FVAL Options History — July 2022

In July 2022, FVAL traded between $42.95 and $46.34. ATM implied volatility averaged 32.4%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.9% (HV 20d: 23.5%). Max pain ranged from $45.00 to $52.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 3.12.

Notable Days

2022-07-01: Highest Volume — 22 contracts
2022-07-13: Largest IV drop — 58.4% change
2022-07-12: Highest IV Rank — 98.2%
2022-07-18: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.22	$42.95	$46.34	$43.53	$46.34
Max Pain	$51.65	$45.00	$52.00	$45.00	$52.00
ATM IV	32.4%	24.2%	58.2%	33.5%	29.0%
Expected Move	7.7%	6.5%	10.1%	9.6%	8.3%
HV 20d	23.5%	16.8%	31.4%	31.2%	18.4%
HV 60d	28.1%	27.5%	28.5%	28.2%	27.7%
IV Rank	44.7%	27.6%	98.2%	47.0%	37.5%
IV Percentile	78.2%	54.8%	99.6%	89.3%	78.2%
Term Structure	-2.4%	-9.8%	3.6%	-7.5%	-2.1%
VWIV	38.9%	19.5%	49.9%	19.5%	42.0%
Skew 25d	3.4%	-3.9%	12.5%	12.5%	1.5%
Skew 10d	2.4%	-9.0%	4.8%	3.3%	-0.6%
Call IV 25d	27.5%	21.9%	40.8%	27.9%	30.0%
Put IV 25d	30.9%	26.0%	42.5%	40.4%	31.5%
Bid-Ask Spread %	129.41	122.71	141.32	126.54	125.70
Gamma HHI	0.55	0.38	0.76	0.66	0.40
Net GEX	-1.4K	-5.1K	432	-2.6K	364
Net DEX	26.7K	6.0K	56.1K	41.4K	6.3K
Net VEX	-44	-71	-27	-71	-43
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.12	1.60	4.50	4.50	1.60
Total Volume	16.6	11	22	22	13
Total OI	25.5	20	31	31	20

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
2022-07-01	$43.53	$45.00	33.5%	9.6%	31.2%	47.0%	19.5%	12.5%	-7.5%	-2.6K	41.4K	-71	4.50	126.54	N/A	N/A	4	18	17	14
2022-07-05	$43.38	$52.00	38.4%	7.3%	31.1%	57.2%	36.9%	4.3%	0.4%	-2.5K	42.8K	-61	4.50	127.87	N/A	N/A	4	18	17	14
2022-07-06	$43.68	$52.00	35.4%	6.7%	31.2%	50.8%	33.9%	4.4%	2.5%	-3.0K	42.4K	-64	4.50	124.93	N/A	N/A	4	18	17	14
2022-07-07	$44.25	$52.00	41.1%	7.2%	31.4%	62.8%	35.2%	3.8%	-1.3%	-5.0K	41.3K	-65	4.50	132.32	N/A	N/A	4	18	17	14
2022-07-08	$44.27	$52.00	41.4%	7.2%	31.3%	63.3%	35.1%	3.5%	-2.0%	-5.1K	41.2K	-66	4.50	132.32	N/A	N/A	4	18	17	14
2022-07-11	$43.75	$52.00	47.6%	6.5%	30.8%	76.1%	34.2%	2.8%	0.6%	-3.5K	44.0K	-48	4.50	127.39	N/A	N/A	4	18	17	14
2022-07-12	$43.31	$52.00	58.2%	7.5%	29.1%	98.2%	34.9%	2.2%	-5.1%	-2.8K	45.6K	-47	4.50	128.11	N/A	N/A	4	18	17	14
2022-07-13	$43.28	$52.00	24.2%	6.9%	23.2%	27.6%	36.2%	3.2%	1.1%	-3.1K	48.2K	-34	4.50	122.71	N/A	N/A	4	18	17	14
2022-07-14	$42.95	$52.00	27.0%	7.7%	23.4%	33.4%	42.4%	3.9%	3.6%	-2.4K	47.1K	-36	4.50	129.19	N/A	N/A	4	18	17	14
2022-07-15	$43.69	$52.00	28.4%	8.1%	23.5%	36.3%	44.1%	3.0%	-3.4%	228	56.1K	-37	4.50	136.01	N/A	N/A	4	18	17	14
2022-07-18	$43.51	$52.00	35.3%	10.1%	18.1%	50.6%	49.9%	1.7%	0.5%	432	6.0K	-48	1.75	141.32	N/A	N/A	4	7	17	3
2022-07-19	$44.65	$52.00	24.7%	7.1%	20.1%	28.6%	40.5%	4.1%	-2.9%	160	8.9K	-33	1.75	129.63	N/A	N/A	4	7	17	3
2022-07-20	$44.85	$52.00	26.4%	7.6%	19.1%	32.2%	39.7%	8.8%	-1.2%	184	8.4K	-37	1.75	130.63	N/A	N/A	4	7	17	3
2022-07-21	$44.91	$52.00	25.5%	7.3%	18.9%	30.2%	40.7%	2.7%	-3.3%	221	8.3K	-36	1.75	130.40	N/A	N/A	4	7	17	3
2022-07-22	$44.46	$52.00	26.5%	7.6%	19.4%	32.4%	40.4%	1.9%	-3.8%	62	9.0K	-32	1.75	129.39	N/A	N/A	4	7	17	3
2022-07-25	$44.54	$52.00	24.5%	7.0%	16.8%	28.3%	40.1%	2.8%	-3.6%	-40	9.6K	-28	1.75	128.41	N/A	N/A	4	7	17	3
2022-07-26	$44.21	$52.00	28.5%	8.2%	17.0%	36.5%	46.3%	1.6%	-4.7%	65	9.2K	-29	1.75	131.99	N/A	N/A	4	7	17	3
2022-07-27	$45.39	$52.00	25.1%	7.2%	18.1%	29.5%	41.8%	-3.9%	-9.8%	-221	9.8K	-27	1.75	127.88	N/A	N/A	4	7	17	3
2022-07-28	$45.51	$52.00	27.7%	7.9%	18.0%	34.8%	44.1%	3.0%	-5.1%	160	7.4K	-37	1.75	125.37	N/A	N/A	4	7	17	3
2022-07-29	$46.34	$52.00	29.0%	8.3%	18.4%	37.5%	42.0%	1.5%	-2.1%	364	6.3K	-43	1.60	125.70	N/A	N/A	5	8	17	3