FVAL Options History — February 2023 In February 2023, FVAL traded between $45.27 and $47.69. ATM implied volatility averaged 22.7%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 7.4% (HV 20d: 15.3%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days.
Notable Days 2023-02-17 : Largest IV spike — 46.7% change2023-02-06 : Highest IV Rank — 36.4%2023-02-28 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $46.64 $45.27 $47.69 $47.35 $45.36 Max Pain $50.00 $50.00 $50.00 $50.00 $50.00 ATM IV 22.7% 14.6% 29.1% 22.7% 26.3% Expected Move 6.0% 4.2% 7.5% 6.5% 7.5% HV 20d 15.3% 14.2% 16.1% 15.4% 15.2% HV 60d 17.9% 16.5% 20.3% 20.3% 16.5% IV Rank 22.8% 6.0% 36.4% 22.9% 30.3% IV Percentile 23.5% 0.4% 63.5% 17.1% 44.8% Term Structure -2.7% -11.8% 18.3% -2.8% -7.5% Skew 25d 2.6% 0.9% 4.0% 3.0% 2.3% Skew 10d 2.6% 0.8% 3.6% 2.3% 2.2% Call IV 25d 22.5% 15.1% 28.3% 26.1% 28.3% Put IV 25d 25.1% 17.1% 30.5% 29.2% 30.5% Bid-Ask Spread % 130.05 125.09 133.64 125.09 133.64 Gamma HHI 0.51 0.39 0.73 0.47 0.61 Net GEX 1.2K 668 1.7K 1.2K 1.0K Net DEX -5.9K -9.8K -1.9K -6.2K -4.9K Net VEX -63 -90 -19 -76 -38 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 20.947 10 26 26 10
Daily Data (19 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 2023-02-01 $47.35 $50.00 22.7% 6.5% 15.4% 22.9% 0.0% 3.0% -2.8% 1.2K -6.2K -76 0.00 125.09 N/A N/A 0 0 10 16 2023-02-02 $47.69 $0.00 24.2% 5.1% 15.5% 26.0% 0.0% 3.0% -3.1% 1.7K -9.8K -90 0.00 128.87 N/A N/A 0 0 10 16 2023-02-03 $47.47 $0.00 25.9% 5.5% 15.6% 29.6% 0.0% 2.6% -0.7% 1.3K -8.9K -88 0.00 129.57 N/A N/A 0 0 10 16 2023-02-06 $47.08 $0.00 29.1% 5.6% 14.2% 36.4% 0.0% 2.8% -0.9% 1.1K -6.8K -80 0.00 131.80 N/A N/A 0 0 10 16 2023-02-07 $47.61 $0.00 27.6% 5.2% 14.2% 33.2% 0.0% 2.3% -3.3% 1.3K -8.7K -85 0.00 125.15 N/A N/A 0 0 10 16 2023-02-08 $47.03 $0.00 19.4% 5.6% 15.2% 16.1% 0.0% 1.9% -2.9% 1.3K -6.4K -77 0.00 130.01 N/A N/A 0 0 10 16 2023-02-09 $46.61 $0.00 19.1% 5.5% 15.4% 15.5% 0.0% 0.9% -2.7% 1.2K -5.3K -74 0.00 126.61 N/A N/A 0 0 10 16 2023-02-10 $46.81 $0.00 20.3% 5.8% 15.3% 17.8% 0.0% 3.7% -0.2% 971 -5.1K -71 0.00 130.97 N/A N/A 0 0 10 16 2023-02-13 $47.39 $0.00 20.3% 5.8% 15.8% 17.8% 0.0% 4.0% 0.1% 1.2K -6.7K -75 0.00 130.32 N/A N/A 0 0 10 16 2023-02-14 $47.35 $0.00 20.2% 5.8% 15.7% 17.6% 0.0% 3.2% -1.0% 1.3K -6.3K -71 0.00 128.89 N/A N/A 0 0 10 16 2023-02-15 $47.27 $0.00 20.3% 5.8% 14.6% 17.9% 0.0% 2.8% -2.1% 1.4K -6.3K -71 0.00 132.36 N/A N/A 0 0 10 16 2023-02-16 $46.84 $0.00 14.6% 4.2% 14.9% 6.0% 0.0% 2.1% 18.3% 1.5K -3.9K -61 0.00 130.70 N/A N/A 0 0 10 16 2023-02-17 $46.52 $0.00 21.5% 6.2% 14.7% 20.4% 0.0% 3.0% -3.7% 882 -2.8K -58 0.00 132.86 N/A N/A 0 0 10 16 2023-02-21 $45.73 $0.00 22.9% 6.6% 15.5% 23.3% 0.0% 2.2% -4.5% 1.3K -6.6K -49 0.00 129.26 N/A N/A 0 0 10 0 2023-02-22 $45.51 $0.00 23.7% 6.8% 15.5% 25.0% 0.0% 2.1% -5.1% 1.1K -6.7K -51 0.00 131.71 N/A N/A 0 0 10 0 2023-02-23 $45.89 $0.00 23.6% 6.8% 15.8% 24.8% 0.0% 2.9% -11.8% 668 -1.9K -19 0.00 129.46 N/A N/A 0 0 10 0 2023-02-24 $45.27 $0.00 23.9% 6.9% 16.1% 25.5% 0.0% 2.8% -10.9% 901 -3.6K -33 0.00 132.03 N/A N/A 0 0 10 0 2023-02-27 $45.42 $0.00 24.8% 7.1% 15.9% 27.4% 0.0% 1.4% -6.4% 1.0K -4.6K -36 0.00 131.70 N/A N/A 0 0 10 0 2023-02-28 $45.36 $0.00 26.3% 7.5% 15.2% 30.3% 0.0% 2.3% -7.5% 1.0K -4.9K -38 0.00 133.64 N/A N/A 0 0 10 0
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