FDS Options History — September 2023

In September 2023, FDS traded between $422.18 and $441.26. ATM implied volatility averaged 21.1%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 7.1% (HV 20d: 14.0%). Max pain ranged from $410.00 to $440.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.40.

Notable Days

  • 2023-09-21: Highest Volume — 783 contracts
  • 2023-09-11: Largest IV spike — 28.0% change
  • 2023-09-20: Highest IV Rank — 46.1%
  • 2023-09-20: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$431.11$422.18$441.26$435.49$438.08
Max Pain$425.00$410.00$440.00$420.00$440.00
ATM IV21.1%15.7%26.7%15.7%19.7%
Expected Move6.5%4.5%7.7%4.5%5.6%
HV 20d14.0%12.3%15.1%13.8%13.8%
HV 60d18.1%15.4%20.9%20.9%15.6%
IV Rank22.9%0.0%46.1%0.0%16.8%
IV Percentile26.9%0.0%69.8%0.0%8.7%
Term Structure-1.1%-3.5%6.2%6.2%0.0%
VWIV23.1%15.6%28.1%15.6%20.2%
Skew 25d3.9%1.5%5.0%1.5%3.6%
Skew 10d6.9%0.7%9.7%0.7%5.5%
Call IV 25d20.8%15.0%25.3%15.0%18.3%
Put IV 25d24.6%16.5%29.4%16.5%21.9%
Bid-Ask Spread %81.3676.0693.7693.7686.37
Gamma HHI0.270.090.660.280.14
Net GEX2.1M-291.9K7.0M2.8M-67.0K
Net DEX-7.3M-19.1M4.9M-19.1M-6.5M
Net VEX-158.8K-193.0K-92.0K-92.0K-183.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.400.0121.000.990.01
Total Volume3318783542412
Total OI3,731.452,6544,3902,6544,390

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$435.49$420.0015.7%4.5%13.8%0.0%15.6%1.5%6.2%2.8M-19.1M-92.0K0.9993.762722701,5031,151
2023-09-05$433.68$410.0017.8%6.5%13.9%8.9%20.2%4.2%-1.3%3.1M-17.4M-132.6K0.9277.161821671,7801,419
2023-09-06$431.30$410.0017.8%6.7%14.0%8.9%26.3%4.0%-0.8%3.1M-14.6M-152.6K1.0076.75441,9431,565
2023-09-07$431.50$410.0018.1%6.8%14.0%10.2%24.4%5.0%-1.8%3.3M-15.5M-154.0K0.6079.8353321,9411,569
2023-09-08$429.98$420.0016.5%6.8%14.0%3.3%24.5%4.5%-3.5%3.8M-13.1M-150.1K0.0479.405221,9911,587
2023-09-11$425.42$420.0021.1%6.7%14.1%22.6%24.3%4.2%-2.7%3.3M-6.1M-138.6K0.2078.6249102,0231,592
2023-09-12$422.18$420.0020.5%7.0%14.4%20.3%24.0%4.6%-3.0%2.6M-949.8K-133.6K1.6779.4812202,0591,598
2023-09-13$427.73$420.0023.9%6.8%14.8%34.3%24.3%4.2%-2.4%5.2M-9.5M-136.6K4.2880.67251072,0651,615
2023-09-14$431.61$430.0024.1%6.9%14.8%35.0%23.2%4.2%-2.5%6.3M-14.3M-139.8K0.0278.20648162,0661,723
2023-09-15$428.53$430.0025.5%7.3%14.7%41.0%25.9%4.0%-2.5%7.0M-7.2M-153.6K0.6079.313191912,2061,723
2023-09-18$428.80$430.0025.2%7.2%14.7%40.0%25.1%4.6%-2.4%317.2K-795.6K-158.6K0.9776.062922821,5461,576
2023-09-19$425.00$430.0026.5%7.6%15.0%45.2%26.2%4.1%-2.6%-154.7K4.9M-173.2K1.1278.071061191,6761,841
2023-09-20$425.05$430.0026.7%7.7%15.0%46.1%28.1%4.1%-2.5%64.7K2.8M-177.4K2.3977.181613851,7641,870
2023-09-21$427.03$430.0020.7%5.9%13.4%20.9%20.8%3.1%-0.7%-291.9K3.1M-185.2K1.6779.262934901,9212,168
2023-09-22$435.75$430.0020.4%5.9%15.1%19.8%21.5%3.3%-0.8%84.4K-5.9M-193.0K4.5587.76663001,9082,267
2023-09-25$436.31$430.0019.9%5.7%12.3%17.8%22.2%4.8%0.1%55.7K-5.4M-185.6K2.8283.391062991,9332,304
2023-09-26$433.75$430.0021.5%6.2%12.5%24.3%22.0%3.4%0.7%-18.0K-1.5M-183.3K1.2784.78951211,9142,225
2023-09-27$433.77$430.0021.5%6.2%12.4%24.2%21.2%2.7%-0.4%108.6K-4.1M-177.4K1.8585.081152131,9342,177
2023-09-28$441.26$430.0020.0%5.7%13.5%18.0%21.1%3.3%0.3%995.4K-14.3M-175.4K21.0086.11153151,9712,125
2023-09-29$438.08$440.0019.7%5.6%13.8%16.8%20.2%3.6%0.0%-67.0K-6.5M-183.1K0.0186.3740661,9752,415