FVAL Options History — March 2024 In March 2024, FVAL traded between $54.54 and $57.04. ATM implied volatility averaged 20.7%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 10.1% (HV 20d: 10.6%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days.
Notable Days 2024-03-13 : Largest IV drop — 64.3% change2024-03-12 : Highest IV Rank — 68.6%2024-03-01 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $55.84 $54.54 $57.04 $55.28 $57.04 ATM IV 20.7% 14.3% 40.1% 20.2% 16.5% Expected Move 4.4% 3.9% 5.8% 5.8% 4.7% HV 20d 10.6% 8.8% 12.6% 12.1% 9.4% HV 60d 10.6% 10.3% 10.9% 10.5% 10.5% IV Rank 30.6% 14.9% 68.6% 27.3% 24.4% IV Percentile 48.7% 12.7% 98.0% 66.7% 30.6% Term Structure -2.4% -5.3% -1.6% -5.3% -2.8% Skew 25d 1.2% 0.1% 7.0% 7.0% 0.9% Skew 10d 1.3% 0.7% 1.8% 1.4% 1.0% Call IV 25d 17.3% 15.4% 19.4% 19.1% 19.4% Put IV 25d 18.6% 16.5% 26.1% 26.1% 20.3% Bid-Ask Spread % 136.10 131.52 137.70 136.26 136.74 Gamma HHI 0.99 0.97 1.00 0.97 1.00 Net GEX 859 555 1.1K 984 555 Net DEX -18.5K -21.2K -15.3K -17.0K -21.2K Net VEX -23 -33 -11 -30 -11 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 14 14 14 14 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 2024-03-01 $55.28 $0.00 20.2% 5.8% 12.1% 27.3% 0.0% 7.0% -5.3% 984 -17.0K -30 0.00 136.26 N/A N/A 0 0 4 10 2024-03-04 $55.19 $0.00 22.9% 4.1% 11.8% 32.8% 0.0% 1.3% -1.6% 998 -16.7K -30 0.00 137.51 N/A N/A 0 0 4 10 2024-03-05 $54.54 $0.00 22.7% 3.9% 12.3% 32.5% 0.0% 0.5% -1.9% 1.1K -15.3K -33 0.00 134.60 N/A N/A 0 0 4 10 2024-03-06 $54.99 $0.00 24.0% 4.1% 12.6% 35.1% 0.0% 0.9% -1.6% 1.0K -16.3K -31 0.00 136.17 N/A N/A 0 0 4 10 2024-03-07 $55.39 $0.00 28.3% 4.2% 12.4% 44.1% 0.0% 1.3% -1.8% 971 -17.2K -29 0.00 136.83 N/A N/A 0 0 4 10 2024-03-08 $55.38 $0.00 29.4% 4.4% 12.4% 46.5% 0.0% 1.2% -1.6% 977 -17.2K -29 0.00 136.38 N/A N/A 0 0 4 10 2024-03-11 $55.52 $0.00 38.9% 4.3% 12.4% 66.3% 0.0% 1.8% -2.1% 962 -17.5K -26 0.00 135.55 N/A N/A 0 0 4 10 2024-03-12 $55.91 $0.00 40.1% 4.0% 12.6% 68.6% 0.0% 1.6% -1.8% 884 -18.4K -24 0.00 135.02 N/A N/A 0 0 4 10 2024-03-13 $55.95 $0.00 14.3% 4.1% 9.9% 14.9% 0.0% 1.4% -1.8% 874 -18.4K -24 0.00 136.12 N/A N/A 0 0 4 10 2024-03-14 $55.75 $0.00 14.3% 4.1% 9.8% 15.3% 0.0% 0.8% -1.6% 918 -18.0K -24 0.00 136.00 N/A N/A 0 0 4 10 2024-03-15 $55.34 $0.00 16.2% 4.6% 9.8% 23.5% 0.0% 0.8% -2.4% 1.0K -17.0K -28 0.00 137.32 N/A N/A 0 0 4 10 2024-03-18 $55.70 $0.00 15.0% 4.3% 9.9% 20.5% 0.0% 0.6% -2.1% 942 -17.9K -25 0.00 136.24 N/A N/A 0 0 4 10 2024-03-19 $55.91 $0.00 15.1% 4.3% 9.7% 20.8% 0.0% 1.0% -2.4% 840 -19.3K -19 0.00 135.60 N/A N/A 0 0 4 10 2024-03-20 $56.49 $0.00 14.5% 4.2% 10.2% 19.3% 0.0% 1.0% -1.8% 656 -20.7K -15 0.00 131.52 N/A N/A 0 0 4 10 2024-03-21 $56.67 $0.00 15.2% 4.4% 8.8% 21.0% 0.0% 0.3% -2.5% 642 -20.6K -15 0.00 136.59 N/A N/A 0 0 4 10 2024-03-22 $56.48 $0.00 16.7% 4.8% 9.0% 25.0% 0.0% 0.1% -3.3% 693 -20.3K -15 0.00 136.72 N/A N/A 0 0 4 10 2024-03-25 $56.29 $0.00 17.2% 4.9% 8.9% 26.1% 0.0% 0.7% -2.9% 753 -19.9K -17 0.00 137.70 N/A N/A 0 0 4 10 2024-03-26 $56.22 $0.00 17.3% 5.0% 9.0% 26.5% 0.0% 0.4% -3.8% 772 -19.8K -16 0.00 137.24 N/A N/A 0 0 4 10 2024-03-27 $56.80 $0.00 15.7% 4.5% 9.4% 22.4% 0.0% 1.0% -3.1% 604 -20.9K -13 0.00 135.85 N/A N/A 0 0 4 10 2024-03-28 $57.04 $0.00 16.5% 4.7% 9.4% 24.4% 0.0% 0.9% -2.8% 555 -21.2K -11 0.00 136.74 N/A N/A 0 0 4 10
« Feb 2024 | All History | Apr 2024 » Home FVAL History March 2024