FVAL Options History — November 2023 In November 2023, FVAL traded between $47.03 and $50.42. ATM implied volatility averaged 12.2%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 3.3% (HV 20d: 15.5%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2023-11-15 : Highest Volume — 20 contracts2023-11-08 : Largest IV drop — 49.2% change2023-11-07 : Highest IV Rank — 26.3%2023-11-01 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $49.21 $47.03 $50.42 $47.03 $50.42 Max Pain $45.00 $45.00 $45.00 $45.00 $45.00 ATM IV 12.2% 7.1% 22.8% 17.8% 7.1% Expected Move 3.1% 2.1% 5.1% 5.1% 2.1% HV 20d 15.5% 13.0% 17.9% 14.5% 13.0% HV 60d 13.4% 12.5% 14.1% 12.5% 13.5% IV Rank 5.7% 0.0% 26.3% 15.7% 0.0% IV Percentile 8.1% 0.0% 61.9% 20.2% 0.0% Term Structure 0.8% -7.7% 19.6% -1.6% 7.0% VWIV 12.4% 10.3% 15.9% 15.9% 10.3% Skew 25d 2.0% -6.3% 9.7% -1.4% -6.3% Skew 10d 1.0% -9.2% 22.6% 1.8% -9.2% Call IV 25d 10.8% 6.3% 18.3% 18.3% 14.3% Put IV 25d 12.8% 8.0% 18.8% 16.9% 8.0% Bid-Ask Spread % 128.22 108.40 135.88 134.27 135.58 Gamma HHI 0.45 0.36 0.65 0.41 0.39 Net GEX 4.8K -10.5K 26.0K -10.5K 19.2K Net DEX 392 -67.7K 64.2K 64.2K -67.7K Net VEX -278 -379 -163 -379 -309 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 1.952 0 20 0 0 Total OI 63.429 48 85 48 85
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 2023-11-01 $47.03 $0.00 17.8% 5.1% 14.5% 15.7% 0.0% -1.4% -1.6% -10.5K 64.2K -379 0.00 134.27 N/A N/A 0 0 0 48 2023-11-02 $47.84 $45.00 15.4% 3.2% 15.7% 10.8% 15.9% 2.0% 1.9% -9.0K 48.2K -331 0.00 129.66 N/A N/A 0 3 0 48 2023-11-03 $48.40 $45.00 20.3% 4.3% 15.8% 21.1% 0.0% 2.6% -7.7% -7.1K 39.5K -287 0.00 133.40 N/A N/A 0 0 0 48 2023-11-06 $48.27 $45.00 17.1% 3.3% 15.8% 14.3% 0.0% 0.3% -2.0% -6.9K 38.0K -289 0.00 131.26 N/A N/A 0 0 0 48 2023-11-07 $48.49 $45.00 22.8% 3.3% 15.7% 26.3% 0.0% 0.2% 3.3% -6.7K 35.8K -269 0.00 135.88 N/A N/A 0 0 0 48 2023-11-08 $48.34 $45.00 11.6% 3.3% 15.7% 2.9% 0.0% 0.6% -2.2% -6.8K 35.8K -269 0.00 131.25 N/A N/A 0 0 0 48 2023-11-09 $47.87 $45.00 12.2% 3.5% 15.9% 4.2% 0.0% -0.8% -4.8% -7.5K 37.9K -279 0.00 130.77 N/A N/A 0 0 0 48 2023-11-10 $48.59 $45.00 11.6% 3.3% 16.5% 2.9% 0.0% 2.3% 0.0% -7.1K 31.2K -233 0.00 128.91 N/A N/A 0 0 0 48 2023-11-13 $48.52 $45.00 11.6% 3.3% 15.9% 3.0% 0.0% 1.2% -1.5% -6.4K 31.7K -235 0.00 133.23 N/A N/A 0 0 0 48 2023-11-14 $49.66 $45.00 12.7% 3.6% 17.9% 5.2% 0.0% 4.5% -2.5% -3.5K 19.2K -167 0.00 135.09 N/A N/A 0 0 0 48 2023-11-15 $49.79 $45.00 10.5% 3.0% 17.1% 0.7% 11.1% 1.2% 6.4% -3.6K 19.8K -163 0.00 131.34 N/A N/A 20 0 0 48 2023-11-16 $49.58 $45.00 13.8% 4.0% 16.8% 7.5% 0.0% 7.7% 19.6% 4.9K 763 -234 0.00 135.53 N/A N/A 1 0 20 48 2023-11-17 $49.74 $45.00 10.9% 3.1% 16.1% 1.4% 0.0% 1.5% -2.5% 6.9K -1.4K -262 0.00 130.19 N/A N/A 4 0 21 48 2023-11-20 $50.18 $45.00 8.9% 2.5% 16.0% 0.0% 10.3% 0.7% -0.5% 10.8K -21.1K -242 0.00 122.48 N/A N/A 13 0 24 48 2023-11-21 $49.91 $45.00 8.8% 2.5% 16.3% 0.0% 0.0% 5.1% -1.7% 18.0K -41.5K -347 0.00 123.58 N/A N/A 0 0 37 48 2023-11-22 $50.16 $45.00 8.1% 2.3% 15.3% 0.0% 0.0% 2.1% -1.9% 21.5K -51.7K -348 0.00 108.40 N/A N/A 0 0 37 48 2023-11-24 $50.20 $45.00 8.3% 2.4% 14.5% 0.5% 0.0% 1.6% -1.9% 22.0K -53.2K -340 0.00 118.58 N/A N/A 0 0 37 48 2023-11-27 $50.15 $45.00 8.1% 2.3% 13.8% 0.1% 0.0% 4.5% -0.9% 23.6K -47.9K -313 0.00 120.82 N/A N/A 0 0 37 48 2023-11-28 $50.17 $45.00 8.6% 2.5% 13.2% 1.0% 0.0% 9.7% 3.9% 23.9K -55.7K -268 0.00 120.47 N/A N/A 0 0 37 48 2023-11-29 $50.17 $45.00 9.3% 2.7% 13.2% 2.3% 0.0% 2.5% 5.7% 26.0K -53.7K -271 0.00 121.89 N/A N/A 0 0 37 48 2023-11-30 $50.42 $45.00 7.1% 2.1% 13.0% 0.0% 0.0% -6.3% 7.0% 19.2K -67.7K -309 0.00 135.58 N/A N/A 0 0 37 48
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