FVAL Options History — October 2022

In October 2022, FVAL traded between $40.65 and $44.52. ATM implied volatility averaged 31.4%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 3.5% (HV 20d: 27.8%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.50.

Notable Days

2022-10-03: Highest Volume — 15 contracts
2022-10-19: Largest IV spike — 79.7% change
2022-10-10: Highest IV Rank — 64.3%
2022-10-19: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.34	$40.65	$44.52	$41.21	$44.30
Max Pain	$49.00	$49.00	$49.00	$49.00	$49.00
ATM IV	31.4%	22.6%	42.3%	26.4%	33.8%
Expected Move	8.5%	6.5%	11.6%	7.6%	9.7%
HV 20d	27.8%	24.4%	31.2%	29.1%	24.4%
HV 60d	24.9%	23.8%	25.5%	23.8%	25.5%
IV Rank	41.6%	23.4%	64.3%	31.3%	46.6%
IV Percentile	74.5%	29.4%	96.0%	57.1%	84.9%
Term Structure	-1.4%	-8.0%	11.8%	1.4%	-6.4%
VWIV	27.5%	21.4%	31.4%	21.4%	29.8%
Skew 25d	0.9%	-8.4%	9.9%	9.9%	2.1%
Skew 10d	0.4%	-11.7%	10.0%	2.3%	2.7%
Call IV 25d	33.0%	20.5%	44.7%	22.0%	37.6%
Put IV 25d	33.9%	21.2%	44.0%	31.9%	39.8%
Bid-Ask Spread %	125.63	116.99	131.69	125.95	131.69
Gamma HHI	0.18	0.16	0.20	0.20	0.19
Net GEX	-891	-1.6K	-508	-652	-1.3K
Net DEX	26.4K	19.2K	40.4K	40.4K	19.2K
Net VEX	-85	-99	-69	-74	-87
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	1.50	1.50	1.50	1.50
Total Volume	15	15	15	15	15
Total OI	17.095	17	19	19	17

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
2022-10-03	$41.21	$0.00	26.4%	7.6%	29.1%	31.3%	0.0%	9.9%	1.4%	-652	40.4K	-74	1.50	125.95	N/A	N/A	6	9	6	13
2022-10-04	$42.41	$0.00	28.8%	8.2%	31.2%	36.2%	0.0%	3.9%	-6.1%	-873	25.0K	-99	1.50	124.73	N/A	N/A	6	9	6	11
2022-10-05	$42.72	$0.00	29.3%	8.4%	30.7%	37.3%	0.0%	5.0%	-3.9%	-984	26.8K	-93	1.50	122.25	N/A	N/A	6	9	6	11
2022-10-06	$42.19	$49.00	25.6%	6.5%	30.8%	29.7%	21.4%	-2.6%	2.5%	-880	28.4K	-85	1.50	126.54	N/A	N/A	6	9	6	11
2022-10-07	$41.03	$49.00	37.9%	8.3%	30.5%	55.1%	24.3%	2.4%	-3.7%	-618	30.0K	-76	1.50	125.04	N/A	N/A	6	9	6	11
2022-10-10	$40.96	$49.00	42.3%	8.6%	30.1%	64.3%	26.6%	2.5%	-2.2%	-540	31.1K	-76	1.50	126.33	N/A	N/A	6	9	6	11
2022-10-11	$40.65	$49.00	41.6%	8.3%	25.6%	62.9%	26.9%	2.7%	-3.1%	-508	31.7K	-69	1.50	124.44	N/A	N/A	6	9	6	11
2022-10-12	$40.81	$49.00	31.3%	9.0%	25.7%	41.5%	29.1%	2.9%	-3.5%	-548	31.3K	-73	1.50	128.66	N/A	N/A	6	9	6	11
2022-10-13	$41.74	$49.00	27.6%	7.9%	27.3%	33.7%	25.8%	-0.4%	-2.8%	-570	29.9K	-82	1.50	121.47	N/A	N/A	6	9	6	11
2022-10-14	$41.05	$49.00	31.3%	9.0%	27.5%	41.5%	25.7%	1.5%	-6.1%	-599	28.9K	-79	1.50	123.02	N/A	N/A	6	9	6	11
2022-10-17	$41.86	$49.00	31.0%	8.9%	28.4%	41.0%	28.2%	-5.7%	-2.4%	-707	25.7K	-87	1.50	128.77	N/A	N/A	6	9	6	11
2022-10-18	$42.32	$49.00	22.6%	6.5%	28.6%	23.4%	27.2%	1.0%	1.4%	-943	28.0K	-82	1.50	125.98	N/A	N/A	6	9	6	11
2022-10-19	$41.88	$49.00	40.6%	11.6%	28.1%	60.7%	31.4%	-0.7%	-8.0%	-819	22.6K	-98	1.50	116.99	N/A	N/A	6	9	6	11
2022-10-20	$41.79	$49.00	30.0%	8.6%	28.1%	38.7%	27.0%	-8.4%	7.6%	-683	25.8K	-85	1.50	125.92	N/A	N/A	6	9	6	11
2022-10-21	$42.73	$49.00	29.4%	8.4%	27.3%	37.6%	26.8%	-6.5%	11.8%	-979	25.3K	-84	1.50	124.50	N/A	N/A	6	9	6	11
2022-10-24	$43.40	$49.00	31.2%	8.9%	27.3%	41.3%	28.6%	3.0%	6.8%	-1.0K	21.7K	-94	1.50	127.71	N/A	N/A	6	9	6	11
2022-10-25	$44.04	$49.00	30.8%	8.8%	27.4%	40.4%	31.1%	3.6%	-2.6%	-1.4K	20.4K	-93	1.50	128.28	N/A	N/A	6	9	6	11
2022-10-26	$43.87	$49.00	27.3%	7.8%	26.5%	33.2%	26.7%	-2.5%	-1.1%	-1.4K	22.0K	-90	1.50	123.37	N/A	N/A	6	9	6	11
2022-10-27	$43.60	$49.00	30.5%	8.7%	24.9%	39.9%	27.3%	1.5%	-5.3%	-1.1K	21.7K	-89	1.50	129.50	N/A	N/A	6	9	6	11
2022-10-28	$44.52	$49.00	29.7%	8.5%	25.2%	38.1%	30.3%	3.9%	-3.0%	-1.6K	19.2K	-88	1.50	127.02	N/A	N/A	6	9	6	11
2022-10-31	$44.30	$49.00	33.8%	9.7%	24.4%	46.6%	29.8%	2.1%	-6.4%	-1.3K	19.2K	-87	1.50	131.69	N/A	N/A	6	9	6	11