FVAL Options History — January 2022

In January 2022, FVAL traded between $49.26 and $53.00. ATM implied volatility averaged 23.1%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 9.3% (HV 20d: 13.8%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.03.

Notable Days

2022-01-20: Highest Volume — 15 contracts
2022-01-26: Largest IV spike — 47.2% change
2022-01-26: Highest IV Rank — 85.0%
2022-01-26: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.31	$49.26	$53.00	$52.48	$50.80
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	23.1%	14.5%	41.8%	19.6%	24.1%
Expected Move	6.2%	4.1%	12.0%	5.6%	6.9%
HV 20d	13.8%	12.1%	15.2%	15.1%	15.2%
HV 60d	13.2%	12.5%	14.4%	12.5%	14.4%
IV Rank	33.6%	9.8%	85.0%	23.9%	36.3%
IV Percentile	59.7%	6.2%	98.7%	48.9%	69.5%
Term Structure	-2.5%	-11.1%	3.7%	-3.7%	-5.6%
VWIV	24.8%	20.9%	40.3%	20.9%	25.0%
Skew 25d	2.4%	0.6%	8.6%	1.7%	3.6%
Skew 10d	1.9%	-2.5%	3.4%	1.6%	3.4%
Call IV 25d	23.0%	13.1%	42.2%	22.5%	24.9%
Put IV 25d	25.4%	19.2%	45.6%	24.2%	28.5%
Bid-Ask Spread %	127.91	121.53	144.56	131.43	125.91
Gamma HHI	0.41	0.31	0.55	0.52	0.41
Net GEX	603	355	969	848	783
Net DEX	-15.8K	-27.1K	-6.5K	-24.8K	-16.1K
Net VEX	-209	-221	-186	-189	-207
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.83	1.17	0.83	0.88
Total Volume	13.7	11	15	11	15
Total OI	17.5	15	19	15	19

Daily Data (20 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
2022-01-03	$52.48	$0.00	19.6%	5.6%	15.1%	23.9%	0.0%	1.7%	-3.7%	848	-24.8K	-189	0.83	131.43	N/A	N/A	6	5	10	5
2022-01-04	$53.00	$0.00	19.2%	5.5%	14.1%	22.8%	0.0%	1.6%	-3.1%	969	-27.1K	-186	1.17	132.18	N/A	N/A	6	7	10	5
2022-01-05	$52.35	$0.00	21.1%	6.1%	14.3%	28.2%	0.0%	0.6%	-6.1%	475	-20.2K	-220	1.17	127.80	N/A	N/A	6	7	10	7
2022-01-06	$52.11	$50.00	21.9%	4.8%	14.4%	30.4%	20.9%	2.0%	1.2%	452	-17.8K	-221	1.17	126.75	N/A	N/A	6	7	10	7
2022-01-07	$52.26	$50.00	23.3%	4.9%	14.4%	34.0%	21.7%	2.8%	1.8%	460	-18.2K	-221	1.17	126.08	N/A	N/A	6	7	10	7
2022-01-10	$51.96	$50.00	25.0%	5.2%	14.4%	38.8%	22.2%	3.1%	1.4%	479	-16.1K	-219	1.17	123.75	N/A	N/A	6	7	10	7
2022-01-11	$52.54	$50.00	24.2%	4.5%	14.8%	36.7%	22.3%	2.9%	0.8%	663	-19.0K	-215	1.17	123.94	N/A	N/A	6	7	10	7
2022-01-12	$52.60	$50.00	21.0%	6.0%	14.4%	27.8%	27.7%	1.2%	-2.5%	554	-19.8K	-219	1.17	137.28	N/A	N/A	6	7	10	7
2022-01-13	$52.44	$50.00	17.7%	5.1%	13.9%	18.7%	21.7%	0.8%	-1.5%	572	-20.5K	-213	1.17	125.90	N/A	N/A	6	7	10	7
2022-01-14	$52.47	$50.00	18.1%	5.2%	13.9%	19.9%	23.2%	2.7%	0.2%	555	-19.0K	-215	1.17	126.78	N/A	N/A	6	7	10	7
2022-01-18	$51.63	$50.00	14.5%	4.1%	14.1%	9.8%	20.9%	8.6%	3.7%	486	-15.5K	-211	1.17	123.09	N/A	N/A	6	7	10	7
2022-01-19	$51.28	$50.00	20.1%	5.7%	12.8%	25.2%	22.6%	2.0%	-1.4%	375	-14.4K	-213	1.17	125.44	N/A	N/A	6	7	10	7
2022-01-20	$50.68	$50.00	20.0%	5.7%	12.1%	24.9%	21.2%	1.0%	-5.4%	355	-11.1K	-211	0.88	121.60	N/A	N/A	8	7	10	7
2022-01-21	$49.71	$50.00	23.6%	6.8%	13.4%	34.8%	24.1%	0.8%	-4.0%	708	-10.6K	-209	0.88	127.30	N/A	N/A	8	7	12	7
2022-01-24	$49.46	$50.00	25.1%	7.2%	12.9%	39.2%	24.7%	1.3%	0.1%	480	-6.5K	-196	0.88	121.53	N/A	N/A	8	7	12	7
2022-01-25	$49.71	$50.00	28.4%	8.1%	12.8%	48.1%	30.5%	2.2%	-3.7%	748	-9.5K	-202	0.88	130.08	N/A	N/A	8	7	12	7
2022-01-26	$49.26	$50.00	41.8%	12.0%	12.7%	85.0%	40.3%	3.4%	-11.1%	773	-10.9K	-212	0.88	144.56	N/A	N/A	8	7	12	7
2022-01-27	$49.45	$50.00	26.8%	7.7%	12.9%	43.7%	23.7%	1.2%	-6.9%	569	-9.6K	-204	0.88	128.12	N/A	N/A	8	7	12	7
2022-01-28	$50.04	$50.00	26.9%	7.7%	13.9%	44.0%	29.6%	4.1%	-5.2%	749	-9.8K	-200	0.88	128.63	N/A	N/A	8	7	12	7
2022-01-31	$50.80	$50.00	24.1%	6.9%	15.2%	36.3%	25.0%	3.6%	-5.6%	783	-16.1K	-207	0.88	125.91	N/A	N/A	8	7	12	7