FVAL Options History — November 2022 In November 2022, FVAL traded between $42.55 and $46.60. ATM implied volatility averaged 28.3%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.9% (HV 20d: 25.4%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.27.
Notable Days 2022-11-01 : Highest Volume — 15 contracts2022-11-02 : Largest IV spike — 46.3% change2022-11-04 : Highest IV Rank — 61.8%2022-11-02 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $44.91 $42.55 $46.60 $44.17 $46.60 Max Pain $49.00 $49.00 $49.00 $49.00 $49.00 ATM IV 28.3% 19.5% 41.1% 23.3% 30.9% Expected Move 7.5% 5.6% 9.8% 6.7% 8.9% HV 20d 25.4% 22.0% 28.2% 22.6% 26.8% HV 60d 26.4% 25.5% 27.6% 25.5% 26.8% IV Rank 35.4% 16.9% 61.8% 24.9% 40.7% IV Percentile 55.5% 9.5% 94.4% 29.4% 74.6% Term Structure -4.5% -20.5% 3.0% -3.2% -20.5% VWIV 27.0% 23.6% 30.5% 23.6% 30.5% Skew 25d 1.1% -10.8% 10.8% -10.8% 5.1% Skew 10d 2.8% -0.1% 12.5% 0.2% 0.5% Call IV 25d 27.9% 17.6% 48.2% 33.7% 19.8% Put IV 25d 29.0% 18.6% 39.7% 22.9% 24.9% Bid-Ask Spread % 130.82 117.71 137.44 125.81 126.00 Gamma HHI 0.35 0.18 0.64 0.20 0.64 Net GEX -622 -1.7K 304 -1.7K 304 Net DEX 5.6K -6.1K 28.2K 21.7K -5.4K Net VEX -56 -83 -43 -83 -45 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.27 0.20 1.50 1.50 0.20 Total Volume 10.857 0 15 15 0 Total OI 11.238 6 17 17 6
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 2022-11-01 $44.17 $49.00 23.3% 6.7% 22.6% 24.9% 23.6% -10.8% -3.2% -1.7K 21.7K -83 1.50 125.81 N/A N/A 6 9 6 11 2022-11-02 $43.23 $49.00 34.1% 9.8% 24.0% 47.3% 30.5% -8.4% -6.5% -1.2K 24.8K -72 1.50 124.47 N/A N/A 6 9 6 11 2022-11-03 $42.55 $0.00 35.3% 7.5% 24.3% 49.7% 0.0% 1.8% -0.4% -980 28.2K -66 1.50 132.39 N/A N/A 6 9 6 11 2022-11-04 $42.97 $0.00 41.1% 8.4% 22.0% 61.8% 0.0% 1.1% 0.3% -464 11.2K -66 1.50 117.71 N/A N/A 6 9 6 7 2022-11-07 $43.61 $0.00 38.2% 7.5% 22.4% 55.9% 0.0% 2.4% -1.2% -669 11.7K -60 1.50 132.17 N/A N/A 6 9 6 7 2022-11-08 $43.96 $0.00 37.9% 7.2% 22.1% 55.1% 0.0% 2.0% 0.2% -765 10.2K -62 1.50 129.98 N/A N/A 6 9 6 7 2022-11-09 $42.97 $0.00 21.0% 6.0% 24.0% 20.2% 0.0% -2.9% -2.2% -706 15.8K -44 1.50 129.33 N/A N/A 6 9 6 7 2022-11-10 $45.09 $0.00 24.9% 7.1% 28.2% 28.2% 0.0% 4.2% -0.4% -862 6.8K -64 1.50 130.25 N/A N/A 6 9 6 7 2022-11-11 $45.88 $0.00 23.3% 6.7% 27.5% 24.9% 0.0% 2.7% 3.0% -1.2K 2.7K -65 1.50 124.04 N/A N/A 6 9 6 7 2022-11-14 $45.72 $0.00 25.9% 7.4% 27.2% 30.3% 0.0% 1.3% -3.9% -1.0K 3.7K -60 1.50 133.56 N/A N/A 6 9 6 7 2022-11-15 $45.67 $0.00 19.6% 5.6% 27.1% 17.2% 0.0% 0.2% -1.3% -1.3K 3.4K -60 1.50 129.00 N/A N/A 6 9 6 7 2022-11-16 $45.29 $0.00 27.2% 7.8% 27.0% 32.9% 0.0% 10.8% -5.1% -1.4K 5.4K -52 1.50 134.59 N/A N/A 6 9 6 7 2022-11-17 $45.10 $0.00 26.5% 7.6% 27.0% 31.5% 0.0% 2.3% -3.8% -1.1K 6.5K -51 1.50 131.97 N/A N/A 6 9 6 7 2022-11-18 $45.57 $0.00 19.5% 5.6% 26.3% 16.9% 0.0% 0.1% -2.5% -1.6K 1.8K -49 1.50 133.13 N/A N/A 6 9 6 7 2022-11-21 $45.33 $0.00 27.6% 7.9% 26.0% 33.8% 0.0% 1.0% -6.0% 274 -4.9K -49 0.20 135.27 N/A N/A 5 1 5 1 2022-11-22 $46.01 $0.00 21.6% 6.2% 26.1% 21.3% 0.0% 2.9% -9.8% 265 -4.5K -43 0.20 135.87 N/A N/A 5 1 5 1 2022-11-23 $46.21 $0.00 27.1% 7.8% 26.0% 32.8% 0.0% 2.1% -6.0% 292 -5.8K -49 0.20 136.06 N/A N/A 5 1 5 1 2022-11-25 $46.26 $0.00 28.3% 8.1% 25.8% 35.2% 0.0% 1.8% -6.6% 264 -6.1K -51 0.00 137.44 N/A N/A 0 0 5 1 2022-11-28 $45.49 $0.00 31.2% 8.9% 25.8% 41.2% 0.0% 1.1% -9.1% 272 -5.0K -47 0.00 133.32 N/A N/A 0 0 5 1 2022-11-29 $45.52 $0.00 31.0% 8.9% 25.7% 40.8% 0.0% 2.1% -9.4% 256 -5.4K -46 0.00 134.79 N/A N/A 0 0 5 1 2022-11-30 $46.60 $0.00 30.9% 8.9% 26.8% 40.7% 0.0% 5.1% -20.5% 304 -5.4K -45 0.00 126.00 N/A N/A 0 0 5 1
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