FVAL Options History — August 2022

In August 2022, FVAL traded between $44.52 and $48.29. ATM implied volatility averaged 28.0%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.2% (HV 20d: 19.8%). Max pain ranged from $52.00 to $52.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.72.

Notable Days

2022-08-03: Highest Volume — 14 contracts
2022-08-17: Largest IV spike — 39.0% change
2022-08-05: Highest IV Rank — 54.7%
2022-08-02: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.56	$44.52	$48.29	$46.18	$44.52
Max Pain	$52.00	$52.00	$52.00	$52.00	$52.00
ATM IV	28.0%	18.1%	37.3%	30.4%	31.3%
Expected Move	7.7%	5.2%	10.5%	8.7%	9.0%
HV 20d	19.8%	16.2%	23.2%	18.4%	22.3%
HV 60d	24.9%	23.5%	27.0%	27.0%	24.9%
IV Rank	35.5%	14.9%	54.7%	40.5%	42.3%
IV Percentile	63.8%	12.3%	92.5%	84.1%	83.7%
Term Structure	-4.2%	-12.3%	8.6%	-4.6%	-9.5%
VWIV	45.6%	44.2%	46.3%	44.2%	46.2%
Skew 25d	4.5%	-10.5%	15.0%	0.7%	2.2%
Skew 10d	3.6%	-2.0%	11.7%	-2.0%	2.4%
Call IV 25d	27.0%	11.4%	39.4%	39.4%	36.4%
Put IV 25d	31.5%	21.3%	41.9%	40.2%	38.6%
Bid-Ask Spread %	130.05	119.63	137.17	123.18	134.28
Gamma HHI	0.35	0.29	0.50	0.32	0.36
Net GEX	7	-1.3K	1.2K	68	-947
Net DEX	4.7K	-4.2K	16.9K	6.4K	16.9K
Net VEX	-64	-81	-46	-56	-72
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	1.33	3.50	1.60	3.50
Total Volume	4.217	0	14	13	9
Total OI	18.174	6	23	22	10

Daily Data (23 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
2022-08-01	$46.18	$52.00	30.4%	8.7%	18.4%	40.5%	44.2%	0.7%	-4.6%	68	6.4K	-56	1.60	123.18	N/A	N/A	5	8	18	4
2022-08-02	$45.84	$52.00	36.7%	10.5%	18.6%	53.5%	46.3%	6.2%	-5.7%	461	5.0K	-64	1.60	121.84	N/A	N/A	5	8	18	4
2022-08-03	$46.55	$52.00	33.8%	9.7%	19.1%	47.5%	46.2%	2.9%	-6.7%	296	5.0K	-61	1.33	126.52	N/A	N/A	6	8	18	4
2022-08-04	$46.33	$0.00	37.2%	8.9%	19.0%	54.6%	0.0%	8.9%	-7.8%	655	-535	-67	1.33	119.63	N/A	N/A	6	8	19	4
2022-08-05	$46.26	$0.00	37.3%	8.9%	19.0%	54.7%	0.0%	9.1%	-12.3%	417	509	-65	1.33	120.50	N/A	N/A	6	8	19	4
2022-08-08	$46.36	$0.00	36.6%	8.9%	18.3%	53.4%	0.0%	5.9%	-9.5%	653	-69	-65	1.33	121.90	N/A	N/A	6	8	19	4
2022-08-09	$46.12	$0.00	35.3%	6.8%	17.9%	50.6%	0.0%	2.7%	3.3%	279	2.2K	-59	0.00	133.59	N/A	N/A	0	0	19	4
2022-08-10	$47.18	$0.00	23.6%	6.8%	19.1%	26.3%	0.0%	2.3%	-5.9%	655	-897	-62	0.00	134.09	N/A	N/A	0	0	19	4
2022-08-11	$47.32	$0.00	25.7%	7.4%	18.6%	30.6%	0.0%	3.8%	-0.8%	646	-1.1K	-61	0.00	129.00	N/A	N/A	0	2	19	4
2022-08-12	$47.95	$0.00	21.6%	6.2%	18.3%	22.1%	0.0%	14.0%	-1.3%	1.0K	-3.2K	-61	0.00	134.80	N/A	N/A	0	0	19	4
2022-08-15	$48.08	$0.00	23.0%	6.6%	18.0%	25.0%	0.0%	2.3%	-3.2%	1.1K	-3.3K	-61	0.00	133.63	N/A	N/A	0	0	19	4
2022-08-16	$48.29	$0.00	18.1%	5.2%	16.2%	14.9%	0.0%	14.4%	-4.3%	1.2K	-4.2K	-57	0.00	129.06	N/A	N/A	0	0	19	4
2022-08-17	$47.09	$0.00	25.1%	7.2%	19.2%	29.6%	0.0%	-0.2%	-4.2%	461	290	-53	0.00	137.17	N/A	N/A	0	0	19	4
2022-08-18	$47.95	$0.00	18.3%	5.3%	20.0%	15.4%	0.0%	15.0%	8.1%	832	-1.9K	-53	0.00	133.85	N/A	N/A	0	0	19	4
2022-08-19	$47.35	$0.00	23.5%	6.7%	20.3%	26.2%	0.0%	11.8%	8.6%	-370	2.4K	-47	0.00	125.22	N/A	N/A	0	0	19	4
2022-08-22	$46.24	$0.00	27.0%	7.7%	22.4%	33.4%	0.0%	1.1%	-5.1%	-488	4.3K	-46	0.00	135.53	N/A	N/A	0	4	2	4
2022-08-23	$46.29	$0.00	24.6%	7.1%	22.1%	28.5%	0.0%	1.5%	-0.1%	-1.2K	12.3K	-81	0.00	132.41	N/A	N/A	0	0	2	8
2022-08-24	$46.41	$0.00	23.5%	6.7%	20.2%	26.1%	0.0%	2.9%	-3.7%	-1.2K	12.9K	-79	0.00	129.74	N/A	N/A	0	0	2	8
2022-08-25	$47.00	$0.00	26.1%	7.5%	20.6%	31.6%	0.0%	2.6%	-5.2%	-1.3K	11.5K	-78	0.00	135.61	N/A	N/A	0	0	2	8
2022-08-26	$45.58	$0.00	23.5%	6.7%	22.6%	26.2%	0.0%	-10.5%	-10.1%	-1.1K	12.4K	-79	0.00	132.66	N/A	N/A	0	0	2	8
2022-08-29	$45.38	$0.00	31.5%	9.0%	22.7%	42.8%	0.0%	2.2%	-8.0%	-1.1K	15.5K	-75	0.00	135.03	N/A	N/A	0	0	2	8
2022-08-30	$44.67	$0.00	30.7%	8.8%	23.2%	41.0%	0.0%	1.8%	-9.2%	-951	16.4K	-74	0.00	131.92	N/A	N/A	0	0	2	8
2022-08-31	$44.52	$0.00	31.3%	9.0%	22.3%	42.3%	0.0%	2.2%	-9.5%	-947	16.9K	-72	3.50	134.28	N/A	N/A	2	7	2	8