FVAL Options History — January 2024 In January 2024, FVAL traded between $52.12 and $54.08. ATM implied volatility averaged 17.9%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 8.7% (HV 20d: 9.2%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2024-01-08 : Highest Volume — 1 contracts2024-01-10 : Largest IV drop — 42.6% change2024-01-09 : Highest IV Rank — 33.5%2024-01-03 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $52.98 $52.12 $54.08 $52.73 $53.19 Max Pain $46.00 $46.00 $46.00 $46.00 $46.00 ATM IV 17.9% 13.3% 23.2% 19.2% 19.6% Expected Move 4.8% 3.8% 5.7% 5.5% 5.6% HV 20d 9.2% 8.3% 10.1% 9.6% 10.1% HV 60d 11.9% 10.5% 12.7% 12.7% 10.7% IV Rank 22.5% 12.9% 33.5% 25.1% 26.0% IV Percentile 38.3% 10.7% 76.6% 46.0% 56.3% Term Structure -3.6% -5.5% -2.3% -4.8% -4.9% Skew 25d -0.0% -5.3% 2.1% 0.5% 0.4% Skew 10d 1.4% 0.9% 3.8% 1.2% 1.1% Call IV 25d 20.8% 15.4% 44.8% 23.6% 23.7% Put IV 25d 20.8% 13.4% 41.2% 24.2% 24.0% Bid-Ask Spread % 137.77 134.26 139.72 138.99 134.26 Gamma HHI 0.59 0.41 0.77 0.45 0.69 Net GEX 687 -746 1.4K 293 929 Net DEX -11.3K -13.9K -2.3K -9.5K -11.8K Net VEX -65 -114 -47 -73 -50 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 0.095 0 1 0 0 Total OI 35.381 35 36 35 35
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 2024-01-02 $52.73 $0.00 19.2% 5.5% 9.6% 25.1% 0.0% 0.5% -4.8% 293 -9.5K -73 0.00 138.99 N/A N/A 0 0 4 31 2024-01-03 $52.52 $0.00 19.8% 5.7% 9.7% 26.3% 0.0% 0.2% -5.5% 160 -9.0K -76 0.00 139.33 N/A N/A 0 0 4 31 2024-01-04 $52.35 $46.00 22.4% 5.1% 9.8% 31.7% 0.0% 1.1% -3.5% -57 -7.5K -84 0.00 137.55 N/A N/A 0 0 4 31 2024-01-05 $52.30 $46.00 22.0% 4.5% 9.7% 30.9% 0.0% -3.6% -3.8% -746 -2.3K -114 0.00 138.10 N/A N/A 0 0 4 31 2024-01-08 $52.89 $46.00 21.8% 4.1% 10.1% 30.5% 0.0% 1.6% -2.6% 425 -10.2K -68 0.00 135.78 N/A N/A 1 0 4 31 2024-01-09 $52.69 $46.00 23.2% 4.2% 10.1% 33.5% 0.0% 1.2% -2.3% 745 -11.9K -74 0.00 137.34 N/A N/A 0 0 5 31 2024-01-10 $52.87 $46.00 13.3% 3.8% 10.1% 12.9% 0.0% 0.1% -2.5% 965 -13.0K -70 0.00 137.72 N/A N/A 0 0 5 31 2024-01-11 $52.81 $46.00 14.8% 4.3% 10.1% 16.0% 0.0% 0.7% -2.5% 1.2K -13.4K -62 0.00 137.99 N/A N/A 1 0 5 31 2024-01-12 $52.81 $46.00 14.9% 4.3% 9.3% 16.1% 0.0% 0.6% -3.0% 928 -12.6K -68 0.00 137.25 N/A N/A 0 0 5 31 2024-01-16 $52.44 $46.00 15.4% 4.4% 8.9% 17.3% 0.0% 0.5% -5.0% 812 -11.1K -70 0.00 136.84 N/A N/A 0 0 5 31 2024-01-17 $52.12 $46.00 14.8% 4.2% 8.9% 16.0% 0.0% 2.1% -3.4% 729 -9.5K -74 0.00 139.72 N/A N/A 0 0 5 31 2024-01-18 $52.42 $46.00 16.4% 4.7% 8.9% 19.4% 0.0% -5.3% -2.7% 910 -11.1K -66 0.00 136.81 N/A N/A 0 0 5 31 2024-01-19 $53.03 $46.00 16.0% 4.6% 9.5% 18.3% 0.0% -0.1% -2.5% 1.4K -13.9K -57 0.00 135.84 N/A N/A 0 0 5 31 2024-01-22 $53.28 $46.00 14.9% 4.3% 8.7% 16.3% 0.0% 0.8% -2.3% 712 -11.7K -56 0.00 137.82 N/A N/A 0 0 4 31 2024-01-23 $53.39 $46.00 15.4% 4.4% 8.6% 17.3% 0.0% -4.7% -4.1% 776 -12.1K -54 0.00 138.72 N/A N/A 0 0 4 31 2024-01-24 $53.45 $46.00 19.6% 5.6% 8.5% 26.0% 0.0% 0.4% -3.8% 867 -12.5K -51 0.00 137.89 N/A N/A 0 0 4 31 2024-01-25 $53.59 $46.00 17.3% 4.9% 8.3% 21.1% 0.0% 0.7% -3.8% 837 -12.7K -51 0.00 139.27 N/A N/A 0 0 4 31 2024-01-26 $53.70 $46.00 17.6% 5.1% 8.3% 21.9% 0.0% 0.3% -3.9% 834 -13.0K -50 0.00 139.16 N/A N/A 0 0 4 31 2024-01-29 $53.98 $46.00 18.8% 5.4% 8.4% 24.3% 0.0% 0.8% -4.9% 914 -13.8K -47 0.00 138.29 N/A N/A 0 0 4 31 2024-01-30 $54.08 $46.00 19.3% 5.5% 8.3% 25.3% 0.0% 0.9% -4.6% 854 -13.9K -47 0.00 138.56 N/A N/A 0 0 4 31 2024-01-31 $53.19 $46.00 19.6% 5.6% 10.1% 26.0% 0.0% 0.4% -4.9% 929 -11.8K -50 0.00 134.26 N/A N/A 0 0 4 31
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