FDS Options History — December 2022

In December 2022, FDS traded between $394.73 and $473.28. ATM implied volatility averaged 28.2%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.0% (HV 20d: 29.2%). Max pain ranged from $420.00 to $450.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 3.97.

Notable Days

  • 2022-12-20: Highest Volume — 1,857 contracts
  • 2022-12-12: Largest IV spike — 34.0% change
  • 2022-12-12: Highest IV Rank — 76.7%
  • 2022-12-19: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$430.33$394.73$473.28$473.28$400.86
Max Pain$431.43$420.00$450.00$420.00$420.00
ATM IV28.2%24.8%39.6%24.8%28.4%
Expected Move7.8%7.1%9.1%7.1%8.1%
HV 20d29.2%23.9%32.7%28.9%28.9%
HV 60d30.4%27.7%31.9%31.0%29.8%
IV Rank33.9%21.2%76.7%21.3%34.6%
IV Percentile44.7%21.4%98.0%21.8%45.2%
Term Structure-0.7%-3.8%3.6%0.4%-3.8%
VWIV25.6%23.0%31.9%23.9%23.8%
Skew 25d4.9%-1.3%10.1%4.8%10.1%
Skew 10d7.0%1.3%13.0%9.3%8.7%
Call IV 25d23.0%19.4%26.3%19.4%23.3%
Put IV 25d27.9%23.5%33.3%24.1%33.3%
Bid-Ask Spread %92.9584.20100.6796.44100.67
Gamma HHI0.150.090.270.120.20
Net GEX-106.5K-1.6M569.6K569.6K-637.2K
Net DEX1.2M-20.9M26.0M-20.9M20.2M
Net VEX-115.2K-167.2K-61.9K-65.4K-152.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.970.0242.000.270.03
Total Volume313.095181,8573894
Total OI2,856.7622,0924,2302,1094,187

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$473.28$420.0024.8%7.1%28.9%21.3%23.9%4.8%0.4%569.6K-20.9M-65.4K0.2796.443088361,273
2022-12-02$470.87$420.0024.8%7.1%29.0%21.2%23.4%-1.3%-0.4%544.2K-20.9M-61.9K0.5795.5023138391,280
2022-12-05$458.67$450.0027.5%8.0%30.4%31.5%23.9%5.5%-2.2%491.9K-16.7M-73.1K5.6392.82241358481,292
2022-12-06$454.45$440.0028.5%7.9%30.6%35.1%0.0%4.8%-1.1%427.4K-13.0M-96.9K0.3688.921458631,418
2022-12-07$451.29$440.0028.1%7.8%30.3%33.8%24.7%4.8%0.2%464.3K-12.0M-97.7K0.4687.0528138691,416
2022-12-08$451.10$440.0025.7%7.7%29.7%24.5%23.4%5.7%-0.9%439.1K-12.5M-94.9K5.1292.9717878891,427
2022-12-09$450.73$440.0029.6%8.0%26.6%39.1%23.0%4.3%-0.5%424.2K-12.3M-95.9K0.9691.4824238991,437
2022-12-12$449.41$440.0039.6%8.0%23.9%76.7%27.8%8.7%-1.7%386.2K-12.2M-97.2K1.0088.94999161,453
2022-12-13$457.28$440.0031.9%7.2%24.3%47.8%27.3%5.1%-0.2%435.6K-14.9M-87.4K0.0390.8821169311,455
2022-12-14$448.62$440.0027.0%7.7%25.0%29.6%25.4%4.9%-3.4%464.8K-12.4M-88.4K0.0293.3949991,0381,456
2022-12-15$432.61$440.0026.5%7.6%27.3%27.5%28.5%5.1%-0.8%150.5K-1.0M-106.5K1.9889.491402771,1381,461
2022-12-16$428.38$440.0025.9%7.4%26.7%25.3%26.7%6.3%0.1%-401.4K4.3M-114.1K1.5094.90981471,2301,687
2022-12-19$419.26$440.0031.9%9.1%27.6%47.8%31.9%6.8%-0.5%-778.1K11.5M-122.2K18.6584.20551,0266331,459
2022-12-20$397.33$430.0026.8%7.7%31.4%28.8%24.9%6.4%3.6%-1.6M26.0M-127.4K1.0285.549199386831,798
2022-12-21$403.61$420.0025.6%7.3%31.7%24.2%23.9%5.3%-0.5%-707.6K16.9M-150.8K0.2993.5352151,5261,874
2022-12-22$396.25$420.0027.2%7.8%32.0%30.4%27.6%2.2%-1.3%-801.6K21.6M-150.5K1.9395.523777261,5611,874
2022-12-23$397.51$420.0025.1%7.2%31.9%22.3%26.3%1.7%0.4%-518.8K18.2M-157.0K0.5895.721271,9271,966
2022-12-27$395.69$420.0028.6%8.2%31.9%35.6%25.2%2.1%-0.5%-579.9K20.2M-153.6K42.0097.2831261,9361,966
2022-12-28$394.73$420.0030.9%8.9%31.9%44.1%25.5%3.3%-1.1%-755.2K22.6M-159.0K1.0096.541511511,9382,083
2022-12-29$404.90$420.0027.5%7.9%32.7%31.4%23.8%7.0%0.3%-223.7K12.9M-167.2K0.03100.137222,0832,147
2022-12-30$400.86$420.0028.4%8.1%28.9%34.6%0.0%10.1%-3.8%-637.2K20.2M-152.4K0.03100.679132,0402,147