FVAL Options History — May 2023

In May 2023, FVAL traded between $45.08 and $46.74. ATM implied volatility averaged 18.1%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.4% (HV 20d: 14.7%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2023-05-15: Highest Volume — 10 contracts
  • 2023-05-18: Largest IV spike — 76.9% change
  • 2023-05-09: Highest IV Rank — 28.8%
  • 2023-05-30: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.12$45.08$46.74$46.52$46.45
Max Pain$46.86$46.00$50.00$50.00$46.00
ATM IV18.1%10.2%27.6%21.3%11.6%
Expected Move4.8%2.9%6.8%6.1%3.3%
HV 20d14.7%12.6%15.8%12.6%13.0%
HV 60d15.7%15.4%16.2%15.6%15.4%
IV Rank12.4%0.0%28.8%14.9%2.9%
IV Percentile13.4%0.0%54.0%14.7%1.2%
Term Structure-2.0%-7.5%3.6%-4.5%3.6%
VWIV13.2%13.2%13.2%13.2%13.2%
Skew 25d-0.0%-7.0%3.6%1.5%-7.0%
Skew 10d2.9%-0.4%15.6%15.6%1.3%
Call IV 25d20.2%15.3%25.4%25.4%25.2%
Put IV 25d20.2%14.1%26.8%26.8%18.2%
Bid-Ask Spread %131.81124.85136.64132.45132.94
Gamma HHI0.880.731.000.761.00
Net GEX2.9K3126.8K1.1K6.8K
Net DEX-14.9K-32.4K-526-3.4K-28.9K
Net VEX-26-55-3-14-36
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.45501000
Total OI11.136919910

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$46.52$50.0021.3%6.1%12.6%14.9%0.0%1.5%-4.5%1.1K-3.4K-140.00132.45N/AN/A0090
2023-05-02$45.89$50.0019.2%5.5%13.2%10.2%0.0%-0.4%1.8%474-938-40.00124.85N/AN/A0090
2023-05-03$45.73$50.0017.5%5.0%12.7%6.4%0.0%-0.4%-5.3%312-526-30.00126.61N/AN/A0090
2023-05-04$45.08$0.0025.4%5.4%13.6%23.9%0.0%2.0%-3.5%452-1.2K-50.00134.05N/AN/A0090
2023-05-05$46.04$0.0024.3%5.2%15.6%21.5%0.0%3.2%-1.6%793-2.2K-80.00134.09N/AN/A0090
2023-05-08$46.02$0.0027.0%5.5%15.6%27.6%0.0%2.8%-7.3%773-2.1K-70.00136.22N/AN/A0090
2023-05-09$45.81$0.0027.6%5.3%15.6%28.8%0.0%3.6%-2.4%649-1.7K-60.00136.64N/AN/A0090
2023-05-10$45.95$0.0018.1%5.2%15.5%7.6%0.0%2.7%-1.4%609-1.4K-40.00132.40N/AN/A0090
2023-05-11$45.78$0.0018.5%5.3%15.0%8.7%0.0%2.9%-3.4%587-1.4K-40.00135.83N/AN/A0090
2023-05-12$45.67$0.0018.4%5.3%15.0%8.3%0.0%2.4%-3.6%485-1.1K-30.00133.78N/AN/A0090
2023-05-15$45.94$0.0010.8%3.1%15.2%0.0%13.2%2.2%1.3%545-1.2K-30.00132.29N/AN/A10090
2023-05-16$45.70$46.0012.0%3.4%15.2%2.5%0.0%2.6%3.5%5.7K-22.0K-550.00131.19N/AN/A00190
2023-05-17$46.22$46.0010.2%2.9%15.8%0.0%0.0%0.9%2.4%6.0K-26.8K-540.00129.95N/AN/A00190
2023-05-18$46.67$46.0018.0%5.2%15.8%15.9%0.0%-1.9%1.8%5.4K-32.1K-510.00130.71N/AN/A00190
2023-05-19$46.59$46.0019.1%5.5%15.8%18.1%0.0%-1.5%-4.8%5.5K-31.5K-480.00130.07N/AN/A00190
2023-05-22$46.63$46.0013.0%3.7%15.8%5.7%0.0%-5.1%-2.4%4.7K-31.2K-440.00128.63N/AN/A00100
2023-05-23$46.40$46.0011.6%3.3%15.0%2.8%0.0%-1.3%1.9%4.8K-27.1K-460.00132.12N/AN/A00100
2023-05-24$46.00$46.0015.1%4.3%15.2%10.0%0.0%-5.1%-7.5%4.0K-22.9K-460.00131.58N/AN/A00100
2023-05-25$46.19$46.0014.0%4.0%13.4%7.8%0.0%2.5%-0.2%4.7K-24.7K-450.00131.88N/AN/A00100
2023-05-26$46.74$46.0020.9%6.0%13.8%21.7%0.0%-1.2%-5.2%4.6K-30.7K-400.00130.65N/AN/A00100
2023-05-30$46.69$46.0023.6%6.8%13.8%27.2%0.0%-5.9%-6.8%5.2K-32.4K-360.00130.91N/AN/A00100
2023-05-31$46.45$46.0011.6%3.3%13.0%2.9%0.0%-7.0%3.6%6.8K-28.9K-360.00132.94N/AN/A00100