FVAL Options History — October 2021 In October 2021, FVAL traded between $47.90 and $50.18. ATM implied volatility averaged 24.5%. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 10.7% (HV 20d: 13.8%). Max pain ranged from $53.00 to $53.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days.
Notable Days 2021-10-20 : Highest Volume — 5 contracts2021-10-13 : Largest IV drop — 59.0% change2021-10-01 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $49.22 $47.90 $50.18 $48.30 $49.92 Max Pain $53.00 $53.00 $53.00 $53.00 $53.00 ATM IV 24.5% 16.9% 47.3% 34.2% 19.1% Expected Move 5.5% 4.4% 9.8% 9.8% 5.5% HV 20d 13.8% 10.4% 16.0% 14.4% 10.4% HV 60d 11.9% 11.2% 12.7% 12.7% 11.4% Term Structure -2.5% -12.2% -0.1% -12.2% -2.4% Skew 25d 2.6% 0.9% 4.0% 3.0% 1.9% Skew 10d 7.5% -2.5% 13.1% 3.1% 11.6% Call IV 25d 20.2% 14.8% 39.8% 39.8% 21.7% Put IV 25d 22.8% 15.7% 42.8% 42.8% 23.6% Bid-Ask Spread % 151.10 137.48 154.93 148.19 154.93 Gamma HHI 0.21 0.20 0.22 0.20 0.21 Net GEX -516 -707 -449 -449 -548 Net DEX 8.1K 6.8K 9.8K 9.2K 7.3K Net VEX -54 -57 -50 -57 -51 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 1.905 0 5 0 5 Total OI 6 6 6 6 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 2021-10-01 $48.30 $0.00 34.2% 9.8% 14.4% 0.0% 0.0% 3.0% -12.2% -449 9.2K -57 0.00 148.19 N/A N/A 0 0 1 5 2021-10-04 $47.90 $53.00 39.5% 7.2% 14.5% 0.0% 0.0% 2.9% -8.8% -498 8.8K -56 0.00 146.83 N/A N/A 0 0 1 5 2021-10-05 $48.38 $53.00 29.3% 5.5% 15.1% 0.0% 0.0% 3.7% -0.3% -468 9.2K -56 0.00 151.79 N/A N/A 0 0 1 5 2021-10-06 $48.27 $53.00 29.8% 4.4% 15.1% 0.0% 0.0% 4.0% -0.1% -549 9.8K -54 0.00 137.48 N/A N/A 0 0 1 5 2021-10-07 $48.80 $53.00 29.8% 5.0% 15.7% 0.0% 0.0% 2.4% -0.3% -466 8.6K -56 0.00 149.63 N/A N/A 0 0 1 5 2021-10-08 $48.82 $53.00 30.4% 5.1% 15.5% 0.0% 0.0% 3.3% -0.4% -475 8.7K -55 0.00 150.83 N/A N/A 0 0 1 5 2021-10-11 $48.52 $53.00 38.3% 5.1% 15.5% 0.0% 0.0% 2.0% -2.0% -503 8.8K -55 0.00 147.82 N/A N/A 0 0 1 5 2021-10-12 $48.19 $53.00 47.3% 5.5% 15.5% 0.0% 0.0% 2.9% -1.2% -520 9.4K -54 0.00 150.75 N/A N/A 0 0 1 5 2021-10-13 $48.33 $53.00 19.4% 5.5% 14.9% 0.0% 0.0% 3.2% -2.3% -534 9.4K -54 0.00 153.65 N/A N/A 0 0 1 5 2021-10-14 $49.07 $53.00 17.5% 5.0% 16.0% 0.0% 0.0% 3.0% -1.5% -523 8.5K -54 0.00 151.73 N/A N/A 0 0 1 5 2021-10-15 $49.49 $53.00 17.8% 5.1% 15.5% 0.0% 0.0% 2.6% -2.1% -500 7.9K -55 0.00 154.86 N/A N/A 0 0 1 5 2021-10-18 $49.58 $53.00 16.9% 4.9% 13.2% 0.0% 0.0% 2.6% -2.0% -539 8.0K -54 0.00 150.72 N/A N/A 0 0 1 5 2021-10-19 $49.88 $53.00 17.4% 5.0% 13.2% 0.0% 0.0% 2.8% -1.9% -499 7.3K -53 0.00 154.16 N/A N/A 0 0 1 5 2021-10-20 $50.18 $53.00 17.2% 4.9% 13.2% 0.0% 0.0% 3.0% -1.8% -471 6.9K -53 0.00 151.25 N/A N/A 0 5 1 5 2021-10-21 $50.11 $53.00 18.0% 5.1% 12.7% 0.0% 0.0% 2.5% -2.0% -471 6.9K -53 0.00 152.83 N/A N/A 0 5 1 5 2021-10-22 $50.01 $53.00 17.4% 5.0% 12.7% 0.0% 0.0% 2.3% -2.1% -500 7.0K -52 0.00 151.81 N/A N/A 0 5 1 5 2021-10-25 $50.12 $53.00 18.1% 5.2% 12.7% 0.0% 0.0% 2.1% -2.1% -609 7.2K -51 0.00 153.13 N/A N/A 0 5 1 5 2021-10-26 $50.13 $53.00 19.0% 5.4% 11.2% 0.0% 0.0% 1.8% -2.6% -485 6.8K -52 0.00 153.21 N/A N/A 0 5 1 5 2021-10-27 $49.69 $53.00 18.7% 5.4% 11.8% 0.0% 0.0% 1.2% -2.3% -527 7.5K -52 0.00 153.71 N/A N/A 0 5 1 5 2021-10-28 $49.92 $53.00 18.6% 5.3% 10.7% 0.0% 0.0% 0.9% -2.8% -707 7.4K -50 0.00 153.88 N/A N/A 0 5 1 5 2021-10-29 $49.92 $53.00 19.1% 5.5% 10.4% 0.0% 0.0% 1.9% -2.4% -548 7.3K -51 0.00 154.93 N/A N/A 0 5 1 5
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