FVAL Options History — October 2023

In October 2023, FVAL traded between $45.59 and $48.45. ATM implied volatility averaged 19.9%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 7.3% (HV 20d: 12.6%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days.

Notable Days

  • 2023-10-04: Highest Volume — 21 contracts
  • 2023-10-11: Largest IV drop — 36.5% change
  • 2023-10-10: Highest IV Rank — 35.6%
  • 2023-10-04: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.34$45.59$48.45$47.67$46.53
ATM IV19.9%15.3%27.3%17.0%15.3%
Expected Move5.3%4.4%6.7%4.9%4.4%
HV 20d12.6%11.2%14.6%11.2%14.1%
HV 60d11.2%10.6%12.3%10.6%12.2%
IV Rank20.1%10.6%35.6%14.2%10.7%
IV Percentile34.4%4.0%74.6%11.9%4.8%
Term Structure-3.0%-6.4%3.4%-4.6%-1.4%
Skew 25d1.2%-1.2%3.1%-0.1%1.3%
Skew 10d2.1%-0.5%9.2%-0.3%6.4%
Call IV 25d19.8%16.6%26.9%16.6%16.7%
Put IV 25d21.0%16.4%29.2%16.4%17.9%
Bid-Ask Spread %134.59127.40138.69138.55127.72
Gamma HHI0.660.401.001.000.41
Net GEX-5.4K-11.5K00-11.5K
Net DEX43.2K096.4K075.0K
Net VEX-268-43200-403
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume2.18202100
Total OI29.909048048

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$47.67$0.0017.0%4.9%11.2%14.2%0.0%-0.1%-4.6%0000.00138.55N/AN/A0000
2023-10-03$47.06$0.0023.1%6.6%11.8%26.8%0.0%0.4%-6.3%0000.00136.67N/AN/A0000
2023-10-04$47.34$0.0023.3%6.7%11.9%27.3%0.0%2.3%-5.2%0000.00138.69N/AN/A02100
2023-10-05$47.34$0.0024.1%5.0%11.9%28.9%0.0%2.1%-1.9%-3.3K34.4K-2190.00135.90N/AN/A00021
2023-10-06$47.87$0.0022.3%4.5%12.8%25.2%0.0%2.1%3.4%-3.4K29.6K-2010.00130.27N/AN/A00021
2023-10-09$48.03$0.0021.3%4.8%12.4%23.0%0.0%2.1%-1.2%-3.7K26.7K-1970.00134.13N/AN/A00021
2023-10-10$48.36$0.0027.3%5.0%12.8%35.6%0.0%1.3%-3.6%-3.1K25.5K-1940.00135.79N/AN/A00021
2023-10-11$48.45$0.0017.3%5.0%12.8%14.9%0.0%1.8%-2.8%-3.3K25.3K-1860.00136.10N/AN/A010021
2023-10-12$48.11$0.0016.9%4.9%11.9%14.0%0.0%1.0%-2.8%-4.6K33.6K-2750.00134.41N/AN/A00031
2023-10-13$47.77$0.0017.1%4.9%11.2%14.2%0.0%0.2%-4.1%-4.5K32.9K-2710.00133.65N/AN/A00031
2023-10-16$48.40$0.0018.0%5.2%12.4%16.3%0.0%2.3%-3.4%-4.2K32.8K-2710.00136.42N/AN/A00031
2023-10-17$48.39$0.0018.1%5.2%12.4%16.4%0.0%1.7%-4.3%-4.3K31.7K-2670.00134.19N/AN/A00031
2023-10-18$47.78$0.0018.9%5.4%12.8%18.0%0.0%0.3%-6.4%-4.4K33.7K-2720.00134.64N/AN/A00031
2023-10-19$47.36$0.0020.3%5.8%12.5%21.1%0.0%3.1%-3.7%-5.0K44.6K-3080.00133.46N/AN/A00031
2023-10-20$46.87$0.0020.7%5.9%12.9%21.8%0.0%1.5%-3.1%-5.1K49.5K-3170.00134.40N/AN/A017031
2023-10-23$46.70$0.0019.9%5.7%12.9%20.1%0.0%0.7%-3.4%-9.5K72.5K-4170.00136.24N/AN/A00048
2023-10-24$47.00$0.0020.2%5.8%12.3%20.8%0.0%1.7%-3.6%-8.9K68.8K-4040.00136.24N/AN/A00048
2023-10-25$46.43$0.0023.1%6.6%13.0%26.7%0.0%1.4%-5.5%-9.8K76.3K-4260.00136.77N/AN/A00048
2023-10-26$45.97$0.0021.9%6.3%12.8%24.3%0.0%-0.7%-1.4%-10.9K84.3K-4280.00134.00N/AN/A00048
2023-10-27$45.59$0.0015.3%4.4%13.0%10.6%0.0%-1.2%1.0%-10.8K96.4K-4320.00127.40N/AN/A00048
2023-10-30$46.35$0.0015.4%4.4%14.6%10.7%0.0%1.7%-1.6%-9.5K76.6K-4130.00135.24N/AN/A00048
2023-10-31$46.53$0.0015.3%4.4%14.1%10.7%0.0%1.3%-1.4%-11.5K75.0K-4030.00127.72N/AN/A00048