FDS Options History — January 2024

In January 2024, FDS traded between $455.01 and $479.13. ATM implied volatility averaged 17.3%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 2.1% (HV 20d: 19.3%). Max pain ranged from $440.00 to $470.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.40.

Notable Days

  • 2024-01-24: Highest Volume — 124 contracts
  • 2024-01-10: Largest IV spike — 19.9% change
  • 2024-01-19: Highest IV Rank — 17.9%
  • 2024-01-19: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$464.87$455.01$479.13$463.38$475.81
Max Pain$453.81$440.00$470.00$470.00$460.00
ATM IV17.3%15.1%19.4%18.0%17.5%
Expected Move5.1%4.7%5.6%5.2%5.0%
HV 20d19.3%13.6%22.5%21.5%13.6%
HV 60d17.3%15.9%18.1%17.6%16.2%
IV Rank8.8%0.0%17.9%10.1%9.9%
IV Percentile6.4%0.0%21.4%6.7%7.5%
Term Structure0.3%-0.7%1.5%0.5%1.1%
VWIV18.0%14.5%21.2%17.5%17.9%
Skew 25d2.9%0.7%4.0%2.3%2.0%
Skew 10d5.3%0.2%8.5%7.0%4.2%
Call IV 25d16.3%14.4%17.9%16.8%17.1%
Put IV 25d19.2%17.5%21.2%19.0%19.1%
Bid-Ask Spread %84.9673.4092.2083.6192.20
Gamma HHI0.200.140.280.160.27
Net GEX761.4K-113.0K2.5M276.0K2.3M
Net DEX-8.6M-18.4M-2.1M-8.5M-16.1M
Net VEX-80.7K-110.2K-66.1K-110.2K-79.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.109.000.981.36
Total Volume44.61971248378
Total OI2,260.3331,7722,4702,4552,105

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$463.38$470.0018.0%5.2%21.5%10.1%17.5%2.3%0.5%276.0K-8.5M-110.2K0.9883.6142411,3551,100
2024-01-03$455.01$470.0018.0%5.2%22.5%9.9%18.1%0.7%0.2%-113.0K-2.1M-99.2K2.2283.5836801,3701,100
2024-01-04$459.64$440.0015.1%5.2%21.3%0.0%19.3%2.9%0.2%207.7K-5.7M-97.2K1.2073.4025301,3741,053
2024-01-05$457.17$440.0016.9%5.3%21.2%7.5%21.2%3.8%-0.6%186.1K-4.6M-91.9K0.8977.59981,3791,029
2024-01-08$457.87$440.0016.1%4.9%21.2%3.9%16.5%2.4%0.6%61.7K-4.5M-85.8K0.7276.4425181,3831,032
2024-01-09$455.30$440.0015.2%5.1%21.4%0.4%18.4%3.2%-0.5%15.3K-2.5M-79.9K2.0779.4214291,3801,023
2024-01-10$461.80$440.0018.2%5.2%21.4%13.0%18.1%2.2%0.1%238.8K-7.6M-81.9K1.8680.287131,3861,013
2024-01-11$464.23$450.0017.3%5.0%21.3%9.3%17.1%2.6%1.3%279.1K-8.4M-80.2K0.7181.06751,3941,021
2024-01-12$466.06$450.0016.8%4.8%20.9%7.1%18.5%2.8%0.5%271.2K-9.3M-76.4K0.8883.2216141,3961,025
2024-01-16$461.60$450.0018.4%5.3%20.9%13.9%19.3%2.8%0.0%137.4K-6.1M-75.0K1.6785.44351,3961,031
2024-01-17$458.97$450.0018.0%5.2%21.0%12.0%18.6%3.8%0.8%188.0K-3.9M-71.4K0.5285.2223121,3971,036
2024-01-18$460.96$450.0017.8%5.1%20.9%11.2%17.0%4.0%0.1%560.3K-5.1M-72.9K0.9185.9323211,4111,032
2024-01-19$464.42$460.0019.4%5.6%20.2%17.9%19.9%3.3%-0.0%202.8K-7.8M-72.5K0.3887.1329111,4141,027
2024-01-22$467.85$460.0017.2%4.9%20.3%8.7%16.1%3.1%0.1%967.1K-10.1M-70.7K0.2389.522251,136636
2024-01-23$470.99$460.0016.7%4.8%16.1%6.5%14.8%3.1%-0.7%1.1M-10.9M-66.1K0.1090.169391,156643
2024-01-24$470.79$460.0016.3%4.7%16.1%4.8%14.5%3.2%0.6%1.4M-11.5M-68.4K0.3989.2989351,249647
2024-01-25$470.23$460.0016.7%4.8%15.9%6.5%18.1%3.0%1.1%1.7M-12.2M-74.3K0.0089.130151,417654
2024-01-26$470.64$460.0016.7%4.8%15.8%6.5%18.7%2.1%1.5%1.8M-13.2M-76.3K9.0090.98191,417662
2024-01-29$470.38$460.0019.2%5.5%15.4%17.0%19.9%3.7%-0.6%1.8M-12.8M-78.7K1.5589.6111171,418671
2024-01-30$479.13$460.0017.0%4.9%16.8%7.9%18.9%3.3%0.4%2.5M-18.4M-86.5K0.4090.88521,421678
2024-01-31$475.81$460.0017.5%5.0%13.6%9.9%17.9%2.0%1.1%2.3M-16.1M-79.7K1.3692.2033451,426679