FDS Options History — November 2021

In November 2021, FDS traded between $434.29 and $472.92. ATM implied volatility averaged 22.2%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 8.4% (HV 20d: 13.8%). Max pain ranged from $350.00 to $430.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2021-11-16: Highest Volume — 1,206 contracts
  • 2021-11-08: Largest IV spike — 12.9% change
  • 2021-11-30: Highest IV Rank — 37.9%
  • 2021-11-30: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$454.88$434.29$472.92$434.29$472.92
Max Pain$388.10$350.00$430.00$410.00$430.00
ATM IV22.2%18.6%25.5%20.8%25.5%
Expected Move6.4%5.6%7.3%6.0%7.3%
HV 20d13.8%12.2%16.6%13.2%14.3%
HV 60d15.7%14.7%16.7%16.6%15.6%
IV Rank24.9%11.1%37.9%19.4%37.9%
IV Percentile32.3%8.7%52.8%22.6%52.8%
Term Structure2.9%-0.6%6.0%2.0%4.8%
VWIV24.5%20.7%29.6%20.7%29.6%
Skew 25d4.1%0.7%9.3%2.9%3.6%
Skew 10d9.3%2.2%19.4%5.5%15.8%
Call IV 25d21.3%14.8%26.5%18.6%26.5%
Put IV 25d25.4%21.6%30.1%21.6%30.1%
Bid-Ask Spread %85.1876.4995.4187.6686.44
Gamma HHI0.150.110.200.200.13
Net GEX1.1M751.7K1.5M1.5M979.6K
Net DEX-35.5M-43.4M-28.1M-28.1M-33.5M
Net VEX-105.1K-115.6K-93.5K-100.8K-115.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.451.081.931.481.14
Total Volume1,069.6199291,2061,0211,192
Total OI2,312.0952,1042,5722,1042,255

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$434.29$410.0020.8%6.0%13.2%19.4%20.7%2.9%2.0%1.5M-28.1M-100.8K1.4887.664126091,306798
2021-11-02$435.80$410.0021.9%6.3%12.9%23.9%22.6%5.4%-0.6%1.4M-28.4M-108.7K1.6091.643956331,306887
2021-11-03$438.99$410.0019.4%5.6%12.5%14.1%21.9%9.3%1.3%1.4M-29.7M-107.2K1.5995.413956301,322907
2021-11-04$443.10$350.0018.6%6.3%12.5%11.1%23.3%6.5%1.5%1.4M-32.5M-103.2K1.6082.063936301,320907
2021-11-05$447.05$350.0019.9%6.3%12.5%16.2%24.1%4.4%3.5%1.4M-34.5M-102.7K1.9383.603176121,323906
2021-11-08$446.82$360.0022.5%6.0%12.4%26.2%23.8%0.7%4.6%1.3M-34.2M-102.0K1.9391.313206161,327919
2021-11-09$445.05$360.0021.8%6.6%12.5%23.4%25.3%2.1%3.0%1.4M-34.1M-100.7K1.5376.493936031,331926
2021-11-10$447.17$360.0023.8%6.8%12.2%31.0%26.5%3.6%1.6%1.3M-35.6M-105.8K1.5281.273966031,410934
2021-11-11$455.92$360.0021.4%6.1%13.1%21.8%23.4%4.5%3.7%1.3M-39.4M-100.5K1.5384.893986071,411937
2021-11-12$455.95$360.0022.4%6.4%13.2%25.7%24.2%3.3%1.4%1.3M-39.0M-106.0K1.4785.344346401,415941
2021-11-15$462.87$360.0022.3%6.4%13.7%25.5%23.0%3.1%1.7%1.2M-43.4M-93.5K1.5280.344677121,426979
2021-11-16$460.77$400.0021.7%6.2%14.0%23.0%23.3%4.4%3.7%1.0M-41.8M-108.0K1.5880.874677391,4751,052
2021-11-17$461.21$400.0023.0%6.6%14.0%28.0%24.5%5.1%2.1%976.6K-41.5M-107.1K1.3680.074666331,4791,085
2021-11-18$461.67$400.0022.0%6.3%13.9%24.4%26.4%4.0%2.8%934.7K-40.9M-114.5K1.3480.804756361,4811,085
2021-11-19$461.73$400.0023.7%6.8%13.8%31.0%24.4%3.2%3.6%958.2K-41.5M-105.0K1.3280.564746271,4721,100
2021-11-22$456.41$400.0024.7%7.1%14.7%34.6%26.8%2.4%2.2%830.5K-29.8M-108.7K1.3085.454445761,272903
2021-11-23$463.41$400.0023.3%6.7%15.3%29.2%24.7%3.1%1.4%899.9K-33.4M-97.7K1.4987.054136141,277907
2021-11-24$468.11$400.0021.6%6.2%15.3%22.8%24.7%4.6%5.1%751.7K-35.4M-97.7K1.1391.085396071,276952
2021-11-26$462.18$400.0022.3%6.4%16.4%25.5%25.0%4.4%6.0%862.3K-36.3M-115.6K1.0888.205626071,407955
2021-11-29$471.06$430.0023.3%6.7%16.6%29.2%26.0%4.7%5.4%965.5K-31.5M-106.2K1.1088.245606161,228955
2021-11-30$472.92$430.0025.5%7.3%14.3%37.9%29.6%3.6%4.8%979.6K-33.5M-115.5K1.1486.445586341,289966