FVAL Options History — December 2023 In December 2023, FVAL traded between $50.61 and $53.24. ATM implied volatility averaged 15.9%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.9% (HV 20d: 10.0%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 1 of 20 days.
Notable Days 2023-12-12 : Largest IV spike — 285.0% change2023-12-12 : Highest IV Rank — 74.8%2023-12-29 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $52.11 $50.61 $53.24 $50.95 $53.02 Max Pain $45.00 $45.00 $45.00 $45.00 $45.00 ATM IV 15.9% 8.8% 45.5% 8.8% 17.9% Expected Move 4.4% 2.5% 5.1% 2.5% 5.1% HV 20d 10.0% 7.9% 12.3% 12.3% 9.7% HV 60d 13.2% 12.6% 13.6% 13.6% 12.6% IV Rank 17.8% 3.2% 74.8% 3.2% 22.5% IV Percentile 21.2% 2.0% 98.4% 2.0% 34.9% Term Structure -1.9% -3.4% 2.7% 2.7% -3.3% Skew 25d 0.4% -10.5% 2.0% -10.5% 0.7% Skew 10d 1.7% 0.5% 8.5% 8.5% 1.2% Call IV 25d 18.2% 16.5% 21.3% 18.0% 21.3% Put IV 25d 18.6% 7.5% 22.1% 7.5% 22.1% Bid-Ask Spread % 139.20 128.80 141.63 128.80 141.31 Gamma HHI 0.45 0.36 0.52 0.47 0.46 Net GEX 13.6K -281 38.0K 31.5K 339 Net DEX -62.7K -160.3K -7.3K -101.7K -10.5K Net VEX -140 -271 -68 -267 -72 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 60.85 35 85 85 35
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 2023-12-01 $50.95 $45.00 8.8% 2.5% 12.3% 3.2% 0.0% -10.5% 2.7% 31.5K -101.7K -267 0.00 128.80 N/A N/A 0 0 37 48 2023-12-04 $50.77 $0.00 9.8% 4.2% 12.1% 5.1% 0.0% 1.5% -1.4% 34.6K -88.2K -251 0.00 141.63 N/A N/A 0 0 37 48 2023-12-05 $50.78 $0.00 10.7% 4.3% 11.9% 7.0% 0.0% 1.5% -1.5% 32.1K -86.9K -271 0.00 141.30 N/A N/A 0 0 37 48 2023-12-06 $50.61 $0.00 17.6% 4.2% 12.1% 20.5% 0.0% 1.0% -1.6% 21.3K -77.0K -251 0.00 139.70 N/A N/A 0 0 37 48 2023-12-07 $50.98 $0.00 10.3% 4.3% 12.1% 6.1% 0.0% 1.4% -1.3% 38.0K -106.3K -237 0.00 141.50 N/A N/A 0 0 37 48 2023-12-08 $51.34 $0.00 9.5% 4.2% 11.2% 4.6% 0.0% 1.6% -1.2% 27.9K -124.9K -188 0.00 139.65 N/A N/A 0 0 37 48 2023-12-11 $51.41 $0.00 11.8% 4.4% 10.4% 9.1% 0.0% 1.4% -1.6% 29.6K -132.4K -166 0.00 141.26 N/A N/A 0 0 37 48 2023-12-12 $51.56 $0.00 45.5% 4.5% 10.3% 74.8% 0.0% 1.3% -1.8% 26.8K -138.4K -153 0.00 140.94 N/A N/A 0 0 37 48 2023-12-13 $52.20 $0.00 14.0% 4.0% 7.9% 13.3% 0.0% 2.0% -1.4% 15.0K -143.5K -117 0.00 135.78 N/A N/A 0 0 37 48 2023-12-14 $52.74 $0.00 14.4% 4.1% 8.3% 14.1% 0.0% 1.1% -1.6% 13.0K -160.3K -92 0.00 138.60 N/A N/A 0 0 37 48 2023-12-15 $52.41 $0.00 16.1% 4.6% 8.6% 18.7% 0.0% 0.5% -2.3% -281 -7.3K -98 0.00 139.90 N/A N/A 0 0 4 48 2023-12-18 $52.69 $0.00 15.4% 4.4% 8.6% 17.1% 0.0% 0.6% -2.4% 20 -8.7K -89 0.00 140.59 N/A N/A 0 0 4 31 2023-12-19 $53.06 $0.00 14.9% 4.3% 8.5% 16.2% 0.0% 1.1% -1.6% 511 -11.4K -68 0.00 139.20 N/A N/A 0 0 4 31 2023-12-20 $52.47 $0.00 17.2% 4.9% 9.4% 20.9% 0.0% 0.0% -2.9% -197 -7.7K -95 0.00 134.97 N/A N/A 0 0 4 31 2023-12-21 $52.72 $0.00 15.9% 4.6% 9.4% 18.3% 0.0% 0.5% -2.0% 88 -8.2K -83 0.00 139.02 N/A N/A 0 0 4 31 2023-12-22 $52.93 $0.00 16.2% 4.6% 9.4% 18.8% 0.0% 0.8% -2.7% 322 -10.2K -77 0.00 138.72 N/A N/A 0 0 4 31 2023-12-26 $53.20 $0.00 17.4% 5.0% 9.4% 21.3% 0.0% 1.1% -3.3% 302 -10.8K -73 0.00 139.50 N/A N/A 0 0 4 31 2023-12-27 $53.09 $0.00 17.8% 5.1% 9.5% 22.2% 0.0% 0.5% -3.4% 130 -9.8K -82 0.00 140.49 N/A N/A 0 0 4 31 2023-12-28 $53.24 $0.00 17.9% 5.1% 9.4% 22.4% 0.0% 0.4% -2.5% 312 -10.8K -73 0.00 141.17 N/A N/A 0 0 4 31 2023-12-29 $53.02 $0.00 17.9% 5.1% 9.7% 22.5% 0.0% 0.7% -3.3% 339 -10.5K -72 0.00 141.31 N/A N/A 0 0 4 31
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