FVAL Options History — June 2023 In June 2023, FVAL traded between $46.62 and $49.19. ATM implied volatility averaged 22.3%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 10.3% (HV 20d: 12.1%). Max pain ranged from $46.00 to $52.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2023-06-20 : Highest Volume — 2 contracts2023-06-14 : Largest IV drop — 56.2% change2023-06-12 : Highest IV Rank — 58.4%2023-06-01 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $48.14 $46.62 $49.19 $46.62 $49.19 Max Pain $50.80 $46.00 $52.00 $46.00 $52.00 ATM IV 22.3% 15.3% 39.0% 22.7% 18.8% Expected Move 5.0% 4.4% 6.5% 6.5% 5.4% HV 20d 12.1% 11.5% 13.5% 13.0% 12.4% HV 60d 13.6% 12.6% 15.7% 15.1% 12.6% IV Rank 24.6% 10.4% 58.4% 25.3% 17.5% IV Percentile 30.3% 3.6% 92.5% 28.6% 14.3% Term Structure -2.7% -8.1% 0.9% -8.1% -3.9% VWIV 14.5% 14.5% 14.5% 14.5% 14.5% Skew 25d 2.3% -11.6% 15.0% -10.9% -3.0% Skew 10d 1.9% -3.5% 8.6% -3.5% 1.5% Call IV 25d 16.8% 6.5% 26.0% 24.0% 20.0% Put IV 25d 19.1% 13.1% 22.8% 13.1% 17.0% Bid-Ask Spread % 134.89 129.03 137.83 129.03 134.32 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 2.0K 0 8.0K 8.0K 455 Net DEX -21.6K -48.9K 0 -33.6K -1.3K Net VEX -10 -31 0 -31 -5 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 0.095 0 2 0 0 Total OI 6 0 10 10 2
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 2023-06-01 $46.62 $46.00 22.7% 6.5% 13.0% 25.3% 0.0% -10.9% -8.1% 8.0K -33.6K -31 0.00 129.03 N/A N/A 0 0 10 0 2023-06-02 $47.62 $46.00 22.3% 6.4% 13.5% 24.5% 0.0% -11.6% -7.8% 3.5K -37.6K -27 0.00 131.05 N/A N/A 0 0 10 0 2023-06-05 $47.44 $0.00 27.1% 4.8% 11.8% 34.2% 0.0% 1.5% -1.2% 3.9K -36.5K -24 0.00 136.16 N/A N/A 0 0 10 0 2023-06-06 $47.72 $0.00 26.3% 4.4% 11.9% 32.7% 0.0% 2.1% -1.3% 3.6K -38.8K -21 0.00 135.21 N/A N/A 0 0 10 0 2023-06-07 $47.83 $0.00 28.2% 4.6% 11.7% 36.5% 0.0% 1.8% -1.7% 3.4K -39.1K -19 0.00 137.83 N/A N/A 0 0 10 0 2023-06-08 $47.90 $0.00 29.4% 4.5% 11.7% 39.0% 0.0% 1.9% -1.2% 3.4K -40.0K -17 0.00 136.93 N/A N/A 0 0 10 0 2023-06-09 $47.94 $0.00 30.1% 4.5% 11.5% 40.3% 0.0% 1.9% -1.4% 3.4K -40.2K -15 0.00 136.61 N/A N/A 0 0 10 0 2023-06-12 $48.30 $0.00 39.0% 4.5% 11.5% 58.4% 0.0% 2.4% -1.7% 3.0K -41.8K -10 0.00 135.49 N/A N/A 0 0 10 0 2023-06-13 $48.59 $0.00 37.4% 4.7% 11.5% 55.2% 0.0% 4.7% -2.3% 2.9K -45.3K -5 0.00 137.06 N/A N/A 0 0 10 0 2023-06-14 $48.30 $0.00 16.4% 4.7% 11.5% 12.5% 0.0% -1.5% -2.4% 3.4K -45.3K -4 0.00 132.88 N/A N/A 0 0 10 0 2023-06-15 $49.02 $0.00 15.3% 4.4% 11.9% 10.4% 0.0% 2.1% -1.6% 985 -48.9K 0 0.00 135.00 N/A N/A 0 0 10 0 2023-06-16 $48.63 $0.00 16.1% 4.6% 12.3% 12.0% 0.0% 1.2% -2.4% 0 0 0 0.00 136.03 N/A N/A 0 0 0 0 2023-06-20 $48.34 $0.00 17.5% 5.0% 12.5% 14.8% 14.5% 1.2% -2.4% 0 0 0 0.00 135.55 N/A N/A 2 0 0 0 2023-06-21 $48.18 $52.00 17.6% 5.1% 12.7% 15.1% 0.0% 1.2% -2.7% 318 -1.1K -5 0.00 136.14 N/A N/A 0 0 2 0 2023-06-22 $48.20 $52.00 17.2% 4.9% 12.4% 14.3% 0.0% 7.6% -2.4% 285 -768 -4 0.00 134.94 N/A N/A 0 0 2 0 2023-06-23 $47.91 $52.00 17.2% 4.9% 12.2% 14.2% 0.0% 15.0% -2.6% 259 -745 -4 0.00 134.77 N/A N/A 0 0 2 0 2023-06-26 $47.92 $52.00 18.4% 5.3% 12.2% 16.7% 0.0% 1.4% -3.4% 272 -860 -4 0.00 136.86 N/A N/A 0 0 2 0 2023-06-27 $48.40 $52.00 17.8% 5.1% 12.0% 15.5% 0.0% 11.3% -2.9% 309 -835 -4 0.00 131.57 N/A N/A 0 0 2 0 2023-06-28 $48.30 $52.00 18.8% 5.4% 12.0% 17.4% 0.0% 12.4% -3.4% 299 -833 -4 0.00 134.42 N/A N/A 0 0 2 0 2023-06-29 $48.56 $52.00 15.6% 4.5% 11.8% 11.0% 0.0% 5.7% 0.9% 308 -732 -3 0.00 134.80 N/A N/A 0 0 2 0 2023-06-30 $49.19 $52.00 18.8% 5.4% 12.4% 17.5% 0.0% -3.0% -3.9% 455 -1.3K -5 0.00 134.32 N/A N/A 0 0 2 0
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