FVAL Options History — December 2021 In December 2021, FVAL traded between $49.38 and $52.41. ATM implied volatility averaged 23.6%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 7.9% (HV 20d: 15.7%). Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.97.
Notable Days 2021-12-29 : Highest Volume — 11 contracts2021-12-27 : Largest IV spike — 86.7% change2021-12-27 : Highest IV Rank — 28.2%2021-12-03 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $51.22 $49.38 $52.41 $49.51 $52.31 ATM IV 23.6% 11.3% 43.1% 22.9% 16.4% Expected Move 5.4% 3.2% 8.4% 6.6% 4.7% HV 20d 15.7% 11.6% 19.1% 11.6% 16.0% HV 60d 12.9% 12.2% 13.5% 12.3% 12.7% IV Rank 19.6% 1.2% 28.2% 27.6% 15.0% IV Percentile 31.1% 0.8% 54.6% 52.4% 9.0% Term Structure -1.7% -8.4% 4.7% -8.4% -1.1% Skew 25d 2.1% -0.4% 4.6% -0.4% 0.1% Skew 10d 2.2% 0.3% 4.3% 0.8% 0.3% Call IV 25d 20.3% 12.4% 31.4% 28.9% 15.6% Put IV 25d 22.4% 15.5% 32.8% 28.6% 15.8% Bid-Ask Spread % 130.14 123.70 137.59 129.93 132.09 Gamma HHI 0.29 0.26 0.51 0.26 0.51 Net GEX -579 -822 912 -655 912 Net DEX 3.9K -24.1K 8.5K 8.0K -24.1K Net VEX -48 -188 -27 -43 -188 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.83 1.25 0.83 0.83 Total Volume 5.727 5 11 5 11 Total OI 5.727 5 15 5 15
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 2021-12-01 $49.51 $0.00 22.9% 6.6% 11.6% 0.0% 0.0% -0.4% -8.4% -655 8.0K -43 0.00 129.93 N/A N/A 0 5 0 5 2021-12-02 $49.95 $0.00 27.5% 7.9% 11.6% 0.0% 0.0% 4.3% -6.7% -686 8.3K -43 0.00 128.96 N/A N/A 0 5 0 5 2021-12-03 $49.38 $0.00 29.2% 8.4% 12.2% 0.0% 0.0% 0.8% -8.1% -610 8.5K -43 0.00 128.57 N/A N/A 0 5 0 5 2021-12-06 $50.36 $0.00 29.4% 6.0% 13.9% 0.0% 0.0% 3.3% 2.1% -629 7.7K -42 0.00 123.70 N/A N/A 0 5 0 5 2021-12-07 $51.09 $0.00 27.7% 5.2% 14.9% 0.0% 0.0% 3.1% 1.8% -651 6.5K -40 0.00 128.66 N/A N/A 0 5 0 5 2021-12-08 $51.28 $0.00 28.0% 4.4% 15.0% 0.0% 0.0% 4.6% 4.7% -703 6.2K -39 0.00 130.39 N/A N/A 0 5 0 5 2021-12-09 $51.23 $0.00 28.9% 5.0% 14.8% 0.0% 0.0% 1.8% 0.2% -705 6.1K -38 0.00 130.56 N/A N/A 0 5 0 5 2021-12-10 $51.61 $0.00 30.2% 4.7% 15.0% 0.0% 0.0% 2.8% -0.7% -750 5.6K -36 0.00 129.96 N/A N/A 0 5 0 5 2021-12-13 $51.40 $0.00 39.0% 5.1% 14.9% 0.0% 0.0% 1.8% -1.9% -710 5.8K -37 0.00 130.13 N/A N/A 0 5 0 5 2021-12-14 $51.00 $0.00 43.1% 5.1% 15.2% 0.0% 0.0% 2.2% -0.7% -724 6.4K -38 0.00 128.70 N/A N/A 0 5 0 5 2021-12-15 $51.63 $0.00 16.4% 4.7% 15.8% 0.0% 0.0% 3.0% -0.4% -822 5.4K -34 0.00 126.28 N/A N/A 0 5 0 5 2021-12-16 $51.72 $0.00 16.6% 4.8% 15.7% 0.0% 0.0% 1.3% -1.8% -719 5.2K -35 0.00 127.69 N/A N/A 0 5 0 5 2021-12-17 $50.96 $0.00 18.4% 5.3% 16.6% 0.0% 0.0% 1.7% -1.3% -715 6.2K -37 0.00 129.43 N/A N/A 0 5 0 5 2021-12-20 $50.09 $0.00 20.9% 6.0% 17.6% 27.6% 0.0% 2.7% -0.6% -720 7.6K -39 0.00 129.52 N/A N/A 0 5 0 5 2021-12-21 $50.96 $0.00 18.6% 5.3% 18.6% 21.1% 0.0% 2.1% -0.9% -768 6.3K -36 0.00 128.41 N/A N/A 0 5 0 5 2021-12-22 $51.36 $0.00 18.3% 5.2% 18.9% 20.4% 0.0% 2.2% -1.6% -722 5.5K -35 0.00 130.66 N/A N/A 0 5 0 5 2021-12-23 $51.78 $0.00 11.3% 3.2% 19.1% 1.2% 0.0% 3.1% 0.2% -733 4.4K -30 0.00 133.84 N/A N/A 0 5 0 5 2021-12-27 $52.13 $0.00 21.1% 6.1% 17.8% 28.2% 0.0% 1.7% -2.9% -641 4.7K -32 0.00 137.59 N/A N/A 0 5 0 5 2021-12-28 $52.36 $0.00 18.7% 5.4% 17.8% 21.4% 0.0% 1.5% -2.7% -639 4.1K -29 0.00 132.31 N/A N/A 0 5 0 5 2021-12-29 $52.41 $0.00 18.3% 5.3% 16.2% 20.5% 0.0% 1.6% -2.7% -638 3.9K -27 0.83 133.06 N/A N/A 6 5 0 5 2021-12-30 $52.35 $0.00 18.5% 5.3% 16.1% 21.0% 0.0% 0.8% -3.1% 295 -13.1K -124 1.25 132.59 N/A N/A 4 5 6 5 2021-12-31 $52.31 $0.00 16.4% 4.7% 16.0% 15.0% 0.0% 0.1% -1.1% 912 -24.1K -188 0.83 132.09 N/A N/A 6 5 10 5
« Nov 2021 | All History | Jan 2022 » Home FVAL History December 2021