FVAL Options History — August 2021 In August 2021, FVAL traded between $48.92 and $50.35. ATM implied volatility averaged 21.3%. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 10.2% (HV 20d: 11.1%). Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2021-08-26 : Highest Volume — 2 contracts2021-08-12 : Largest IV drop — 57.6% change2021-08-11 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $49.69 $48.92 $50.35 $48.92 $50.33 ATM IV 21.3% 14.8% 39.5% 21.9% 20.8% Expected Move 5.6% 4.2% 11.3% 6.3% 6.0% HV 20d 11.1% 8.2% 15.2% 15.0% 8.5% HV 60d 11.3% 11.2% 11.4% 11.3% 11.2% Term Structure -2.7% -15.8% 6.1% -5.1% -4.7% Skew 25d 2.9% 1.2% 7.5% 1.5% 2.0% Skew 10d 2.8% 1.3% 6.5% 2.4% 1.4% Call IV 25d 21.7% 9.2% 55.8% 24.7% 23.9% Put IV 25d 24.6% 11.8% 57.0% 26.2% 25.9% Bid-Ask Spread % 133.35 126.25 156.58 156.58 129.16 Gamma HHI 0.93 0.34 1.00 1.00 0.34 Net GEX 141 -99 234 0 -99 Net DEX -536 -1.6K 3.0K 0 3.0K Net VEX -9 -34 0 0 -34 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.136 0 2 1 0 Total OI 1.091 0 3 0 3
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-08-02 $48.92 $0.00 21.9% 6.3% 15.0% 0.0% 0.0% 1.5% -5.1% 0 0 0 0.00 156.58 N/A N/A 1 0 0 0 2021-08-03 $49.34 $0.00 22.1% 6.3% 15.1% 0.0% 0.0% 1.7% -5.3% 0 0 0 0.00 156.10 N/A N/A 0 0 0 0 2021-08-04 $49.05 $0.00 22.3% 6.4% 15.2% 0.0% 0.0% 1.9% -5.2% 154 -973 -8 0.00 154.72 N/A N/A 0 0 1 0 2021-08-05 $49.11 $0.00 23.0% 5.0% 14.3% 0.0% 0.0% 3.1% -0.5% 154 -948 -7 0.00 129.28 N/A N/A 0 0 1 0 2021-08-06 $49.31 $0.00 24.3% 5.0% 13.4% 0.0% 0.0% 3.2% -0.9% 163 -990 -7 0.00 129.31 N/A N/A 0 0 1 0 2021-08-09 $49.32 $0.00 35.5% 4.9% 13.4% 0.0% 0.0% 3.5% 6.1% 153 -646 -5 0.00 138.83 N/A N/A 0 0 1 0 2021-08-10 $49.52 $0.00 26.1% 4.8% 13.3% 0.0% 0.0% 3.5% -1.8% 172 -944 -7 0.00 128.59 N/A N/A 0 0 1 0 2021-08-11 $49.80 $0.00 39.5% 11.3% 13.5% 0.0% 0.0% 1.2% -15.8% 151 -1.6K -9 0.00 145.90 N/A N/A 0 0 1 0 2021-08-12 $49.92 $0.00 16.8% 4.8% 13.3% 0.0% 0.0% 3.1% -1.1% 188 -1.1K -8 0.00 128.40 N/A N/A 0 0 1 0 2021-08-13 $49.97 $0.00 14.8% 4.2% 12.9% 0.0% 0.0% 2.9% 1.6% 196 -1.2K -8 0.00 130.38 N/A N/A 0 0 1 0 2021-08-16 $50.11 $0.00 17.3% 5.0% 10.0% 0.0% 0.0% 3.2% -1.3% 198 -1.1K -8 0.00 126.97 N/A N/A 0 0 1 0 2021-08-17 $49.64 $0.00 17.6% 5.1% 8.2% 0.0% 0.0% 3.0% -1.7% 180 -994 -7 0.00 126.53 N/A N/A 0 0 1 0 2021-08-18 $49.39 $0.00 19.5% 5.6% 8.3% 0.0% 0.0% 2.7% -2.8% 175 -996 -7 0.00 128.19 N/A N/A 0 0 1 0 2021-08-19 $49.10 $0.00 16.8% 4.8% 8.7% 0.0% 0.0% 3.4% 2.6% 162 -828 -7 0.00 126.38 N/A N/A 0 0 1 0 2021-08-20 $49.56 $0.00 16.0% 4.6% 8.5% 0.0% 0.0% 7.5% -0.6% 185 -746 -6 0.00 126.25 N/A N/A 0 0 1 0 2021-08-23 $49.92 $0.00 18.9% 5.4% 8.8% 0.0% 0.0% 2.6% -3.0% 199 -1.1K -8 0.00 129.36 N/A N/A 0 0 1 0 2021-08-24 $50.08 $0.00 22.0% 6.3% 8.6% 0.0% 0.0% 2.5% -0.2% 219 -735 -6 0.00 128.77 N/A N/A 0 0 1 0 2021-08-25 $50.24 $0.00 15.6% 4.5% 8.6% 0.0% 0.0% 5.6% -7.5% 234 -815 -6 0.00 127.76 N/A N/A 0 0 1 0 2021-08-26 $49.85 $0.00 19.1% 5.5% 9.0% 0.0% 0.0% 1.4% -3.6% 201 -971 -7 0.00 128.51 N/A N/A 0 2 1 0 2021-08-27 $50.29 $0.00 19.2% 5.5% 8.9% 0.0% 0.0% 1.8% -3.6% 216 -1.0K -7 0.00 128.45 N/A N/A 0 0 1 0 2021-08-30 $50.35 $0.00 20.4% 5.9% 8.9% 0.0% 0.0% 2.0% -4.8% -94 3.0K -34 0.00 129.24 N/A N/A 0 0 1 2 2021-08-31 $50.33 $0.00 20.8% 6.0% 8.5% 0.0% 0.0% 2.0% -4.7% -99 3.0K -34 0.00 129.16 N/A N/A 0 0 1 2
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