FDS Options History — March 2023

In March 2023, FDS traded between $392.56 and $420.11. ATM implied volatility averaged 26.3%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.3% (HV 20d: 22.0%). Max pain ranged from $400.00 to $420.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.13.

Notable Days

  • 2023-03-15: Highest Volume — 655 contracts
  • 2023-03-14: Largest IV drop — 27.5% change
  • 2023-03-13: Highest IV Rank — 75.8%
  • 2023-03-15: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$407.98$392.56$420.11$413.06$412.84
Max Pain$410.87$400.00$420.00$420.00$410.00
ATM IV26.3%18.1%39.2%23.9%23.8%
Expected Move7.6%5.2%9.3%6.8%6.8%
HV 20d22.0%14.9%32.2%17.8%32.0%
HV 60d23.2%19.8%24.4%23.7%24.1%
IV Rank29.2%0.0%75.8%17.9%20.6%
IV Percentile41.2%0.0%97.6%21.4%24.6%
Term Structure-0.9%-5.2%5.5%3.8%1.2%
VWIV25.9%18.3%31.0%22.3%23.2%
Skew 25d7.1%1.0%11.9%5.2%11.3%
Skew 10d12.7%2.7%24.0%6.4%20.2%
Call IV 25d23.8%18.2%29.6%20.9%18.3%
Put IV 25d31.0%19.2%37.3%26.1%29.6%
Bid-Ask Spread %85.3378.9396.4992.7293.41
Gamma HHI0.110.100.130.100.13
Net GEX-187.1K-542.8K195.1K-355.4K195.1K
Net DEX6.0M-1.5M13.2M7.5M255.6K
Net VEX-88.8K-110.8K-66.9K-72.2K-110.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.0410.1710.173.00
Total Volume78.435136556732
Total OI2,126.4351,7212,6322,0942,100

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$413.06$420.0023.9%6.8%17.8%17.9%22.3%5.2%3.8%-355.4K7.5M-72.2K10.1792.726616641,430
2023-03-02$415.75$420.0021.9%6.3%16.3%10.5%20.5%4.6%2.9%-312.9K6.5M-70.7K0.4396.492196701,489
2023-03-03$420.11$420.0018.1%5.2%16.5%0.0%18.3%1.0%5.5%-241.8K4.8M-68.6K0.3095.511036731,497
2023-03-06$417.52$420.0020.9%7.0%16.0%10.0%24.5%5.7%-2.0%-290.2K6.1M-70.2K0.3379.751866831,499
2023-03-07$411.00$420.0022.6%7.3%16.8%16.3%28.9%5.2%-0.6%-447.2K9.2M-70.0K0.3682.001146881,500
2023-03-08$409.06$420.0023.5%7.8%14.9%19.3%25.6%8.2%-2.5%-470.0K9.8M-66.9K0.5681.8027156941,503
2023-03-09$406.76$420.0026.4%7.8%14.9%29.9%26.0%5.0%-4.0%-457.6K10.7M-71.0K0.4086.4925107131,516
2023-03-10$396.25$420.0032.0%8.7%16.9%49.9%29.1%4.5%-1.6%-542.8K13.2M-77.7K1.2185.5333407351,514
2023-03-13$398.65$410.0039.2%8.3%17.2%75.8%30.7%2.8%-1.7%-430.3K12.2M-72.3K1.0989.0211127641,519
2023-03-14$409.08$400.0028.4%8.8%19.1%37.1%28.9%9.3%-3.3%-342.3K9.5M-70.1K1.2783.3211147711,523
2023-03-15$403.62$400.0032.4%9.3%19.5%51.6%30.0%10.2%-4.1%-370.8K11.3M-74.9K0.0483.89630257791,526
2023-03-16$405.28$400.0030.2%8.7%19.3%43.5%29.4%9.6%-2.9%-134.8K8.1M-104.5K0.6283.491381,0811,546
2023-03-17$409.69$400.0031.2%9.0%19.6%47.2%31.0%6.9%-5.2%-72.6K6.0M-104.9K0.5678.9391511,0871,545
2023-03-20$411.20$400.0032.0%9.2%19.6%49.9%27.1%6.0%-4.9%15.5K1.5M-109.0K0.4583.7929136631,058
2023-03-21$419.83$410.0027.3%7.8%20.4%33.2%27.0%11.9%-2.8%153.3K-1.1M-109.4K0.1484.572136901,066
2023-03-22$419.49$410.0028.1%8.1%20.3%36.1%29.2%8.5%-2.3%149.7K-1.5M-104.6K1.9784.4632636951,069
2023-03-23$392.56$410.0026.0%7.4%30.4%28.3%26.0%3.0%-0.4%-179.3K5.9M-95.8K1.1880.83901067191,149
2023-03-24$398.78$400.0025.8%7.4%31.1%27.6%25.7%9.6%-0.6%-68.6K4.1M-100.4K0.6779.3843297651,205
2023-03-27$395.53$410.0022.1%6.3%31.1%14.2%22.1%8.6%4.4%-172.6K5.7M-99.8K0.1980.443777731,229
2023-03-28$399.65$410.0024.9%7.1%31.4%24.5%23.5%9.6%-0.3%-97.3K4.7M-101.8K0.0782.704537931,229
2023-03-29$406.98$410.0023.3%6.7%32.1%18.6%24.6%11.5%0.4%39.6K2.4M-107.1K0.2884.142988111,229
2023-03-30$410.90$410.0021.0%6.0%32.2%10.6%21.7%6.0%1.3%129.6K422.7K-108.6K0.8190.0427228201,236
2023-03-31$412.84$410.0023.8%6.8%32.0%20.6%23.2%11.3%1.2%195.1K255.6K-110.8K3.0093.418248411,259