FDS Options History — November 2022

In November 2022, FDS traded between $408.55 and $456.93. ATM implied volatility averaged 26.4%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 2.4% (HV 20d: 28.8%). Max pain ranged from $390.00 to $420.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2022-11-14: Highest Volume — 1,012 contracts
  • 2022-11-28: Largest IV spike — 15.3% change
  • 2022-11-02: Highest IV Rank — 49.7%
  • 2022-11-02: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$434.46$408.55$456.93$427.67$456.93
Max Pain$417.14$390.00$420.00$390.00$420.00
ATM IV26.4%20.6%32.3%29.9%22.1%
Expected Move7.4%5.9%9.2%8.6%6.4%
HV 20d28.8%26.8%31.0%26.8%29.2%
HV 60d29.6%27.9%30.7%27.9%30.3%
IV Rank27.3%5.5%49.7%41.5%11.4%
IV Percentile35.5%2.4%81.0%63.1%6.3%
Term Structure1.5%-3.0%5.6%-3.0%0.7%
VWIV25.9%20.8%32.7%28.0%22.0%
Skew 25d3.4%-0.1%6.5%4.2%4.8%
Skew 10d5.3%-5.4%10.8%8.5%-2.2%
Call IV 25d24.3%16.0%30.7%26.5%19.2%
Put IV 25d27.7%22.2%35.7%30.7%24.0%
Bid-Ask Spread %91.6082.27101.4991.32101.49
Gamma HHI0.190.110.290.290.11
Net GEX453.8K239.5K648.8K472.2K474.0K
Net DEX-8.9M-15.2M-1.1M-7.7M-15.2M
Net VEX-81.1K-92.7K-68.0K-68.0K-69.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.171.750.441.75
Total Volume68741,01261244
Total OI1,957.4761,2202,3321,2202,060

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$427.67$390.0029.9%8.6%26.8%41.5%28.0%4.2%-3.0%472.2K-7.7M-68.0K0.4491.32424188676544
2022-11-02$416.14$390.0032.2%9.2%28.3%49.7%32.7%5.0%-2.1%344.2K-4.6M-75.3K1.1091.79415458752569
2022-11-03$414.62$420.0029.2%8.2%27.8%38.8%29.0%6.0%-1.1%343.4K-4.0M-73.9K1.4484.49415596756849
2022-11-04$408.55$420.0029.3%8.4%27.7%39.3%28.3%4.2%-0.1%239.5K-1.1M-81.9K1.2682.274175247571,004
2022-11-07$415.10$420.0032.1%8.4%28.3%48.4%28.8%4.5%-1.2%279.0K-2.6M-86.7K1.3583.293384557621,088
2022-11-08$423.26$420.0032.3%7.7%29.1%49.3%26.9%3.5%1.1%371.0K-5.6M-83.4K1.2984.753454467711,091
2022-11-09$417.79$420.0027.9%8.0%28.0%32.8%27.5%2.5%0.1%299.2K-3.5M-88.0K1.4589.793434977691,145
2022-11-10$434.61$420.0028.1%8.1%31.0%33.7%27.1%3.6%-0.5%424.6K-8.6M-85.5K1.5287.043425197741,150
2022-11-11$421.80$420.0028.2%8.1%30.0%33.9%27.4%4.2%0.0%322.9K-4.5M-89.7K1.5484.523735737771,222
2022-11-14$426.68$420.0025.6%7.3%28.0%24.4%26.1%3.3%1.9%430.1K-6.0M-92.7K0.8686.785434698081,290
2022-11-15$434.09$420.0026.8%7.7%28.5%28.7%25.3%-0.1%0.8%526.6K-10.0M-86.2K1.1486.594134699761,300
2022-11-16$443.23$420.0025.8%7.4%29.0%24.9%27.0%3.6%2.2%648.8K-13.3M-88.6K1.3087.123644741,0041,307
2022-11-17$435.00$420.0026.2%7.5%29.4%26.4%24.8%1.8%3.4%574.7K-10.1M-91.6K1.2695.583894891,0111,318
2022-11-18$437.52$420.0025.3%7.3%28.9%23.2%24.6%2.6%1.7%614.6K-10.7M-85.6K0.9997.165055021,0081,324
2022-11-21$448.08$420.0022.9%6.6%29.7%14.2%23.1%0.1%4.6%560.4K-11.7M-77.0K1.5796.653044767511,280
2022-11-22$453.14$420.0021.5%6.2%29.2%9.1%23.0%3.2%4.8%580.0K-13.3M-81.7K0.9994.443203187601,287
2022-11-23$452.80$420.0021.2%6.1%29.2%7.9%20.8%4.8%4.9%558.7K-13.6M-76.0K0.9799.593253147871,243
2022-11-25$455.26$420.0020.6%5.9%28.9%5.5%24.2%6.5%3.8%523.7K-14.2M-74.1K0.00100.75047901,249
2022-11-28$452.72$420.0023.7%6.8%28.9%17.2%24.9%0.4%3.4%472.8K-14.0M-74.6K0.1798.941837911,254
2022-11-29$448.63$420.0022.7%6.5%28.7%13.5%22.6%3.4%5.6%468.5K-12.6M-73.1K0.6099.181067981,255
2022-11-30$456.93$420.0022.1%6.4%29.2%11.4%22.0%4.8%0.7%474.0K-15.2M-69.5K1.75101.4916288021,258