FDS Options History — January 2022

In January 2022, FDS traded between $405.97 and $475.72. ATM implied volatility averaged 28.2%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.7% (HV 20d: 21.5%). Max pain ranged from $430.00 to $490.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.87.

Notable Days

  • 2022-01-03: Highest Volume — 1,571 contracts
  • 2022-01-21: Largest IV spike — 17.5% change
  • 2022-01-27: Highest IV Rank — 75.8%
  • 2022-01-26: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$433.29$405.97$475.72$475.72$418.93
Max Pain$456.50$430.00$490.00$490.00$430.00
ATM IV28.2%22.1%34.1%22.1%29.3%
Expected Move8.0%6.3%9.8%6.3%8.4%
HV 20d21.5%18.8%24.3%18.9%24.3%
HV 60d18.9%16.0%20.4%16.0%20.4%
IV Rank49.1%24.6%75.8%24.6%57.2%
IV Percentile72.3%32.9%97.2%32.9%83.3%
Term Structure-0.1%-3.0%2.2%0.2%-1.3%
VWIV27.6%18.9%35.0%18.9%29.9%
Skew 25d5.3%1.7%10.9%3.2%6.3%
Skew 10d8.2%-1.1%14.2%5.2%13.4%
Call IV 25d25.7%21.6%29.8%21.6%26.0%
Put IV 25d31.1%24.8%38.8%24.8%32.3%
Bid-Ask Spread %72.5461.7983.5281.4181.38
Gamma HHI0.090.060.150.090.06
Net GEX-184.5K-1.3M1.3M1.3M60.5K
Net DEX5.0M-24.6M19.6M-24.6M7.6M
Net VEX-189.1K-230.1K-149.9K-225.0K-168.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.982.672.671.24
Total Volume1,377.51,0001,5711,5711,012
Total OI4,613.553,4655,3074,6683,685

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$475.72$490.0022.1%6.3%18.9%24.6%18.9%3.2%0.2%1.3M-24.6M-225.0K2.6781.414281,1432,3462,322
2022-01-04$471.25$480.0023.3%6.7%18.8%29.3%21.4%2.4%0.1%1.2M-23.2M-230.1K2.3579.324511,0602,3892,379
2022-01-05$453.90$470.0025.9%7.4%22.6%39.2%26.7%1.7%0.0%302.2K-8.6M-220.8K2.6381.773931,0322,3872,370
2022-01-06$448.95$470.0025.8%7.2%21.9%39.0%25.9%3.7%1.3%53.1K-4.5M-219.6K2.1465.414681,0012,4622,379
2022-01-07$443.60$470.0027.6%7.9%20.9%45.9%26.8%5.1%-0.4%-214.6K576.3K-213.7K2.2161.794529972,4732,385
2022-01-10$441.71$470.0028.8%7.8%20.8%50.7%26.9%4.3%-1.0%-297.3K2.5M-204.2K2.1162.234781,0082,4982,385
2022-01-11$443.24$470.0027.3%7.5%20.4%44.8%26.1%3.0%0.7%-276.4K1.8M-202.6K2.1564.924781,0262,5322,399
2022-01-12$447.45$470.0024.7%7.1%20.6%34.6%25.6%4.4%1.5%-15.5K-3.6M-212.8K2.1966.264651,0202,6062,607
2022-01-13$434.96$470.0025.8%7.4%22.0%39.2%25.3%3.3%0.8%-690.0K10.8M-199.8K2.4467.594171,0162,6672,616
2022-01-14$425.65$470.0025.6%7.3%22.5%38.0%25.8%4.4%0.1%-1.2M18.8M-189.2K2.3465.454321,0102,6682,620
2022-01-18$427.64$470.0027.5%7.9%22.7%45.8%27.3%5.2%-0.3%-1.3M14.6M-186.7K2.0968.704881,0182,6852,581
2022-01-19$429.98$450.0027.8%8.0%22.9%46.8%26.9%4.4%-1.4%-1.3M13.3M-175.3K1.9368.665029702,6932,586
2022-01-20$428.42$450.0026.1%7.5%22.9%40.0%25.8%4.7%2.2%-1.3M13.0M-181.7K1.7571.555449522,7052,579
2022-01-21$420.44$440.0030.6%8.8%22.7%57.7%27.4%5.3%-0.6%396.3K19.6M-168.2K1.0572.376757102,7232,584
2022-01-24$416.25$440.0033.4%9.6%21.6%68.6%33.0%9.2%-0.1%45.5K9.8M-159.8K0.9869.266095991,8321,633
2022-01-25$415.82$430.0032.4%9.3%21.3%64.9%34.3%7.8%-0.7%75.7K9.7M-158.9K1.3575.765707671,8691,646
2022-01-26$405.97$430.0034.1%9.8%20.6%71.4%35.0%9.0%-0.7%-172.8K15.0M-154.8K1.3083.525827561,8701,764
2022-01-27$407.79$430.0033.7%9.7%20.9%75.8%32.4%8.7%-3.0%-173.0K14.0M-162.1K1.2480.394565651,8811,784
2022-01-28$408.16$430.0032.2%9.2%21.2%69.4%31.3%10.9%0.3%-155.0K13.5M-149.9K1.1883.034585421,8911,790
2022-01-31$418.93$430.0029.3%8.4%24.3%57.2%29.9%6.3%-1.3%60.5K7.6M-168.0K1.2481.384515611,8911,794