FVAL Options History — November 2021

In November 2021, FVAL traded between $49.70 and $51.40. ATM implied volatility averaged 20.2%. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 11.9% (HV 20d: 8.3%). 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 1 of 21 days.

Notable Days

  • 2021-11-01: Highest Volume — 5 contracts
  • 2021-11-09: Largest IV spike — 71.7% change
  • 2021-11-24: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.89$49.70$51.40$50.08$49.70
Max Pain$53.00$53.00$53.00$53.00$53.00
ATM IV20.2%14.4%26.6%21.1%23.7%
Expected Move5.5%3.5%7.6%6.1%6.8%
HV 20d8.3%6.5%11.6%9.8%11.6%
HV 60d11.4%11.1%12.3%11.4%12.3%
Term Structure-3.6%-8.1%2.6%-4.0%-7.2%
Skew 25d1.7%-2.0%6.5%2.5%1.6%
Skew 10d3.5%-5.4%16.2%14.5%1.5%
Call IV 25d20.9%11.2%30.7%23.3%27.2%
Put IV 25d22.5%11.5%32.5%25.7%28.8%
Bid-Ask Spread %137.63128.55154.23154.23128.55
Gamma HHI0.240.210.270.210.26
Net GEX-483-732-321-504-659
Net DEX5.9K4.6K8.1K6.9K8.1K
Net VEX-45-50-40-50-43
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume55555
Total OI5.7145665

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$50.08$53.0021.1%6.1%9.8%0.0%0.0%2.5%-4.0%-5046.9K-500.00154.23N/AN/A0515
2021-11-02$50.22$53.0021.6%6.2%9.3%0.0%0.0%3.0%-4.3%-5196.8K-500.00153.88N/AN/A0515
2021-11-03$50.67$53.0020.5%5.9%9.5%0.0%0.0%6.5%-3.9%-4996.0K-480.00151.07N/AN/A0515
2021-11-04$50.65$0.0020.6%4.5%9.0%0.0%0.0%1.0%-2.6%-4835.8K-480.00134.55N/AN/A0515
2021-11-05$51.08$0.0021.9%4.6%9.3%0.0%0.0%1.8%-0.8%-3585.3K-480.00133.69N/AN/A0515
2021-11-08$51.15$0.0014.4%3.5%8.7%0.0%0.0%0.4%2.6%-3774.7K-430.00131.57N/AN/A0515
2021-11-09$51.11$0.0024.8%4.8%8.1%0.0%0.0%1.5%-1.3%-3645.3K-460.00134.75N/AN/A0515
2021-11-10$50.80$0.0017.3%5.0%8.7%0.0%0.0%1.2%-2.2%-3805.8K-470.00131.40N/AN/A0515
2021-11-11$50.98$0.0018.0%5.2%7.3%0.0%0.0%1.7%-2.1%-3715.5K-470.00135.05N/AN/A0515
2021-11-12$51.29$0.0017.0%4.9%7.1%0.0%0.0%1.6%-1.3%-3455.0K-450.00134.38N/AN/A0515
2021-11-15$51.30$0.0018.2%5.2%7.1%0.0%0.0%1.2%-4.2%-3214.8K-430.00134.64N/AN/A0515
2021-11-16$51.40$0.0017.6%5.0%6.9%0.0%0.0%1.9%-3.2%-3264.6K-430.00135.22N/AN/A0515
2021-11-17$51.17$0.0018.4%5.3%7.0%0.0%0.0%1.3%-4.0%-3565.1K-430.00135.75N/AN/A0515
2021-11-18$51.28$0.0018.2%5.2%7.0%0.0%0.0%-2.0%-2.6%-3815.0K-410.00133.90N/AN/A0515
2021-11-19$51.02$0.0018.6%5.3%7.3%0.0%0.0%0.9%-3.8%-3635.6K-430.00134.94N/AN/A0515
2021-11-22$51.30$0.0019.1%5.5%7.4%0.0%0.0%1.7%-3.6%-7016.0K-400.00134.65N/AN/A0505
2021-11-23$51.24$0.0019.8%5.7%7.5%0.0%0.0%2.3%-8.1%-7326.2K-410.00135.26N/AN/A0505
2021-11-24$51.29$0.0026.6%7.6%6.5%0.0%0.0%1.9%-6.2%-6636.5K-410.00147.19N/AN/A0505
2021-11-26$50.34$0.0024.3%7.0%9.6%0.0%0.0%1.4%-6.6%-7227.5K-430.00139.25N/AN/A0505
2021-11-29$50.59$0.0022.6%6.5%9.7%0.0%0.0%1.6%-6.3%-7096.9K-420.00136.27N/AN/A0505
2021-11-30$49.70$0.0023.7%6.8%11.6%0.0%0.0%1.6%-7.2%-6598.1K-430.00128.55N/AN/A0505