FVAL Options History — December 2022 In December 2022, FVAL traded between $43.20 and $46.80. ATM implied volatility averaged 31.0%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 10.5% (HV 20d: 20.6%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2022-12-07 : Highest Volume — 6 contracts2022-12-14 : Largest IV drop — 61.3% change2022-12-13 : Highest IV Rank — 97.7%2022-12-02 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $44.72 $43.20 $46.80 $46.80 $43.73 ATM IV 31.0% 15.8% 58.4% 30.6% 28.8% Expected Move 6.9% 4.5% 9.0% 8.8% 8.3% HV 20d 20.6% 16.4% 25.8% 25.2% 18.8% HV 60d 24.7% 22.9% 26.6% 26.6% 22.9% IV Rank 40.8% 9.2% 97.7% 40.1% 35.8% IV Percentile 56.1% 1.2% 99.2% 73.0% 61.9% Term Structure -2.7% -11.6% 7.2% -10.6% -5.7% Skew 25d 1.5% -0.8% 3.3% 0.6% 2.1% Skew 10d 2.2% 0.4% 3.8% 1.3% 1.9% Call IV 25d 25.8% 15.2% 36.0% 35.8% 32.8% Put IV 25d 27.2% 16.7% 37.7% 36.4% 34.9% Bid-Ask Spread % 135.36 125.05 140.65 134.31 139.78 Gamma HHI 0.53 0.47 0.59 0.58 0.53 Net GEX 699 253 1.1K 285 738 Net DEX -6.1K -13.4K -1.5K -6.4K -3.3K Net VEX -72 -107 -38 -50 -67 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.429 0 6 0 0 Total OI 10.81 6 15 6 11
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 2022-12-01 $46.80 $0.00 30.6% 8.8% 25.2% 40.1% 0.0% 0.6% -10.6% 285 -6.4K -50 0.00 134.31 N/A N/A 0 0 5 1 2022-12-02 $46.55 $0.00 31.3% 9.0% 24.4% 41.5% 0.0% 1.7% -10.3% 296 -5.9K -47 0.00 135.02 N/A N/A 0 0 5 1 2022-12-05 $45.68 $0.00 34.5% 6.3% 25.6% 48.1% 0.0% 0.8% -2.3% 253 -4.9K -42 0.00 134.78 N/A N/A 0 0 5 1 2022-12-06 $45.12 $0.00 36.1% 6.4% 25.8% 51.5% 0.0% 1.2% 0.2% 263 -4.0K -38 0.00 133.66 N/A N/A 0 0 5 1 2022-12-07 $45.05 $0.00 35.4% 6.0% 25.7% 50.0% 0.0% 1.8% 1.4% 255 -3.8K -38 0.00 131.25 N/A N/A 6 0 5 1 2022-12-08 $45.28 $0.00 42.1% 6.8% 24.1% 64.0% 0.0% 2.0% -1.9% 915 -12.3K -105 0.00 138.53 N/A N/A 0 0 11 1 2022-12-09 $45.11 $0.00 44.1% 6.8% 17.1% 68.2% 0.0% 2.0% -0.8% 914 -12.2K -102 0.00 138.04 N/A N/A 3 0 11 1 2022-12-12 $45.59 $0.00 57.7% 7.0% 16.4% 96.3% 0.0% 3.3% -1.9% 965 -11.5K -96 0.00 136.23 N/A N/A 0 0 14 1 2022-12-13 $46.08 $0.00 58.4% 6.4% 16.8% 97.7% 0.0% 0.9% 0.5% 1.1K -13.3K -107 0.00 131.79 N/A N/A 0 0 14 1 2022-12-14 $45.72 $0.00 22.6% 6.5% 17.0% 23.4% 0.0% 1.5% -1.3% 963 -13.4K -103 0.00 133.19 N/A N/A 0 0 14 1 2022-12-15 $44.58 $0.00 23.4% 6.7% 19.1% 25.1% 0.0% 1.2% -1.8% 869 -10.4K -90 0.00 136.10 N/A N/A 0 0 14 1 2022-12-16 $43.99 $0.00 21.9% 6.3% 19.5% 22.1% 0.0% 0.2% -11.6% 805 -2.8K -72 0.00 140.65 N/A N/A 0 0 13 1 2022-12-19 $43.42 $0.00 25.6% 7.3% 19.5% 29.7% 0.0% 1.3% -2.3% 722 -3.6K -74 0.00 135.19 N/A N/A 0 0 10 1 2022-12-20 $43.71 $0.00 16.4% 4.7% 19.7% 10.5% 0.0% 2.9% 7.2% 733 -2.9K -69 0.00 136.95 N/A N/A 0 0 10 1 2022-12-21 $44.20 $0.00 15.8% 4.5% 19.3% 9.2% 0.0% 3.0% 0.0% 793 -3.0K -68 0.00 138.74 N/A N/A 0 0 10 1 2022-12-22 $43.55 $0.00 20.5% 5.9% 19.7% 19.2% 0.0% -0.8% -1.0% 725 -1.5K -60 0.00 125.05 N/A N/A 0 0 10 1 2022-12-23 $43.88 $0.00 22.1% 6.3% 20.0% 22.4% 0.0% 1.6% -0.4% 776 -2.4K -65 0.00 131.03 N/A N/A 0 0 10 1 2022-12-27 $43.91 $0.00 28.1% 8.0% 19.3% 34.2% 0.0% 1.4% -4.2% 779 -4.0K -77 0.00 139.23 N/A N/A 0 0 10 1 2022-12-28 $43.20 $0.00 28.0% 8.0% 19.9% 34.1% 0.0% -0.1% -4.8% 725 -2.9K -66 0.00 134.97 N/A N/A 0 0 10 1 2022-12-29 $43.95 $0.00 28.1% 8.1% 18.9% 34.3% 0.0% 2.4% -5.1% 771 -4.0K -75 0.00 138.15 N/A N/A 0 0 10 1 2022-12-30 $43.73 $0.00 28.8% 8.3% 18.8% 35.8% 0.0% 2.1% -5.7% 738 -3.3K -67 0.00 139.78 N/A N/A 0 0 10 1
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