FVAL Options History — February 2022 In February 2022, FVAL traded between $48.27 and $51.99. ATM implied volatility averaged 23.5%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.3% (HV 20d: 18.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.80.
Notable Days 2022-02-16 : Highest Volume — 20 contracts2022-02-11 : Largest IV spike — 81.4% change2022-02-11 : Highest IV Rank — 62.9%2022-02-11 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $50.42 $48.27 $51.99 $51.40 $49.39 Max Pain $45.95 $45.00 $50.00 $50.00 $49.00 ATM IV 23.5% 17.6% 33.8% 25.7% 25.2% Expected Move 6.3% 5.1% 9.7% 7.4% 7.2% HV 20d 18.2% 15.9% 21.7% 15.9% 21.5% HV 60d 16.0% 14.6% 17.5% 14.6% 17.5% IV Rank 34.5% 18.5% 62.9% 40.8% 39.3% IV Percentile 62.5% 18.6% 91.4% 76.1% 74.6% Term Structure -3.1% -13.1% 0.7% -5.2% -2.6% VWIV 29.4% 22.6% 44.2% 29.4% 26.6% Skew 25d 2.6% -6.7% 16.0% 2.5% 3.1% Skew 10d 2.6% -6.5% 16.7% 2.9% 3.4% Call IV 25d 22.4% 16.1% 29.7% 29.7% 26.7% Put IV 25d 25.0% 19.6% 32.6% 32.2% 29.9% Bid-Ask Spread % 127.64 121.12 135.66 132.16 125.45 Gamma HHI 0.35 0.27 0.51 0.44 0.27 Net GEX 1.5K 609 2.1K 914 609 Net DEX -21.7K -36.7K -10.8K -19.6K -10.8K Net VEX -249 -284 -200 -207 -262 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.54 1.40 0.88 1.00 Total Volume 16 11 20 15 14 Total OI 23.895 19 28 19 28
Daily Data (19 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 2022-02-01 $51.40 $50.00 25.7% 7.4% 15.9% 40.8% 29.4% 2.5% -5.2% 914 -19.6K -207 0.88 132.16 N/A N/A 8 7 12 7 2022-02-02 $51.99 $50.00 22.2% 6.4% 16.0% 31.0% 26.9% 3.1% 0.7% 1.4K -22.1K -203 1.40 131.99 N/A N/A 5 7 12 7 2022-02-03 $50.98 $45.00 23.9% 5.3% 16.9% 35.9% 29.7% 2.5% -0.7% 942 -17.5K -204 1.40 129.78 N/A N/A 5 7 12 7 2022-02-04 $51.18 $45.00 23.8% 5.2% 16.9% 35.4% 27.4% 1.8% 0.1% 849 -18.5K -200 0.64 125.25 N/A N/A 11 7 12 7 2022-02-07 $50.89 $45.00 26.2% 5.4% 17.0% 42.0% 26.9% 2.7% -0.3% 1.8K -27.4K -277 0.64 126.61 N/A N/A 11 7 18 7 2022-02-08 $51.24 $45.00 25.9% 5.1% 17.1% 41.1% 26.4% 2.8% -0.1% 1.9K -29.7K -277 0.64 127.91 N/A N/A 11 7 18 7 2022-02-09 $51.88 $45.00 17.6% 5.1% 17.2% 18.5% 32.1% 2.6% -1.0% 2.0K -36.7K -284 0.64 131.54 N/A N/A 11 7 18 7 2022-02-10 $50.98 $45.00 18.6% 5.3% 18.2% 21.2% 32.5% 0.9% -3.5% 1.9K -29.6K -277 0.64 123.90 N/A N/A 11 7 18 7 2022-02-11 $50.36 $45.00 33.8% 9.7% 18.6% 62.9% 39.2% -3.0% -13.1% 1.8K -23.9K -265 0.64 135.66 N/A N/A 11 7 18 7 2022-02-14 $50.20 $45.00 25.3% 7.3% 18.6% 39.7% 44.2% 16.0% -3.0% 1.1K -22.8K -261 0.64 131.82 N/A N/A 11 7 18 7 2022-02-15 $50.73 $45.00 20.1% 5.8% 18.3% 25.2% 32.7% 3.7% -3.3% 1.7K -25.8K -263 0.64 130.85 N/A N/A 11 7 18 7 2022-02-16 $51.01 $45.00 19.5% 5.6% 18.3% 23.7% 28.9% 3.1% -2.0% 1.9K -27.1K -267 0.54 125.92 N/A N/A 13 7 18 7 2022-02-17 $50.09 $45.00 20.4% 5.9% 19.0% 26.3% 22.6% 2.2% -2.3% 1.8K -21.9K -255 0.54 127.07 N/A N/A 13 7 19 7 2022-02-18 $49.77 $45.00 21.1% 6.0% 17.8% 28.0% 23.5% 3.0% -1.8% 1.6K -19.7K -261 0.88 125.46 N/A N/A 8 7 20 7 2022-02-22 $49.22 $45.00 26.0% 7.5% 18.2% 41.5% 26.9% 0.8% -4.8% 2.1K -18.5K -242 0.57 121.12 N/A N/A 7 4 19 4 2022-02-23 $48.27 $45.00 22.8% 6.5% 19.3% 32.7% 29.9% -6.7% -12.8% 1.7K -13.3K -221 0.57 122.95 N/A N/A 7 4 19 4 2022-02-24 $48.50 $45.00 24.7% 7.1% 19.2% 38.1% 27.3% 4.3% -2.8% 1.8K -13.0K -220 1.29 126.05 N/A N/A 7 9 19 4 2022-02-25 $49.87 $49.00 22.9% 6.6% 21.7% 33.1% 24.9% 3.6% -0.7% 672 -15.2K -276 1.00 123.62 N/A N/A 7 7 19 9 2022-02-28 $49.39 $49.00 25.2% 7.2% 21.5% 39.3% 26.6% 3.1% -2.6% 609 -10.8K -262 1.00 125.45 N/A N/A 7 7 19 9
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