FVAL Options History — May 2022

In May 2022, FVAL traded between $45.06 and $49.23. ATM implied volatility averaged 29.0%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.5% (HV 20d: 29.5%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.61.

Notable Days

2022-05-05: Highest Volume — 15 contracts
2022-05-09: Largest IV spike — 118.9% change
2022-05-09: Highest IV Rank — 87.8%
2022-05-09: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.67	$45.06	$49.23	$47.32	$48.27
Max Pain	$49.00	$49.00	$49.00	$49.00	$49.00
ATM IV	29.0%	22.8%	53.2%	26.5%	28.9%
Expected Move	7.8%	6.3%	10.5%	7.6%	8.3%
HV 20d	29.5%	21.9%	33.4%	21.9%	31.5%
HV 60d	24.0%	21.3%	25.6%	21.3%	25.0%
IV Rank	37.5%	24.7%	87.8%	32.4%	37.4%
IV Percentile	76.5%	54.0%	99.5%	77.0%	82.7%
Term Structure	-4.3%	-11.7%	1.6%	-2.1%	-7.5%
VWIV	29.8%	26.9%	35.4%	27.2%	35.4%
Skew 25d	2.1%	-10.3%	5.8%	1.4%	1.7%
Skew 10d	2.0%	-3.0%	4.5%	1.8%	1.3%
Call IV 25d	27.7%	22.5%	36.2%	28.1%	32.1%
Put IV 25d	29.8%	14.9%	38.9%	29.5%	33.8%
Bid-Ask Spread %	127.00	121.14	132.92	123.15	132.84
Gamma HHI	0.31	0.27	0.39	0.30	0.38
Net GEX	502	-258	1.3K	408	1.3K
Net DEX	15.9K	-435	30.4K	14.4K	7.1K
Net VEX	-160	-242	-88	-196	-170
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.61	1.50	1.80	1.80	1.75
Total Volume	13.714	11	15	14	11
Total OI	25.952	24	27	26	24

Daily Data (21 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
2022-05-02	$47.32	$49.00	26.5%	7.6%	21.9%	32.4%	27.2%	1.4%	-2.1%	408	14.4K	-196	1.80	123.15	N/A	N/A	5	9	17	9
2022-05-03	$47.80	$49.00	26.3%	7.5%	21.9%	32.0%	26.9%	5.2%	-5.3%	459	11.6K	-198	1.80	125.93	N/A	N/A	5	9	17	9
2022-05-04	$49.23	$49.00	29.2%	8.4%	24.5%	38.0%	35.4%	5.2%	-4.8%	947	-435	-242	1.80	130.91	N/A	N/A	5	9	17	9
2022-05-05	$47.45	$0.00	37.8%	8.2%	27.5%	55.8%	0.0%	5.8%	-3.6%	706	10.4K	-208	1.50	122.22	N/A	N/A	6	9	17	9
2022-05-06	$47.52	$0.00	24.3%	6.3%	27.2%	27.8%	0.0%	-10.3%	1.6%	674	15.4K	-176	1.50	124.48	N/A	N/A	6	9	18	9
2022-05-09	$46.23	$0.00	53.2%	10.5%	28.5%	87.8%	0.0%	2.7%	-7.1%	596	9.9K	-201	1.50	130.69	N/A	N/A	6	9	18	9
2022-05-10	$45.98	$0.00	37.5%	8.2%	28.3%	55.3%	0.0%	2.4%	-2.4%	391	17.1K	-174	1.50	121.14	N/A	N/A	6	9	18	9
2022-05-11	$45.42	$0.00	33.1%	9.5%	28.5%	46.1%	0.0%	0.3%	-11.7%	185	22.9K	-126	1.50	123.33	N/A	N/A	6	9	18	9
2022-05-12	$45.15	$0.00	29.0%	8.3%	27.7%	37.6%	0.0%	2.5%	-3.2%	244	21.9K	-145	1.50	121.53	N/A	N/A	6	9	18	9
2022-05-13	$46.35	$0.00	22.8%	6.5%	29.9%	24.7%	0.0%	2.7%	0.2%	193	21.8K	-146	1.50	124.65	N/A	N/A	6	9	18	9
2022-05-16	$46.38	$0.00	25.6%	7.3%	29.9%	30.6%	0.0%	2.0%	-3.5%	344	18.9K	-158	1.50	131.02	N/A	N/A	6	9	18	9
2022-05-17	$47.41	$0.00	24.8%	7.1%	30.3%	28.9%	0.0%	2.0%	-5.2%	500	16.0K	-164	1.50	132.63	N/A	N/A	6	9	18	9
2022-05-18	$45.52	$0.00	24.2%	6.9%	33.0%	27.7%	0.0%	-0.2%	-5.5%	333	21.9K	-142	1.50	127.88	N/A	N/A	6	9	18	9
2022-05-19	$45.27	$0.00	28.0%	8.0%	32.8%	35.5%	0.0%	1.6%	-4.6%	180	23.8K	-133	1.50	130.37	N/A	N/A	6	9	18	9
2022-05-20	$45.06	$0.00	24.5%	7.0%	32.2%	28.3%	0.0%	2.1%	-2.4%	-258	30.4K	-88	1.50	121.90	N/A	N/A	6	9	18	9
2022-05-23	$46.04	$0.00	24.2%	6.9%	33.4%	27.5%	0.0%	3.7%	-3.7%	347	19.0K	-112	1.75	123.04	N/A	N/A	4	7	17	7
2022-05-24	$45.88	$0.00	24.6%	7.0%	32.7%	28.4%	0.0%	4.1%	-2.8%	345	18.3K	-116	1.75	122.88	N/A	N/A	4	7	17	7
2022-05-25	$46.39	$0.00	29.0%	8.3%	33.0%	37.7%	0.0%	4.9%	-5.8%	630	14.4K	-141	1.75	130.96	N/A	N/A	4	7	17	7
2022-05-26	$47.32	$0.00	27.6%	7.9%	32.8%	34.6%	0.0%	2.7%	-6.0%	871	11.6K	-154	1.75	132.54	N/A	N/A	4	7	17	7
2022-05-27	$48.16	$0.00	27.0%	7.7%	31.5%	33.5%	0.0%	1.7%	-5.3%	1.2K	8.1K	-173	1.75	132.92	N/A	N/A	4	7	17	7
2022-05-31	$48.27	$0.00	28.9%	8.3%	31.5%	37.4%	0.0%	1.7%	-7.5%	1.3K	7.1K	-170	1.75	132.84	N/A	N/A	4	7	17	7