FVAL Options History — July 2021

In July 2021, FVAL traded between $47.23 and $49.31. ATM implied volatility averaged 24.0%. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 10.6% (HV 20d: 13.4%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days.

Notable Days

  • 2021-07-15: Largest IV spike — 85.0% change
  • 2021-07-19: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.62$47.23$49.31$48.35$48.92
ATM IV24.0%12.1%41.5%21.7%13.2%
Expected Move5.5%3.5%9.3%6.2%3.8%
HV 20d13.4%9.8%15.1%10.0%15.1%
Term Structure-3.2%-11.3%0.5%-5.8%-0.3%
Skew 25d2.3%-2.8%7.0%1.7%1.3%
Skew 10d3.2%-0.7%5.8%1.6%5.8%
Call IV 25d21.2%11.0%36.4%26.1%11.8%
Put IV 25d23.4%12.4%38.8%27.8%13.1%
Bid-Ask Spread %153.38129.81171.49129.81142.23
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$48.35$0.0021.7%6.2%0.0%0.0%0.0%1.7%-5.8%0000.00129.81N/AN/A0000
2021-07-02$48.65$0.0021.2%6.1%0.0%0.0%0.0%0.7%-6.4%0000.00129.83N/AN/A0000
2021-07-06$48.38$0.0025.0%4.6%0.0%0.0%0.0%1.8%0.5%0000.00150.84N/AN/A0000
2021-07-07$48.65$0.0037.1%6.1%0.0%0.0%0.0%2.2%-4.0%0000.00171.49N/AN/A0000
2021-07-08$48.03$0.0039.2%6.3%0.0%0.0%0.0%2.1%-4.3%0000.00166.90N/AN/A0000
2021-07-09$48.76$0.0028.6%4.7%0.0%0.0%0.0%1.9%-1.0%0000.00154.05N/AN/A0000
2021-07-12$48.88$0.0036.6%4.7%0.0%0.0%0.0%2.3%-1.1%0000.00155.29N/AN/A0000
2021-07-13$48.68$0.0041.5%4.7%0.0%0.0%0.0%1.4%-1.0%0000.00153.84N/AN/A0000
2021-07-14$48.75$0.0012.1%3.5%10.0%0.0%0.0%7.0%0.2%0000.00137.68N/AN/A0000
2021-07-15$48.57$0.0022.4%6.4%9.8%0.0%0.0%2.4%-3.8%0000.00170.10N/AN/A0000
2021-07-16$48.18$0.0018.3%5.2%10.2%0.0%0.0%1.7%-2.3%0000.00152.82N/AN/A0000
2021-07-19$47.23$0.0032.4%9.3%12.5%0.0%0.0%2.4%-7.1%0000.00156.84N/AN/A0000
2021-07-20$48.26$0.0024.1%6.9%14.6%0.0%0.0%2.9%-3.1%0000.00161.86N/AN/A0000
2021-07-21$48.56$0.0024.1%6.9%14.3%0.0%0.0%2.6%-11.3%0000.00170.68N/AN/A0000
2021-07-22$48.57$0.0017.9%5.1%14.3%0.0%0.0%2.9%-2.6%0000.00155.20N/AN/A0000
2021-07-23$49.07$0.0017.4%5.0%14.7%0.0%0.0%-2.8%-2.8%0000.00153.84N/AN/A0000
2021-07-26$49.18$0.0019.2%5.5%14.6%0.0%0.0%2.8%-3.1%0000.00155.39N/AN/A0000
2021-07-27$48.92$0.0019.5%5.6%14.8%0.0%0.0%2.8%-3.2%0000.00154.12N/AN/A0000
2021-07-28$49.07$0.0019.3%5.5%14.8%0.0%0.0%6.3%-3.9%0000.00154.94N/AN/A0000
2021-07-29$49.31$0.0012.8%3.7%14.9%0.0%0.0%1.4%-1.7%0000.00143.23N/AN/A0000
2021-07-30$48.92$0.0013.2%3.8%15.1%0.0%0.0%1.3%-0.3%0000.00142.23N/AN/A0000