FDS Options History — September 2021

In September 2021, FDS traded between $372.09 and $396.46. ATM implied volatility averaged 24.5%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 8.2% (HV 20d: 16.4%). Max pain ranged from $340.00 to $370.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 5.00.

Notable Days

  • 2021-09-27: Highest Volume — 344 contracts
  • 2021-09-08: Largest IV spike — 34.7% change
  • 2021-09-23: Highest IV Rank — 60.9%
  • 2021-09-23: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$382.06$372.09$396.46$386.32$396.46
Max Pain$368.10$340.00$370.00$340.00$370.00
ATM IV24.5%15.8%31.4%16.6%21.9%
Expected Move7.3%4.8%9.0%4.8%6.3%
HV 20d16.4%12.2%19.4%18.0%18.7%
HV 60d14.8%14.1%17.0%14.1%17.0%
IV Rank33.8%0.0%60.9%0.0%23.9%
IV Percentile35.8%0.0%75.8%0.0%21.0%
Term Structure-0.8%-6.5%9.5%9.5%1.3%
VWIV26.0%19.1%30.5%19.1%22.8%
Skew 25d3.6%-1.3%8.3%3.8%-1.3%
Skew 10d6.0%0.0%11.0%10.5%5.7%
Call IV 25d24.0%15.6%29.9%15.6%23.8%
Put IV 25d27.6%19.4%35.2%19.4%22.5%
Bid-Ask Spread %86.3079.76104.09104.0992.64
Gamma HHI0.220.120.350.280.13
Net GEX549.4K-273.1K1.1M1.0M1.0M
Net DEX-6.7M-14.5M855.3K-14.3M-13.4M
Net VEX-70.7K-82.1K-49.6K-49.6K-80.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.000.0157.002.310.67
Total Volume109.048234423570
Total OI1,807.3331,4252,1381,4252,138

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$386.32$340.0016.6%4.8%18.0%0.0%19.1%3.8%9.5%1.0M-14.3M-49.6K2.31104.0971164891534
2021-09-02$386.38$360.0019.8%6.5%17.8%12.7%23.4%3.0%0.2%1.0M-14.5M-50.5K1.7681.5859104892564
2021-09-03$386.54$370.0015.8%6.5%17.7%0.0%24.2%2.9%-0.1%954.6K-13.2M-58.5K0.8181.394335918714
2021-09-07$382.18$370.0017.9%6.8%18.4%8.4%26.5%4.3%-1.0%1.1M-9.0M-64.4K7.2581.20858927802
2021-09-08$385.24$370.0024.2%6.9%18.4%32.7%25.5%2.5%-1.5%997.4K-10.8M-65.4K18.3379.766110940856
2021-09-09$384.72$370.0024.6%7.1%18.5%34.5%29.7%7.2%-1.7%915.0K-9.6M-67.7K57.0081.39157939922
2021-09-10$385.18$370.0025.4%7.3%18.4%37.4%0.0%4.2%-1.4%719.9K-9.1M-71.6K1.0082.62119361,020
2021-09-13$382.80$370.0025.4%7.3%18.3%37.5%25.7%2.4%0.3%827.1K-7.2M-69.5K1.5882.9412199371,063
2021-09-14$384.79$370.0024.5%7.0%17.6%34.0%26.6%4.2%1.1%751.9K-8.5M-69.4K3.5082.9910359371,063
2021-09-15$384.06$370.0026.6%7.6%17.6%42.2%28.3%4.7%1.5%887.9K-8.0M-69.5K3.5082.09279371,080
2021-09-16$383.29$370.0026.9%7.7%12.5%43.3%30.5%5.3%-3.0%784.4K-7.3M-69.0K0.2984.87229679411,113
2021-09-17$376.44$370.0027.3%7.8%14.5%44.7%0.0%4.6%-1.1%1.0M-1.5M-68.1K0.0587.825839421,116
2021-09-20$373.10$370.0029.1%8.3%14.5%51.8%28.7%0.7%-2.8%-273.1K648.2K-79.1K1.8086.3759668939
2021-09-21$372.09$370.0028.5%8.2%14.5%49.4%28.1%1.9%-1.9%-266.5K855.3K-80.0K2.2084.50511694940
2021-09-22$374.59$370.0029.9%8.6%14.7%54.9%26.3%3.8%-3.7%-223.2K29.5K-79.0K0.0187.42871695950
2021-09-23$373.63$370.0031.4%9.0%12.5%60.9%0.0%8.3%-6.5%-240.7K424.3K-78.6K0.1087.31202697960
2021-09-24$372.52$370.0028.9%8.3%12.5%51.0%29.1%6.3%-3.3%-239.1K582.4K-78.8K0.8191.095242721959
2021-09-27$372.16$370.0028.5%8.2%12.2%49.4%30.0%3.4%-4.2%-261.7K662.9K-77.7K0.7686.28196148741961
2021-09-28$384.85$370.0021.4%6.1%16.8%21.9%22.2%1.2%1.3%157.4K-5.4M-76.2K1.0091.331231237911,003
2021-09-29$395.85$370.0020.9%6.0%19.4%19.9%21.0%1.7%1.0%912.9K-12.6M-82.1K0.3492.53176609831,130
2021-09-30$396.46$370.0021.9%6.3%18.7%23.9%22.8%-1.3%1.3%1.0M-13.4M-80.5K0.6792.6442289971,141