FDS Options History — December 2021

In December 2021, FDS traded between $458.59 and $490.96. ATM implied volatility averaged 27.1%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 9.3% (HV 20d: 17.8%). Max pain ranged from $430.00 to $490.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2021-12-21: Highest Volume — 1,834 contracts
  • 2021-12-03: Largest IV spike — 38.1% change
  • 2021-12-03: Highest IV Rank — 92.2%
  • 2021-12-03: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$473.00$458.59$490.96$467.53$488.27
Max Pain$457.73$430.00$490.00$430.00$490.00
ATM IV27.1%20.5%39.5%26.1%20.5%
Expected Move8.0%5.9%11.3%7.5%5.9%
HV 20d17.8%15.3%19.8%15.3%16.7%
HV 60d16.0%14.8%17.2%15.6%14.8%
IV Rank44.2%18.5%92.2%40.2%18.5%
IV Percentile62.0%23.4%99.6%56.7%23.4%
Term Structure0.2%-5.6%3.6%3.6%1.0%
VWIV28.9%21.4%38.2%30.7%21.7%
Skew 25d3.2%0.3%4.9%4.0%2.1%
Skew 10d8.4%3.2%11.5%10.5%4.5%
Call IV 25d26.6%19.7%35.6%26.3%19.7%
Put IV 25d29.8%21.8%35.9%30.3%21.8%
Bid-Ask Spread %71.2856.3994.6888.0985.09
Gamma HHI0.140.080.250.140.11
Net GEX1.4M743.4K2.2M925.8K1.8M
Net DEX-32.9M-43.3M-23.5M-30.7M-35.7M
Net VEX-151.4K-240.2K-114.1K-120.3K-240.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.742.011.192.01
Total Volume1,349.8641,0321,8341,1671,293
Total OI3,117.3642,3044,6622,3044,662

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$467.53$430.0026.1%7.5%15.3%40.2%30.7%4.0%3.6%925.8K-30.7M-120.3K1.1988.095346331,3011,003
2021-12-02$468.79$430.0028.6%8.2%15.3%49.8%29.1%4.7%1.2%878.4K-30.9M-120.0K1.0188.756466541,3011,004
2021-12-03$463.06$430.0039.5%11.3%16.1%92.2%38.2%0.3%-5.6%1.1M-29.1M-130.1K1.6094.684106551,398989
2021-12-06$458.59$450.0032.4%9.0%16.4%64.5%32.8%4.8%-0.9%1.1M-27.5M-123.1K1.5265.434166331,404990
2021-12-07$465.66$440.0026.1%8.7%17.1%40.3%32.1%2.6%-0.2%1.3M-31.6M-120.6K1.5261.544196351,421993
2021-12-08$473.03$440.0023.7%8.4%17.6%30.8%31.2%3.3%-0.6%1.6M-36.2M-114.1K1.4357.314246081,432995
2021-12-09$462.32$440.0026.6%8.7%19.8%42.3%30.7%3.6%0.5%1.2M-29.8M-118.6K1.2858.204926301,4391,016
2021-12-10$463.64$460.0023.7%8.5%18.7%31.0%29.5%3.4%0.3%1.2M-32.4M-116.3K1.3363.184976631,4841,035
2021-12-13$468.39$460.0028.0%8.3%19.0%47.5%29.5%2.4%-0.0%1.4M-34.6M-118.1K1.7062.435158781,5001,102
2021-12-14$462.83$460.0031.9%8.7%18.8%62.8%31.0%4.9%-1.1%1.2M-31.5M-140.0K1.5567.275558621,6131,325
2021-12-15$468.02$460.0030.8%8.8%19.2%58.6%31.0%4.8%-3.1%1.9M-37.4M-134.6K1.6966.105008451,6621,359
2021-12-16$471.29$460.0030.1%8.6%19.3%55.8%31.0%2.5%0.5%2.2M-39.2M-133.5K1.5856.395688971,6631,393
2021-12-17$470.60$460.0030.9%8.9%19.3%58.9%31.8%4.0%-0.9%1.8M-37.4M-133.7K1.5666.366339851,6721,480
2021-12-20$471.63$460.0032.9%9.4%19.3%66.6%34.2%3.0%-0.0%743.4K-23.5M-132.1K0.7456.719967351,1591,158
2021-12-21$471.53$460.0026.1%7.5%18.7%40.2%28.8%1.7%1.8%1.1M-24.9M-159.7K1.4971.247371,0971,6591,490
2021-12-22$475.91$460.0023.6%6.8%18.3%30.6%24.6%1.0%1.3%1.1M-27.0M-159.9K1.4872.645698401,6741,789
2021-12-23$481.96$460.0023.0%6.6%18.4%28.1%24.9%3.2%2.0%1.2M-29.5M-165.0K1.0370.037117301,7261,934
2021-12-27$484.43$460.0024.5%7.0%17.7%33.8%24.8%4.0%0.9%1.6M-35.0M-195.4K0.9874.318198012,0482,069
2021-12-28$490.54$480.0022.8%6.5%17.0%27.5%23.5%3.0%1.1%1.8M-38.9M-205.4K0.8076.038216562,1092,146
2021-12-29$490.96$490.0022.4%6.4%17.0%25.9%21.4%3.5%0.9%2.0M-43.3M-221.9K0.9983.866836742,3142,160
2021-12-30$486.91$490.0022.8%6.5%16.7%27.5%24.3%3.7%1.1%1.8M-37.9M-228.6K1.8682.584728762,3252,186
2021-12-31$488.27$490.0020.5%5.9%16.7%18.5%21.7%2.1%1.0%1.8M-35.7M-240.2K2.0185.094298642,3472,315