FDS Options History — September 2022

In September 2022, FDS traded between $389.45 and $458.11. ATM implied volatility averaged 28.2%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.5% (HV 20d: 24.7%). Max pain ranged from $410.00 to $440.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 3.29.

Notable Days

  • 2022-09-16: Highest Volume — 1,235 contracts
  • 2022-09-12: Largest IV spike — 36.5% change
  • 2022-09-13: Highest IV Rank — 57.7%
  • 2022-09-21: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$427.65$389.45$458.11$437.82$402.44
Max Pain$426.67$410.00$440.00$430.00$430.00
ATM IV28.2%20.5%33.4%25.4%30.2%
Expected Move8.3%7.1%9.0%7.3%8.7%
HV 20d24.7%18.3%34.5%18.3%34.5%
HV 60d26.3%22.0%28.4%28.2%26.2%
IV Rank40.5%14.4%57.7%31.8%47.1%
IV Percentile56.9%8.7%87.3%40.1%70.6%
Term Structure-1.6%-4.7%6.8%2.6%-2.9%
VWIV29.0%21.3%36.1%29.2%36.1%
Skew 25d6.6%1.4%10.5%10.1%6.3%
Skew 10d9.0%-4.8%18.6%3.8%9.0%
Call IV 25d24.8%19.6%28.6%19.6%27.5%
Put IV 25d31.4%29.1%36.3%29.7%33.8%
Bid-Ask Spread %90.4783.8099.8199.6689.90
Gamma HHI0.240.150.350.320.19
Net GEX-414.1K-1.0M118.5K-510.5K-303.1K
Net DEX-3.1M-20.3M16.2M-7.9M10.0M
Net VEX-53.2K-67.3K-34.7K-57.4K-61.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.290.0627.253.001.39
Total Volume416.95241,2358595
Total OI1,684.7621,1952,2431,4671,902

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$437.82$430.0025.4%7.3%18.3%31.8%29.2%10.1%2.6%-510.5K-7.9M-57.4K3.0099.6626739728
2022-09-02$428.88$430.0024.6%7.1%19.9%29.3%21.3%7.4%6.8%-697.1K-4.0M-56.7K0.6799.8132741731
2022-09-06$437.48$410.0028.4%8.9%21.0%41.9%31.6%5.6%-3.7%-642.2K-7.9M-51.7K1.2583.80220275742733
2022-09-07$444.25$410.0026.8%8.0%21.5%35.6%27.6%8.3%-2.6%-584.0K-12.7M-46.2K1.0088.07283282742734
2022-09-08$447.20$410.0020.5%8.4%20.0%14.4%0.0%7.2%-4.7%-614.0K-15.8M-40.7K8.0090.5318796742
2022-09-09$453.58$410.0021.3%7.6%20.3%16.9%26.4%6.3%-3.2%-88.4K-19.4M-35.6K3.0091.5913796750
2022-09-12$458.11$410.0029.0%8.0%19.7%43.1%25.4%6.1%-2.9%118.5K-20.3M-34.7K3.2188.6570225797752
2022-09-13$447.95$410.0033.4%8.3%20.8%57.7%25.1%5.1%-2.5%-482.1K-16.6M-37.6K0.9386.66345320856969
2022-09-14$448.54$420.0027.9%8.0%20.8%39.4%29.6%4.8%-1.7%-509.2K-17.9M-35.3K4.5788.83199909856981
2022-09-15$446.88$440.0029.8%8.6%20.7%45.8%29.7%6.7%-0.5%-614.5K-14.7M-60.0K0.0692.759561,0501,175
2022-09-16$444.12$440.0029.3%8.4%20.5%43.9%29.4%5.0%-0.4%-1.0M-12.3M-62.8K1.4688.525027331,0641,179
2022-09-19$445.44$440.0031.1%8.9%19.4%50.2%30.2%5.5%-2.7%-66.0K-5.7M-61.0K27.2589.394109659536
2022-09-20$442.62$440.0029.0%8.3%19.4%43.0%25.0%6.1%0.2%-183.8K-3.9M-64.3K4.0090.70832661644
2022-09-21$431.18$440.0031.6%9.0%21.2%51.6%30.3%8.2%-2.7%-311.9K-75.0K-67.3K0.3887.044818667675
2022-09-22$399.35$440.0028.6%8.2%33.9%41.5%22.8%6.3%-2.7%-408.6K12.8M-55.9K0.5595.28201110742763
2022-09-23$392.40$430.0027.1%7.8%33.1%36.4%30.1%8.9%-2.3%-404.1K15.7M-55.0K2.2887.7075171904837
2022-09-26$389.45$430.0031.3%9.0%33.1%50.5%33.5%5.5%-2.7%-387.4K16.2M-55.6K1.1689.71385446972960
2022-09-27$389.98$430.0030.1%8.6%33.2%46.7%31.2%1.4%-0.8%-351.7K15.3M-56.9K1.3388.93285378989962
2022-09-28$395.45$430.0027.8%8.0%33.8%39.0%30.7%10.5%-1.5%-350.3K12.5M-60.8K1.7390.67258447993964
2022-09-29$397.62$430.0029.7%8.5%34.0%45.4%34.7%7.3%-2.1%-279.5K11.7M-60.0K1.8091.67249447999898
2022-09-30$402.44$430.0030.2%8.7%34.5%47.1%36.1%6.3%-2.9%-303.1K10.0M-61.2K1.3989.902493461,004898