FVAL Options History — September 2021 In September 2021, FVAL traded between $47.82 and $50.34. ATM implied volatility averaged 21.9%. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 11.4% (HV 20d: 10.6%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2021-09-27 : Highest Volume — 2 contracts2021-09-27 : Largest IV spike — 161.0% change2021-09-29 : Largest Expected Move — 10.0%Monthly Statistics Metric Avg Min Max Open Close Price $49.17 $47.82 $50.34 $50.23 $47.87 ATM IV 21.9% 10.9% 35.0% 21.1% 33.2% Expected Move 6.0% 3.1% 10.0% 6.1% 9.5% HV 20d 10.6% 8.1% 13.9% 8.2% 13.9% HV 60d 11.5% 10.7% 12.8% 11.1% 12.8% Term Structure -4.5% -15.8% 0.3% -10.7% -10.5% VWIV 85.1% 85.1% 85.1% 85.1% 85.1% Skew 25d 2.5% 0.7% 3.7% 2.0% 1.6% Skew 10d 2.6% 1.2% 5.8% 1.3% 2.5% Call IV 25d 23.1% 7.9% 39.7% 24.5% 39.7% Put IV 25d 25.6% 11.6% 41.4% 26.5% 41.3% Bid-Ask Spread % 141.91 129.10 162.84 129.10 149.64 Gamma HHI 0.33 0.20 0.41 0.34 0.20 Net GEX -220 -453 -95 -95 -440 Net DEX 4.5K 2.9K 9.1K 3.5K 9.1K Net VEX -32 -58 -24 -31 -58 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.19 0 2 1 0 Total OI 4.524 3 6 3 6
Daily Data (21 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 2021-09-01 $50.23 $0.00 21.1% 6.1% 8.2% 0.0% 85.1% 2.0% -10.7% -95 3.5K -31 0.00 129.10 N/A N/A 0 1 1 2 2021-09-02 $50.33 $0.00 21.8% 4.6% 8.2% 0.0% 0.0% 2.4% -1.0% -103 2.9K -33 0.00 141.68 N/A N/A 0 1 1 2 2021-09-03 $50.34 $0.00 21.6% 4.5% 8.1% 0.0% 0.0% 2.8% -0.9% -111 3.0K -33 0.00 142.17 N/A N/A 0 0 1 3 2021-09-07 $50.03 $0.00 25.3% 4.9% 8.5% 0.0% 0.0% 2.6% -1.9% -123 3.2K -33 0.00 141.11 N/A N/A 0 0 1 4 2021-09-08 $49.81 $0.00 16.9% 4.9% 8.6% 0.0% 0.0% 2.9% -1.6% -144 3.5K -33 0.00 140.03 N/A N/A 0 0 1 4 2021-09-09 $49.68 $0.00 12.5% 3.6% 8.4% 0.0% 0.0% 1.8% -1.1% -141 3.8K -30 0.00 134.14 N/A N/A 0 0 1 4 2021-09-10 $49.27 $0.00 18.1% 5.2% 8.8% 0.0% 0.0% 1.6% -1.5% -157 3.8K -31 0.00 138.31 N/A N/A 0 0 1 4 2021-09-13 $49.42 $0.00 19.1% 5.5% 8.9% 0.0% 0.0% 3.4% -2.7% -163 3.9K -31 0.00 139.37 N/A N/A 0 0 1 4 2021-09-14 $49.08 $0.00 16.9% 4.8% 9.1% 0.0% 0.0% 2.9% -2.2% -281 4.8K -28 0.00 135.75 N/A N/A 0 0 1 4 2021-09-15 $49.64 $0.00 17.9% 5.1% 9.5% 0.0% 0.0% 3.7% -1.1% -201 4.0K -30 0.00 137.25 N/A N/A 0 0 1 4 2021-09-16 $49.52 $0.00 18.2% 5.2% 9.4% 0.0% 0.0% 3.0% -3.1% -168 3.9K -30 0.00 138.61 N/A N/A 0 0 1 4 2021-09-17 $48.84 $0.00 19.6% 5.6% 10.4% 0.0% 0.0% 2.4% -3.3% -197 4.3K -29 0.00 139.46 N/A N/A 0 0 1 4 2021-09-20 $47.82 $0.00 22.2% 6.4% 12.2% 0.0% 0.0% 3.5% -1.7% -211 5.0K -29 0.00 133.76 N/A N/A 0 0 1 3 2021-09-21 $48.08 $0.00 28.0% 8.0% 12.0% 0.0% 0.0% 0.7% -6.6% -175 4.4K -30 0.00 162.84 N/A N/A 0 0 1 3 2021-09-22 $48.41 $0.00 22.2% 6.4% 12.3% 0.0% 0.0% 2.8% -4.8% -212 4.6K -28 0.00 140.38 N/A N/A 0 0 1 3 2021-09-23 $48.97 $0.00 19.5% 5.6% 13.1% 0.0% 0.0% 2.5% -3.5% -220 4.4K -28 0.00 139.27 N/A N/A 0 0 1 3 2021-09-24 $49.13 $0.00 10.9% 3.1% 12.9% 0.0% 0.0% 3.7% 0.3% -410 4.9K -24 0.00 137.97 N/A N/A 0 0 1 3 2021-09-27 $49.19 $0.00 28.4% 8.1% 12.4% 0.0% 0.0% 1.3% -15.8% -453 4.8K -25 0.00 154.04 N/A N/A 0 2 1 3 2021-09-28 $48.45 $0.00 31.8% 9.1% 13.4% 0.0% 0.0% 2.1% -8.8% -184 4.3K -29 0.00 151.35 N/A N/A 0 0 1 3 2021-09-29 $48.47 $0.00 35.0% 10.0% 13.4% 0.0% 0.0% 3.4% -11.4% -430 8.8K -58 0.00 153.97 N/A N/A 0 0 1 5 2021-09-30 $47.87 $0.00 33.2% 9.5% 13.9% 0.0% 0.0% 1.6% -10.5% -440 9.1K -58 0.00 149.64 N/A N/A 0 0 1 5
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