FDS Options History — March 2022

In March 2022, FDS traded between $406.49 and $439.27. ATM implied volatility averaged 31.7%, placing in the 67.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.4% (HV 20d: 27.3%). Max pain ranged from $410.00 to $480.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.52.

Notable Days

  • 2022-03-31: Highest Volume — 2,016 contracts
  • 2022-03-25: Largest IV drop — 13.7% change
  • 2022-03-14: Highest IV Rank — 94.9%
  • 2022-03-08: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$421.63$406.49$439.27$412.65$437.12
Max Pain$428.00$410.00$480.00$420.00$410.00
ATM IV31.7%24.2%38.3%31.4%27.8%
Expected Move8.2%6.6%10.7%9.0%6.6%
HV 20d27.3%25.7%30.1%26.5%28.6%
HV 60d24.5%22.9%27.4%23.4%26.9%
IV Rank67.1%35.4%94.9%65.7%50.7%
IV Percentile85.8%52.0%99.6%89.7%75.8%
Term Structure-3.5%-6.2%0.7%0.7%-5.6%
VWIV30.4%23.3%40.1%32.2%23.3%
Skew 25d5.3%0.1%7.5%5.0%5.4%
Skew 10d8.2%0.1%14.3%3.8%7.9%
Call IV 25d29.6%21.6%35.8%28.2%25.0%
Put IV 25d34.9%27.3%42.6%33.2%30.3%
Bid-Ask Spread %83.5758.6099.5895.0084.86
Gamma HHI0.120.090.170.090.10
Net GEX-94.9K-1.2M1.1M36.8K110.4K
Net DEX7.0M-6.1M14.9M10.2M-892.6K
Net VEX-99.2K-106.4K-89.2K-101.9K-105.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.643.171.283.17
Total Volume1,149.5657502,0169042,016
Total OI3,565.0872,8014,4343,4923,660

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$412.65$420.0031.4%9.0%26.5%65.7%32.2%5.0%0.7%36.8K10.2M-101.9K1.2895.003965081,8041,688
2022-03-02$418.91$420.0028.5%8.2%27.1%53.7%29.9%4.1%-3.2%253.1K7.1M-100.6K1.3195.533955171,8051,689
2022-03-03$411.62$420.0030.0%8.6%26.8%60.0%33.9%5.5%-2.9%85.5K9.7M-102.7K1.3196.673955171,8091,682
2022-03-04$412.04$420.0030.0%8.6%26.3%60.2%32.8%4.2%-2.8%52.2K10.5M-102.5K1.2396.944195171,8091,684
2022-03-07$413.72$420.0033.8%9.7%26.3%76.2%35.7%3.6%-2.6%-46.6K11.1M-89.2K1.3097.993995171,7831,686
2022-03-08$410.34$420.0036.4%10.7%26.1%87.2%40.1%6.2%-2.8%-128.4K12.8M-95.3K1.5199.584516831,7871,688
2022-03-09$416.92$420.0036.9%8.5%26.8%89.1%35.7%6.7%-5.1%-204.8K10.6M-104.9K1.1997.654515351,8451,866
2022-03-10$406.49$420.0036.8%9.9%28.2%88.9%36.6%6.3%-5.0%-669.4K14.9M-91.0K1.1098.714535001,8491,866
2022-03-11$409.48$420.0037.0%8.1%26.9%89.6%39.3%6.6%-4.6%-671.8K14.3M-91.7K0.9999.155175141,8511,866
2022-03-14$407.80$480.0038.3%9.3%26.9%94.9%27.8%6.8%-5.6%-802.2K14.9M-92.5K0.9758.605195041,8911,878
2022-03-15$416.29$480.0036.4%8.6%27.0%87.1%27.7%6.2%-6.2%-201.3K8.7M-99.9K0.6468.678675561,8921,878
2022-03-16$416.96$450.0034.5%8.3%26.2%79.1%26.1%6.0%-5.3%-106.5K7.4M-103.4K0.7274.377565462,0451,913
2022-03-17$426.91$0.0033.8%8.6%26.8%76.1%0.0%6.6%-3.8%932.9K-205.3K-92.6K2.1469.444841,0352,0471,886
2022-03-18$439.27$0.0031.5%8.1%27.2%66.2%0.0%5.1%-4.7%1.1M-6.1M-102.8K1.1965.844595472,0622,372
2022-03-21$435.25$0.0029.5%8.1%27.5%57.8%30.6%5.2%-0.3%-21.5K2.5M-103.2K1.1972.313424081,3171,484
2022-03-22$435.29$410.0032.6%7.8%27.5%71.0%27.9%5.5%-5.2%-79.6K4.0M-92.8K1.2370.003424211,3201,486
2022-03-23$429.99$450.0033.1%7.9%25.9%72.9%27.5%5.0%-4.9%-178.2K4.1M-106.4K2.1377.944188901,3231,502
2022-03-24$419.47$430.0028.9%7.3%27.8%55.5%27.7%0.1%-2.9%-633.5K9.7M-99.1K2.1673.904771,0321,4292,039
2022-03-25$412.31$430.0025.0%7.0%25.7%38.8%26.0%6.0%-1.1%-1.2M14.9M-101.8K2.2784.314189481,4872,135
2022-03-28$431.50$420.0026.5%6.8%30.1%45.4%26.0%7.5%-2.8%-190.2K4.3M-99.7K2.1979.964219201,4832,136
2022-03-29$438.42$410.0024.2%6.6%29.7%35.4%26.0%5.3%-2.1%152.0K-1.1M-102.6K1.8581.734267901,4812,149
2022-03-30$438.68$410.0025.9%6.6%29.4%42.6%25.6%3.9%-2.5%208.2K-1.8M-100.8K1.8682.954257891,4872,158
2022-03-31$437.12$410.0027.8%6.6%28.6%50.7%23.3%5.4%-5.6%110.4K-892.6K-105.4K3.1784.864831,5331,4962,164