FVAL Options History — March 2022

In March 2022, FVAL traded between $47.69 and $52.10. ATM implied volatility averaged 25.7%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.2% (HV 20d: 23.5%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.94.

Notable Days

  • 2022-03-01: Highest Volume — 14 contracts
  • 2022-03-08: Largest IV drop — 44.4% change
  • 2022-03-07: Highest IV Rank — 93.5%
  • 2022-03-07: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.81$47.69$52.10$48.82$51.17
Max Pain$49.00$49.00$49.00$49.00$49.00
ATM IV25.7%20.0%44.9%25.8%22.2%
Expected Move7.1%4.2%12.9%7.4%4.7%
HV 20d23.5%20.6%26.0%21.0%20.6%
HV 60d19.0%17.6%19.7%17.6%19.7%
IV Rank40.8%25.2%93.5%41.0%31.1%
IV Percentile67.6%40.7%99.4%76.4%55.6%
Term Structure-5.0%-13.7%2.6%-1.9%-6.1%
VWIV27.2%17.6%46.6%27.8%18.2%
Skew 25d3.9%-5.6%26.7%2.9%-5.6%
Skew 10d1.4%-14.8%26.0%3.1%0.8%
Call IV 25d25.0%13.4%30.7%27.4%26.0%
Put IV 25d28.8%20.4%40.9%30.3%20.4%
Bid-Ask Spread %129.27108.81140.40123.51128.84
Gamma HHI0.310.250.420.270.39
Net GEX1.3K2322.8K5192.5K
Net DEX-15.2K-32.2K2.2K-6.2K-25.6K
Net VEX-246-272-217-248-240
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.801.001.000.80
Total Volume11.957814149
Total OI26.04323282823

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$48.82$49.0025.8%7.4%21.0%41.0%27.8%2.9%-1.9%519-6.2K-2481.00123.51N/AN/A77199
2022-03-02$50.10$49.0024.8%7.1%22.8%38.2%27.6%6.7%1.3%821-17.8K-2721.00124.95N/AN/A77199
2022-03-03$49.62$49.0026.0%7.5%22.4%41.6%27.9%9.3%-1.3%880-12.9K-2601.00126.22N/AN/A77199
2022-03-04$49.27$49.0037.5%10.7%21.6%73.0%39.9%2.2%-4.7%735-12.2K-2721.00131.62N/AN/A77199
2022-03-07$47.89$49.0044.9%12.9%23.4%93.5%46.6%-1.3%-11.9%603-2.7K-2391.00137.70N/AN/A77199
2022-03-08$47.69$49.0024.9%10.4%23.4%38.7%37.1%2.4%-4.1%3422.2K-2221.00128.00N/AN/A77199
2022-03-09$48.88$49.0023.9%10.8%25.2%35.9%42.2%2.6%-9.5%480-6.9K-2491.00134.42N/AN/A77199
2022-03-10$48.52$49.0021.1%9.6%24.7%28.2%38.4%2.9%-1.4%232-2.8K-2341.00128.80N/AN/A77199
2022-03-11$48.21$49.0024.6%11.7%24.1%37.8%44.3%-1.3%-5.6%263475-2171.00133.19N/AN/A77199
2022-03-14$47.74$49.0033.8%6.4%24.0%62.9%21.4%16.4%-13.7%589-2.3K-2341.00119.22N/AN/A77199
2022-03-15$48.57$49.0025.5%7.1%25.0%40.2%25.6%26.7%2.6%560-6.5K-2441.00108.81N/AN/A77199
2022-03-16$49.32$49.0027.4%5.6%25.4%45.4%25.3%4.4%-9.8%784-10.6K-2391.00120.76N/AN/A77199
2022-03-17$50.10$49.0024.3%6.3%26.0%37.0%26.7%3.2%-1.1%873-20.0K-2561.00123.82N/AN/A77199
2022-03-18$50.33$49.0020.2%5.0%25.2%25.5%18.7%1.8%-3.6%927-14.8K-2381.00135.46N/AN/A77189
2022-03-21$50.27$49.0024.6%5.5%25.1%37.6%21.3%2.1%-5.3%1.8K-20.1K-2461.00133.86N/AN/A44176
2022-03-22$51.08$49.0020.0%4.6%25.3%25.2%19.9%2.7%-3.3%2.3K-23.4K-2491.00130.34N/AN/A44176
2022-03-23$50.65$49.0027.1%5.8%24.4%44.5%21.2%2.0%-7.0%1.8K-24.5K-2510.80140.40N/AN/A54176
2022-03-24$51.02$49.0023.6%5.2%24.4%34.8%18.8%2.6%-5.4%2.3K-26.8K-2540.80132.93N/AN/A54186
2022-03-25$51.25$49.0024.0%5.2%22.5%36.2%20.2%1.9%-5.9%2.2K-26.5K-2490.80136.23N/AN/A54176
2022-03-28$51.37$49.0024.9%5.2%22.2%38.5%20.5%2.0%-6.8%2.2K-27.1K-2490.80136.37N/AN/A54176
2022-03-29$52.10$49.0020.1%4.3%21.9%25.3%17.6%2.1%-4.7%2.8K-32.2K-2480.80129.36N/AN/A54176
2022-03-30$51.62$49.0020.5%4.2%20.6%26.4%17.9%0.3%-6.2%2.6K-30.7K-2470.80128.34N/AN/A54176
2022-03-31$51.17$49.0022.2%4.7%20.6%31.1%18.2%-5.6%-6.1%2.5K-25.6K-2400.80128.84N/AN/A54176