FVAL Options History — September 2023 In September 2023, FVAL traded between $47.63 and $50.16. ATM implied volatility averaged 22.4%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 11.2% (HV 20d: 11.3%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days.
Notable Days 2023-09-07 : Largest IV spike — 74.7% change2023-09-12 : Highest IV Rank — 69.5%2023-09-01 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $49.04 $47.63 $50.16 $50.02 $47.82 ATM IV 22.4% 15.6% 44.5% 21.8% 19.9% Expected Move 5.0% 3.8% 6.2% 6.2% 5.7% HV 20d 11.3% 10.1% 12.1% 11.2% 11.2% HV 60d 10.4% 9.8% 10.8% 10.3% 10.6% IV Rank 25.0% 10.9% 69.5% 23.5% 20.1% IV Percentile 38.3% 4.8% 97.6% 41.3% 35.7% Term Structure -3.2% -8.0% -0.7% -8.0% -5.1% Skew 25d 1.3% -0.7% 4.9% -0.7% 0.7% Skew 10d 1.4% -0.4% 2.2% -0.4% 1.3% Call IV 25d 19.0% 12.1% 23.5% 18.9% 23.5% Put IV 25d 20.3% 12.0% 25.0% 18.2% 24.1% Bid-Ask Spread % 139.94 136.13 142.84 136.13 137.36 Net GEX 0 0 0 0 0 Net DEX 0 0 0 0 0 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (20 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 2023-09-01 $50.02 $0.00 21.8% 6.2% 11.2% 23.5% 0.0% -0.7% -8.0% 0 0 0 0.00 136.13 N/A N/A 0 0 0 0 2023-09-05 $49.91 $0.00 25.7% 4.4% 10.8% 31.5% 0.0% -0.1% -1.7% 0 0 0 0.00 142.08 N/A N/A 0 0 0 0 2023-09-06 $49.47 $0.00 17.2% 3.8% 11.2% 14.2% 0.0% 0.4% -5.8% 0 0 0 0.00 139.06 N/A N/A 0 0 0 0 2023-09-07 $49.29 $0.00 30.1% 4.6% 11.1% 40.3% 0.0% 2.2% -1.5% 0 0 0 0.00 142.84 N/A N/A 0 0 0 0 2023-09-08 $49.39 $0.00 32.1% 4.7% 11.0% 44.4% 0.0% 1.8% -0.7% 0 0 0 0.00 141.97 N/A N/A 0 0 0 0 2023-09-11 $49.77 $0.00 39.3% 4.5% 11.3% 59.0% 0.0% 1.6% -1.5% 0 0 0 0.00 141.89 N/A N/A 0 0 0 0 2023-09-12 $49.56 $0.00 44.5% 4.4% 11.3% 69.5% 0.0% 1.3% -2.0% 0 0 0 0.00 140.92 N/A N/A 0 0 0 0 2023-09-13 $49.55 $0.00 16.0% 4.6% 10.1% 11.8% 0.0% 1.7% -2.8% 0 0 0 0.00 141.84 N/A N/A 0 0 0 0 2023-09-14 $50.16 $0.00 15.6% 4.5% 10.8% 10.9% 0.0% 1.6% -2.3% 0 0 0 0.00 141.81 N/A N/A 0 0 0 0 2023-09-15 $49.44 $0.00 17.1% 4.9% 11.7% 14.3% 0.0% 0.9% -2.3% 0 0 0 0.00 142.63 N/A N/A 0 0 0 0 2023-09-18 $49.41 $0.00 18.1% 5.2% 11.7% 16.4% 0.0% 1.0% -2.9% 0 0 0 0.00 141.31 N/A N/A 0 0 0 0 2023-09-19 $49.44 $0.00 17.1% 4.9% 11.6% 14.3% 0.0% 1.0% -2.3% 0 0 0 0.00 140.19 N/A N/A 0 0 0 0 2023-09-20 $49.06 $0.00 16.9% 4.8% 11.7% 13.9% 0.0% 4.9% -2.4% 0 0 0 0.00 137.93 N/A N/A 0 0 0 0 2023-09-21 $48.48 $0.00 19.6% 5.6% 11.9% 19.6% 0.0% 1.4% -4.0% 0 0 0 0.00 139.77 N/A N/A 0 0 0 0 2023-09-22 $48.30 $0.00 19.4% 5.6% 11.4% 19.1% 0.0% 1.1% -3.6% 0 0 0 0.00 139.54 N/A N/A 0 0 0 0 2023-09-25 $48.40 $0.00 19.2% 5.5% 11.3% 18.7% 0.0% 1.7% -3.4% 0 0 0 0.00 138.43 N/A N/A 0 0 0 0 2023-09-26 $47.72 $0.00 19.6% 5.6% 12.1% 19.5% 0.0% 0.5% -4.5% 0 0 0 0.00 137.63 N/A N/A 0 0 0 0 2023-09-27 $47.63 $0.00 19.8% 5.7% 10.7% 19.9% 0.0% 1.4% -4.0% 0 0 0 0.00 137.53 N/A N/A 0 0 0 0 2023-09-28 $48.02 $0.00 19.6% 5.6% 11.2% 19.6% 0.0% 2.2% -3.9% 0 0 0 0.00 137.97 N/A N/A 0 0 0 0 2023-09-29 $47.82 $0.00 19.9% 5.7% 11.2% 20.1% 0.0% 0.7% -5.1% 0 0 0 0.00 137.36 N/A N/A 0 0 0 0
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