FVAL Options History — June 2022

In June 2022, FVAL traded between $42.11 and $48.32. ATM implied volatility averaged 28.4%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 1.4% (HV 20d: 29.7%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 4.37.

Notable Days

2022-06-02: Highest Volume — 22 contracts
2022-06-13: Largest IV spike — 43.9% change
2022-06-02: Highest IV Rank — 48.3%
2022-06-16: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.88	$42.11	$48.32	$48.06	$43.12
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	28.4%	20.4%	34.2%	24.6%	33.7%
Expected Move	7.7%	4.2%	9.7%	7.0%	9.7%
HV 20d	29.7%	24.6%	32.5%	31.3%	30.8%
HV 60d	26.2%	23.8%	28.3%	24.3%	28.1%
IV Rank	36.3%	19.7%	48.3%	28.4%	47.4%
IV Percentile	75.5%	36.3%	91.2%	63.0%	89.7%
Term Structure	-2.3%	-7.2%	8.5%	-5.7%	-4.6%
VWIV	22.0%	12.8%	33.3%	24.9%	19.2%
Skew 25d	4.3%	-3.2%	11.3%	0.5%	10.9%
Skew 10d	2.6%	-3.7%	10.4%	-0.1%	5.0%
Call IV 25d	26.0%	13.9%	31.4%	28.3%	27.4%
Put IV 25d	30.3%	21.3%	38.4%	28.8%	38.4%
Bid-Ask Spread %	127.13	116.00	135.41	123.95	125.30
Gamma HHI	0.51	0.31	0.70	0.39	0.65
Net GEX	-1.8K	-3.4K	1.4K	1.2K	-2.6K
Net DEX	39.8K	-2.4K	62.2K	8.9K	50.2K
Net VEX	-136	-220	-71	-165	-71
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.37	1.75	4.50	1.75	4.50
Total Volume	21.476	11	22	11	22
Total OI	33.238	24	35	24	32

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
2022-06-01	$48.06	$0.00	24.6%	7.0%	31.3%	28.4%	0.0%	0.5%	-5.7%	1.2K	8.9K	-165	1.75	123.95	N/A	N/A	4	7	17	7
2022-06-02	$48.20	$0.00	34.2%	8.1%	29.4%	48.3%	24.9%	-3.2%	-7.2%	1.4K	-2.4K	-199	4.50	116.00	N/A	N/A	4	18	17	7
2022-06-03	$47.64	$45.00	30.9%	6.3%	26.6%	41.6%	25.6%	1.9%	-2.5%	-952	21.1K	-220	4.50	133.93	N/A	N/A	4	18	17	18
2022-06-06	$47.87	$45.00	33.8%	6.3%	26.6%	47.5%	25.4%	2.4%	-2.1%	-944	18.6K	-217	4.50	132.13	N/A	N/A	4	18	17	18
2022-06-07	$48.32	$45.00	23.1%	4.2%	24.6%	25.3%	26.7%	7.4%	8.5%	-869	14.1K	-199	4.50	124.58	N/A	N/A	4	18	17	18
2022-06-08	$47.70	$45.00	20.6%	5.9%	25.1%	20.1%	26.7%	4.0%	0.7%	-702	19.1K	-219	4.50	125.27	N/A	N/A	4	18	17	18
2022-06-09	$46.72	$45.00	23.4%	6.7%	25.9%	25.9%	22.8%	-2.6%	-4.1%	-2.3K	25.6K	-199	4.50	128.51	N/A	N/A	4	18	17	18
2022-06-10	$45.28	$45.00	20.4%	5.8%	28.3%	19.7%	21.6%	-1.0%	6.5%	-3.0K	41.5K	-174	4.50	135.41	N/A	N/A	4	18	17	18
2022-06-13	$43.11	$45.00	29.4%	8.4%	31.5%	38.3%	33.3%	2.1%	-3.1%	-1.9K	53.9K	-119	4.50	118.44	N/A	N/A	4	18	17	18
2022-06-14	$43.14	$45.00	29.0%	8.3%	31.5%	37.5%	25.3%	3.4%	-0.6%	-2.0K	55.3K	-124	4.50	127.80	N/A	N/A	4	18	17	18
2022-06-15	$43.85	$45.00	24.5%	7.0%	31.0%	28.3%	12.8%	1.7%	-2.4%	-2.2K	55.4K	-118	4.50	124.52	N/A	N/A	4	18	17	18
2022-06-16	$42.11	$45.00	33.9%	9.7%	31.0%	47.8%	20.9%	5.9%	-3.2%	-1.5K	58.4K	-110	4.50	130.16	N/A	N/A	4	18	17	18
2022-06-17	$42.29	$45.00	29.5%	8.5%	31.1%	38.6%	18.1%	6.3%	-0.9%	-1.9K	62.2K	-89	4.50	129.38	N/A	N/A	4	18	17	18
2022-06-21	$43.13	$45.00	30.6%	8.8%	32.1%	41.0%	18.5%	11.3%	-4.0%	-2.4K	55.5K	-124	4.50	132.59	N/A	N/A	4	18	17	18
2022-06-22	$42.93	$45.00	27.1%	7.8%	30.9%	33.7%	16.5%	6.3%	-1.8%	-2.2K	52.1K	-81	4.50	123.45	N/A	N/A	4	18	17	16
2022-06-23	$43.10	$45.00	30.5%	8.8%	31.0%	40.7%	18.4%	10.8%	-3.2%	-2.4K	52.6K	-81	4.50	130.90	N/A	N/A	4	18	17	16
2022-06-24	$44.31	$45.00	29.5%	8.5%	32.5%	38.7%	23.9%	4.1%	-4.4%	-3.2K	44.7K	-96	4.50	129.92	N/A	N/A	4	18	17	16
2022-06-27	$44.41	$45.00	28.6%	8.2%	31.5%	36.8%	23.6%	1.7%	-4.6%	-3.4K	44.1K	-94	4.50	126.19	N/A	N/A	4	18	17	16
2022-06-28	$43.63	$45.00	28.4%	8.1%	30.9%	36.4%	18.0%	5.7%	-4.5%	-3.0K	50.8K	-81	4.50	123.92	N/A	N/A	4	18	17	16
2022-06-29	$43.47	$45.00	30.3%	8.7%	30.8%	40.3%	17.7%	9.9%	-5.2%	-3.1K	53.4K	-72	4.50	127.41	N/A	N/A	4	18	17	16
2022-06-30	$43.12	$45.00	33.7%	9.7%	30.8%	47.4%	19.2%	10.9%	-4.6%	-2.6K	50.2K	-71	4.50	125.30	N/A	N/A	4	18	17	15