FVAL Options History — September 2022 In September 2022, FVAL traded between $40.22 and $46.04. ATM implied volatility averaged 34.1%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 9.0% (HV 20d: 25.1%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.12.
Notable Days 2022-09-26 : Highest Volume — 17 contracts2022-09-14 : Largest IV drop — 56.9% change2022-09-13 : Highest IV Rank — 100.0%2022-09-29 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $43.01 $40.22 $46.04 $44.25 $40.22 ATM IV 34.1% 23.4% 59.5% 32.9% 33.8% Expected Move 8.1% 6.5% 10.5% 9.4% 9.7% HV 20d 25.1% 21.6% 28.2% 22.3% 27.2% HV 60d 22.7% 21.5% 24.8% 24.8% 23.2% IV Rank 47.8% 25.7% 100.0% 45.7% 46.8% IV Percentile 78.7% 35.7% 100.0% 84.5% 86.1% Term Structure -3.7% -9.6% 1.8% -8.4% -4.7% Skew 25d 2.0% -9.3% 4.9% 2.9% 0.4% Skew 10d 0.9% -6.1% 4.1% 2.8% -4.9% Call IV 25d 29.5% 20.7% 38.3% 37.2% 37.0% Put IV 25d 31.5% 23.4% 41.9% 40.1% 37.3% Bid-Ask Spread % 128.48 118.71 134.91 134.37 127.91 Gamma HHI 0.31 0.18 0.40 0.35 0.19 Net GEX -718 -985 -82 -866 -687 Net DEX 20.8K 11.2K 37.3K 18.2K 37.3K Net VEX -71 -118 -50 -69 -88 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.12 0.00 3.50 3.50 1.83 Total Volume 6.095 0 17 0 17 Total OI 12.238 9 19 10 19
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 2022-09-01 $44.25 $0.00 32.9% 9.4% 22.3% 45.7% 0.0% 2.9% -8.4% -866 18.2K -69 0.00 134.37 N/A N/A 0 0 2 8 2022-09-02 $43.94 $0.00 29.8% 8.5% 22.4% 39.3% 0.0% -9.3% -9.2% -910 17.8K -68 0.00 129.59 N/A N/A 0 0 2 8 2022-09-06 $43.74 $0.00 38.7% 7.0% 22.3% 57.7% 0.0% 2.0% -1.0% -821 19.0K -64 3.50 130.07 N/A N/A 2 7 2 8 2022-09-07 $44.47 $0.00 32.8% 7.1% 23.4% 45.5% 0.0% 4.9% -1.9% -891 18.5K -64 3.50 128.43 N/A N/A 2 7 2 8 2022-09-08 $44.60 $0.00 40.4% 6.6% 21.6% 61.1% 0.0% 2.9% -0.6% -937 17.9K -66 0.00 131.23 N/A N/A 0 0 2 8 2022-09-09 $45.64 $0.00 40.2% 6.5% 23.4% 60.9% 0.0% 3.6% -1.6% -902 13.8K -74 0.00 133.10 N/A N/A 0 1 2 8 2022-09-12 $46.04 $0.00 51.9% 6.8% 23.1% 85.1% 0.0% 2.5% 0.2% -985 11.2K -61 0.00 134.91 N/A N/A 0 0 2 7 2022-09-13 $43.87 $0.00 59.5% 7.3% 28.2% 100.0% 0.0% 0.3% -7.4% -854 14.1K -59 2.50 126.98 N/A N/A 2 5 2 7 2022-09-14 $43.90 $0.00 25.6% 7.3% 28.1% 30.3% 0.0% 2.5% -1.2% -747 15.2K -57 0.00 131.41 N/A N/A 0 0 2 7 2022-09-15 $43.83 $0.00 30.3% 8.7% 27.0% 39.9% 0.0% 2.9% -6.5% -753 15.3K -55 0.00 125.61 N/A N/A 0 0 2 7 2022-09-16 $43.21 $0.00 35.9% 10.3% 26.0% 51.5% 0.0% 3.6% -8.6% -624 16.9K -52 2.50 118.71 N/A N/A 2 5 2 7 2022-09-19 $43.50 $0.00 27.6% 7.9% 26.2% 34.3% 0.0% 3.8% -3.9% -724 16.0K -52 0.00 131.41 N/A N/A 0 0 2 7 2022-09-20 $43.13 $0.00 28.2% 8.1% 25.2% 35.6% 0.0% 3.0% -3.4% -644 16.6K -50 0.00 131.77 N/A N/A 4 0 2 7 2022-09-21 $42.35 $0.00 28.4% 8.2% 25.7% 36.1% 0.0% 2.1% -1.9% -290 15.2K -79 0.00 127.64 N/A N/A 0 0 6 7 2022-09-22 $42.28 $0.00 23.4% 6.7% 25.6% 25.7% 0.0% 2.7% 1.8% -229 16.2K -77 0.00 126.32 N/A N/A 0 0 6 7 2022-09-23 $41.11 $0.00 28.4% 8.1% 26.0% 36.0% 0.0% 2.3% -1.9% -82 18.0K -66 0.00 127.20 N/A N/A 0 6 6 7 2022-09-26 $40.71 $0.00 26.3% 7.5% 24.5% 31.8% 0.0% -0.8% -2.2% -842 35.4K -97 1.83 126.52 N/A N/A 6 11 6 13 2022-09-27 $40.48 $0.00 33.3% 9.5% 24.5% 45.6% 0.0% 3.2% -2.6% -738 36.6K -91 1.83 125.25 N/A N/A 6 11 6 13 2022-09-28 $41.48 $0.00 31.4% 9.0% 26.4% 41.6% 0.0% 4.7% -2.6% -823 37.0K -93 1.83 125.55 N/A N/A 6 11 6 13 2022-09-29 $40.54 $0.00 36.7% 10.5% 27.2% 52.7% 0.0% 2.2% -9.6% -739 31.3K -118 1.83 124.20 N/A N/A 6 11 6 13 2022-09-30 $40.22 $0.00 33.8% 9.7% 27.2% 46.8% 0.0% 0.4% -4.7% -687 37.3K -88 1.83 127.91 N/A N/A 6 11 6 13
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