FVAL Options History — July 2023

In July 2023, FVAL traded between $48.59 and $50.85. ATM implied volatility averaged 18.6%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 8.4% (HV 20d: 10.2%). Max pain ranged from $52.00 to $52.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2023-07-13: Highest Volume — 1 contracts
  • 2023-07-12: Largest IV drop — 33.8% change
  • 2023-07-10: Highest IV Rank — 30.9%
  • 2023-07-05: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.92$48.59$50.85$49.26$50.85
Max Pain$52.00$52.00$52.00$52.00$52.00
ATM IV18.6%14.2%25.4%19.9%19.6%
Expected Move4.9%4.1%6.0%5.7%5.6%
HV 20d10.2%8.8%11.5%10.3%8.8%
HV 60d12.4%11.4%12.8%12.6%11.4%
IV Rank17.0%8.1%30.9%19.7%19.1%
IV Percentile17.0%2.8%50.4%19.8%24.6%
Term Structure-3.0%-5.5%-0.8%-4.4%-4.1%
Skew 25d0.8%-9.1%5.4%1.3%0.6%
Skew 10d1.0%-5.2%2.3%1.3%1.2%
Call IV 25d19.0%13.3%23.6%22.4%23.6%
Put IV 25d19.8%11.3%25.6%23.6%24.2%
Bid-Ask Spread %135.63130.33137.47135.36136.12
Gamma HHI0.850.501.001.000.98
Net GEX57701.6K4680
Net DEX-1.5K-5.4K0-1.3K0
Net VEX-2-50-50
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.050100
Total OI1.70320

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$49.26$52.0019.9%5.7%10.3%19.7%0.0%1.3%-4.4%468-1.3K-50.00135.36N/AN/A0020
2023-07-05$49.09$52.0021.0%6.0%10.2%21.9%0.0%4.5%-5.5%423-1.1K-40.00135.01N/AN/A0020
2023-07-06$48.59$0.0021.8%4.5%10.9%23.5%0.0%5.4%-1.9%302-704-30.00135.05N/AN/A0020
2023-07-07$48.73$0.0020.9%4.4%11.0%21.7%0.0%2.1%-2.7%334-814-30.00134.24N/AN/A0020
2023-07-10$48.70$0.0025.4%4.7%11.0%30.9%0.0%1.7%-2.4%339-887-30.00137.47N/AN/A0020
2023-07-11$49.17$0.0025.4%4.7%11.4%30.8%0.0%1.9%-2.9%420-1.1K-30.00135.51N/AN/A0020
2023-07-12$49.50$0.0016.8%4.8%11.3%13.4%0.0%1.0%-3.5%489-1.1K-30.00136.20N/AN/A0020
2023-07-13$49.93$0.0015.7%4.5%11.5%11.2%0.0%1.7%-2.9%52-2400.00136.70N/AN/A1020
2023-07-14$49.76$0.0016.0%4.6%11.3%11.7%0.0%1.0%-3.4%1.2K-2.6K-40.00137.08N/AN/A0030
2023-07-17$50.02$0.0016.0%4.6%10.3%11.8%0.0%-1.8%-3.6%1.4K-2.7K-20.00135.26N/AN/A0030
2023-07-18$50.46$0.0015.6%4.5%10.1%11.0%0.0%1.1%-1.4%1.5K-4.6K-40.00137.46N/AN/A0030
2023-07-19$50.63$0.0016.3%4.7%9.7%12.4%0.0%2.0%-3.5%1.5K-5.4K-30.00136.83N/AN/A0030
2023-07-20$50.33$0.0017.4%5.0%9.9%14.5%0.0%0.5%-2.2%1.5K-3.7K-20.00135.13N/AN/A0030
2023-07-21$50.35$0.0017.7%5.1%9.9%15.1%0.0%0.8%-1.9%1.6K-3.8K00.00136.34N/AN/A0030
2023-07-24$50.55$0.0018.1%5.2%9.4%16.0%0.0%-9.1%-3.4%0000.00137.09N/AN/A0000
2023-07-25$50.70$0.0017.5%5.0%9.4%14.8%0.0%1.0%-2.9%0000.00134.91N/AN/A0000
2023-07-26$50.65$0.0014.2%4.1%9.1%8.1%0.0%-0.1%-0.8%0000.00135.07N/AN/A0000
2023-07-27$50.37$0.0018.9%5.4%9.4%17.7%0.0%0.0%-4.0%0000.00130.33N/AN/A0000
2023-07-28$50.81$0.0017.9%5.1%9.6%15.6%0.0%0.7%-3.2%0000.00135.38N/AN/A0000
2023-07-31$50.85$0.0019.6%5.6%8.8%19.1%0.0%0.6%-4.1%0000.00136.12N/AN/A0000