FVAL Options History — February 2024 In February 2024, FVAL traded between $53.49 and $55.00. ATM implied volatility averaged 18.1%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 6.1% (HV 20d: 12.0%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2024-02-14 : Highest Volume — 4 contracts2024-02-07 : Largest IV drop — 37.8% change2024-02-06 : Highest IV Rank — 34.8%2024-02-28 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $54.29 $53.49 $55.00 $53.49 $55.00 ATM IV 18.1% 14.8% 23.8% 19.8% 19.4% Expected Move 4.8% 4.0% 5.6% 4.1% 5.6% HV 20d 12.0% 10.2% 13.8% 10.2% 12.2% HV 60d 10.4% 9.2% 10.8% 10.5% 10.6% IV Rank 22.8% 16.0% 34.8% 26.4% 25.5% IV Percentile 42.2% 13.9% 82.9% 58.7% 58.3% Term Structure -2.3% -10.2% 10.7% -1.1% -5.1% Skew 25d 1.7% 1.0% 8.9% 1.6% 8.9% Skew 10d 1.6% 1.2% 2.0% 1.9% 1.7% Call IV 25d 18.8% 15.8% 23.8% 16.1% 16.1% Put IV 25d 20.6% 17.4% 25.0% 17.7% 25.0% Bid-Ask Spread % 136.04 133.42 137.95 134.41 135.35 Gamma HHI 0.91 0.75 0.98 0.76 0.97 Net GEX 1.0K 916 1.1K 950 1.0K Net DEX -14.6K -16.4K -12.6K -12.6K -16.4K Net VEX -40 -48 -32 -48 -32 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 0.2 0 4 0 0 Total OI 26.6 14 35 35 14
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 2024-02-01 $53.49 $0.00 19.8% 4.1% 10.2% 26.4% 0.0% 1.6% -1.1% 950 -12.6K -48 0.00 134.41 N/A N/A 0 0 4 31 2024-02-02 $54.02 $0.00 19.2% 4.0% 10.5% 25.2% 0.0% 1.6% -1.5% 1.0K -14.1K -44 0.00 133.42 N/A N/A 0 0 4 31 2024-02-05 $53.61 $0.00 22.1% 4.3% 11.0% 31.1% 0.0% 1.4% -2.5% 1.0K -13.0K -45 0.00 135.77 N/A N/A 0 0 4 31 2024-02-06 $53.66 $0.00 23.8% 4.4% 10.3% 34.8% 0.0% 1.1% -2.7% 916 -12.9K -47 0.00 137.71 N/A N/A 0 0 4 31 2024-02-07 $54.16 $0.00 14.8% 4.2% 10.6% 16.0% 0.0% 1.7% -2.2% 1.0K -14.4K -41 0.00 135.68 N/A N/A 0 0 4 31 2024-02-08 $54.26 $0.00 15.2% 4.4% 10.6% 16.7% 0.0% 1.3% -2.4% 1.0K -14.6K -41 0.00 136.76 N/A N/A 0 0 4 31 2024-02-09 $54.38 $0.00 16.1% 4.6% 10.5% 18.7% 0.0% 1.5% -3.9% 1.0K -15.0K -40 0.00 136.41 N/A N/A 0 0 4 31 2024-02-12 $54.55 $0.00 15.2% 4.4% 10.5% 16.8% 0.0% 1.4% -3.0% 1.1K -15.5K -37 0.00 136.10 N/A N/A 0 0 4 31 2024-02-13 $53.49 $0.00 17.0% 4.9% 12.6% 20.5% 0.0% 1.0% -10.2% 1.1K -12.8K -43 0.00 134.21 N/A N/A 0 0 4 31 2024-02-14 $53.96 $0.00 16.0% 4.6% 12.6% 18.4% 0.0% 1.8% -3.1% 1.1K -13.8K -42 0.00 136.00 N/A N/A 4 0 4 31 2024-02-15 $54.47 $0.00 16.0% 4.6% 12.9% 18.5% 0.0% 1.3% 10.7% 1.1K -15.2K -39 0.00 135.39 N/A N/A 0 0 4 31 2024-02-16 $54.26 $0.00 17.2% 4.9% 12.5% 21.0% 0.0% 1.0% 9.1% 994 -14.5K -40 0.00 135.84 N/A N/A 0 0 4 31 2024-02-20 $54.03 $0.00 17.8% 5.1% 12.5% 22.3% 0.0% 1.3% -3.2% 1.0K -13.9K -41 0.00 137.39 N/A N/A 0 0 4 10 2024-02-21 $54.09 $0.00 18.2% 5.2% 12.5% 23.0% 0.0% 1.6% -3.5% 1.1K -14.0K -40 0.00 136.93 N/A N/A 0 0 4 10 2024-02-22 $54.95 $0.00 17.4% 5.0% 13.6% 21.3% 0.0% 1.4% -3.1% 1.0K -16.3K -34 0.00 134.70 N/A N/A 0 0 4 10 2024-02-23 $55.00 $0.00 18.5% 5.3% 13.6% 23.7% 0.0% 1.3% -4.0% 997 -16.3K -33 0.00 137.95 N/A N/A 0 0 4 10 2024-02-26 $54.79 $0.00 19.0% 5.4% 13.8% 24.7% 0.0% 1.1% -4.9% 1.0K -15.8K -35 0.00 136.34 N/A N/A 0 0 4 10 2024-02-27 $54.90 $0.00 19.3% 5.5% 13.7% 25.3% 0.0% 1.3% -4.7% 1.0K -16.1K -33 0.00 137.22 N/A N/A 0 0 4 10 2024-02-28 $54.75 $0.00 19.6% 5.6% 13.7% 26.0% 0.0% 1.1% -5.4% 1.0K -15.7K -35 0.00 137.25 N/A N/A 0 0 4 10 2024-02-29 $55.00 $0.00 19.4% 5.6% 12.2% 25.5% 0.0% 8.9% -5.1% 1.0K -16.4K -32 0.00 135.35 N/A N/A 0 0 4 10
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