FVAL Options History — April 2024

In April 2024, FVAL traded between $54.58 and $56.84. ATM implied volatility averaged 18.3%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 7.5% (HV 20d: 10.8%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days.

Notable Days

  • 2024-04-10: Largest IV drop — 32.7% change
  • 2024-04-09: Highest IV Rank — 41.0%
  • 2024-04-02: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.64$54.58$56.84$56.84$54.89
Max Pain$44.00$44.00$44.00$44.00$44.00
ATM IV18.3%14.9%22.9%17.8%19.8%
Expected Move4.9%4.0%5.7%5.1%5.7%
HV 20d10.8%8.8%12.4%9.5%12.4%
HV 60d11.1%10.5%11.8%10.5%11.4%
IV Rank29.0%20.3%41.0%27.8%32.9%
IV Percentile50.0%15.9%84.1%44.4%71.0%
Term Structure-2.7%-5.7%10.6%-4.0%-5.4%
Skew 25d1.0%0.2%2.1%0.6%0.2%
Skew 10d1.8%1.0%3.8%1.1%1.1%
Call IV 25d19.1%15.3%23.4%21.5%23.4%
Put IV 25d20.2%15.8%23.8%22.1%23.6%
Bid-Ask Spread %135.48128.36139.19136.36136.44
Gamma HHI1.000.991.001.001.00
Net GEX9806031.3K6031.3K
Net DEX-18.6K-20.9K-16.0K-20.9K-17.1K
Net VEX-16-21-12-12-15
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI1414141414

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-04-01$56.84$0.0017.8%5.1%9.5%27.8%0.0%0.6%-4.0%603-20.9K-120.00136.36N/AN/A00410
2024-04-02$56.39$0.0020.0%5.7%10.0%33.5%0.0%0.8%-5.1%741-20.1K-150.00136.65N/AN/A00410
2024-04-03$56.53$0.0019.2%5.5%8.8%31.3%0.0%1.1%-5.4%698-20.4K-140.00136.44N/AN/A00410
2024-04-04$55.97$44.0019.3%4.0%9.4%31.7%0.0%0.2%-0.1%858-19.4K-170.00128.36N/AN/A00410
2024-04-05$56.45$44.0020.0%4.1%9.5%33.6%0.0%1.5%-2.4%711-20.4K-130.00131.90N/AN/A00410
2024-04-08$56.53$44.0022.8%4.2%9.5%40.8%0.0%1.2%-2.1%716-20.3K-130.00137.08N/AN/A00410
2024-04-09$56.53$44.0022.9%4.2%9.5%41.0%0.0%0.9%-2.3%694-20.5K-130.00133.67N/AN/A00410
2024-04-10$56.05$44.0015.4%4.4%9.7%21.5%0.0%1.4%-3.2%849-19.5K-160.00135.21N/AN/A00410
2024-04-11$56.38$44.0014.9%4.3%10.0%20.3%0.0%1.8%-1.9%736-20.3K-130.00133.09N/AN/A00410
2024-04-12$55.44$44.0016.3%4.7%11.6%23.9%0.0%1.1%-2.0%1.0K-18.3K-170.00133.60N/AN/A00410
2024-04-15$54.88$44.0016.3%4.7%11.9%23.9%0.0%0.5%-5.7%1.2K-16.9K-200.00131.82N/AN/A00410
2024-04-16$54.76$44.0017.6%5.0%11.6%27.2%0.0%1.2%-3.3%1.2K-16.4K-210.00136.67N/AN/A00410
2024-04-17$54.63$44.0016.9%4.8%11.5%25.4%0.0%0.7%-3.2%1.3K-16.2K-200.00135.19N/AN/A00410
2024-04-18$54.67$44.0017.6%5.0%10.7%27.2%0.0%0.8%10.6%1.2K-16.1K-200.00137.49N/AN/A00410
2024-04-19$54.58$44.0017.3%5.0%10.5%26.4%0.0%1.1%-2.9%1.3K-16.0K-200.00138.31N/AN/A00410
2024-04-22$55.15$44.0017.1%4.9%11.4%25.9%0.0%1.2%-2.6%1.2K-17.7K-160.00134.91N/AN/A00410
2024-04-23$55.66$44.0017.2%4.9%11.9%26.3%0.0%2.1%-2.6%999-19.0K-130.00136.47N/AN/A00410
2024-04-24$55.68$44.0017.4%5.0%11.9%26.7%0.0%0.8%-2.8%996-19.0K-130.00137.60N/AN/A00410
2024-04-25$55.09$44.0017.5%5.0%11.7%27.1%0.0%1.5%-2.9%1.2K-17.7K-150.00135.94N/AN/A00410
2024-04-26$55.50$44.0019.4%5.6%12.0%32.1%0.0%1.0%-4.4%1.1K-18.5K-140.00139.19N/AN/A00410
2024-04-29$55.55$44.0019.1%5.5%12.0%31.3%0.0%0.6%-5.1%1.1K-18.7K-120.00138.20N/AN/A00410
2024-04-30$54.89$44.0019.8%5.7%12.4%32.9%0.0%0.2%-5.4%1.3K-17.1K-150.00136.44N/AN/A00410