FVAL Options History — March 2023 In March 2023, FVAL traded between $43.66 and $46.23. ATM implied volatility averaged 26.3%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 9.3% (HV 20d: 17.0%). Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.00.
Notable Days 2023-03-20 : Highest Volume — 6 contracts2023-03-15 : Largest IV drop — 60.1% change2023-03-13 : Highest IV Rank — 90.8%2023-03-02 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $44.73 $43.66 $46.23 $45.27 $45.63 ATM IV 26.3% 15.5% 55.1% 25.8% 21.9% Expected Move 6.1% 3.5% 7.4% 7.4% 6.3% HV 20d 17.0% 13.4% 20.0% 14.8% 19.6% HV 60d 16.7% 16.1% 17.2% 16.5% 16.8% IV Rank 30.5% 7.9% 90.8% 29.4% 21.2% IV Percentile 34.6% 0.8% 98.0% 42.1% 15.9% Term Structure -3.2% -12.2% 3.8% -6.9% -4.3% Skew 25d 2.3% -0.9% 7.2% 2.4% 1.4% Skew 10d 2.3% -4.7% 5.0% 2.2% 2.1% Call IV 25d 21.9% 13.6% 29.1% 28.8% 24.9% Put IV 25d 24.3% 15.7% 31.2% 31.2% 26.4% Bid-Ask Spread % 130.35 123.32 135.53 132.54 132.91 Gamma HHI 0.65 0.60 0.81 0.62 0.72 Net GEX 826 541 1.3K 979 929 Net DEX -3.9K -6.3K -1.5K -4.7K -3.6K Net VEX -29 -45 -12 -37 -23 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 0.435 0 6 0 0 Total OI 9.87 9 10 10 9
Daily Data (23 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 2023-03-01 $45.27 $0.00 25.8% 7.4% 14.8% 29.4% 0.0% 2.4% -6.9% 979 -4.7K -37 0.00 132.54 N/A N/A 0 0 10 0 2023-03-02 $45.58 $0.00 25.9% 7.4% 13.4% 29.7% 0.0% 2.4% -7.2% 1.1K -4.9K -41 0.00 129.95 N/A N/A 0 0 10 0 2023-03-03 $46.22 $0.00 24.9% 7.1% 14.2% 27.6% 0.0% 2.1% -6.6% 1.3K -6.3K -45 0.00 130.59 N/A N/A 0 0 10 0 2023-03-06 $46.23 $0.00 19.1% 3.5% 14.2% 15.3% 0.0% 3.7% 3.8% 1.2K -4.5K -34 0.00 132.32 N/A N/A 0 0 10 0 2023-03-07 $45.52 $0.00 28.4% 4.9% 14.9% 34.9% 0.0% 0.9% -2.0% 1.0K -3.9K -32 0.00 128.34 N/A N/A 0 0 10 0 2023-03-08 $45.51 $0.00 32.2% 5.3% 14.1% 42.8% 0.0% 2.5% -1.9% 1.0K -4.8K -36 0.00 134.20 N/A N/A 0 0 10 0 2023-03-09 $44.66 $0.00 31.1% 5.3% 14.9% 40.6% 0.0% 0.7% -5.8% 870 -3.6K -28 0.00 128.80 N/A N/A 0 0 10 0 2023-03-10 $43.77 $0.00 35.1% 6.7% 16.0% 48.8% 0.0% 2.0% -9.2% 694 -3.3K -28 0.00 123.32 N/A N/A 0 0 10 0 2023-03-13 $43.77 $0.00 55.1% 6.7% 15.8% 90.8% 0.0% 3.1% -0.6% 712 -4.7K -35 0.00 128.96 N/A N/A 0 0 10 0 2023-03-14 $44.02 $0.00 54.1% 6.5% 15.1% 88.7% 0.0% 7.2% -2.4% 630 -3.0K -25 0.00 135.53 N/A N/A 0 0 10 0 2023-03-15 $43.66 $0.00 21.6% 6.2% 15.2% 20.6% 0.0% 3.7% -0.8% 612 -3.4K -26 0.00 130.15 N/A N/A 0 0 10 0 2023-03-16 $44.52 $0.00 20.2% 5.8% 17.3% 17.7% 0.0% 4.3% -0.3% 722 -4.4K -33 0.00 128.68 N/A N/A 0 0 10 0 2023-03-17 $43.67 $0.00 20.6% 5.9% 18.1% 18.4% 0.0% 0.8% -1.6% 709 -4.3K -31 0.00 129.37 N/A N/A 0 0 10 0 2023-03-20 $44.14 $0.00 23.3% 6.7% 18.8% 24.0% 0.0% -0.9% -12.2% 782 -4.6K -32 0.00 127.70 N/A N/A 6 0 10 0 2023-03-21 $44.88 $0.00 21.0% 6.0% 19.1% 19.4% 0.0% 3.7% -2.7% 849 -4.0K -29 0.00 131.80 N/A N/A 0 0 10 0 2023-03-22 $44.44 $0.00 21.9% 6.3% 19.4% 21.1% 0.0% 0.7% -2.3% 848 -5.2K -34 0.00 129.52 N/A N/A 0 0 10 0 2023-03-23 $44.03 $0.00 21.4% 6.1% 19.2% 20.3% 0.0% 1.1% -2.0% 716 -3.8K -26 0.00 125.10 N/A N/A 0 0 10 0 2023-03-24 $44.24 $0.00 15.5% 4.5% 18.9% 7.9% 0.0% 3.6% 3.6% 541 -2.3K -18 0.00 126.51 N/A N/A 0 0 10 0 2023-03-27 $44.52 $0.00 22.4% 6.4% 19.0% 22.3% 0.0% 2.3% -4.2% 760 -3.5K -25 0.00 133.07 N/A N/A 0 0 10 0 2023-03-28 $44.27 $0.00 23.4% 6.7% 19.0% 24.5% 0.0% 2.8% -4.0% 670 -2.9K -22 0.00 131.99 N/A N/A 4 0 10 0 2023-03-29 $44.97 $0.00 22.2% 6.4% 20.0% 21.8% 0.0% 3.2% -3.7% 777 -3.4K -23 0.00 133.94 N/A N/A 0 0 9 0 2023-03-30 $45.16 $0.00 18.3% 5.3% 19.9% 13.7% 0.0% -0.3% -0.0% 561 -1.5K -12 0.00 132.83 N/A N/A 0 0 9 0 2023-03-31 $45.63 $0.00 21.9% 6.3% 19.6% 21.2% 0.0% 1.4% -4.3% 929 -3.6K -23 0.00 132.91 N/A N/A 0 0 9 0
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