17.0%1.9%6.6%1.1M-12.2M-44.8K1.3594.732331888443