FVAL Options History — June 2024 In June 2024, FVAL traded between $56.22 and $57.60. ATM implied volatility averaged 17.4%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 9.8% (HV 20d: 7.6%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days.
Notable Days 2024-06-12 : Largest IV drop — 34.9% change2024-06-11 : Highest IV Rank — 40.2%2024-06-05 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $57.08 $56.22 $57.60 $56.22 $57.59 ATM IV 17.4% 14.4% 22.5% 18.1% 15.8% Expected Move 4.6% 4.0% 5.7% 5.2% 4.5% HV 20d 7.6% 5.9% 8.3% 7.9% 5.9% HV 60d 9.7% 9.4% 10.0% 10.0% 9.4% IV Rank 26.8% 18.8% 40.2% 28.6% 22.4% IV Percentile 42.9% 11.1% 85.7% 53.6% 26.2% Term Structure -2.9% -5.8% -1.2% -5.1% -3.4% Skew 25d 0.8% 0.1% 1.6% 0.3% 0.3% Skew 10d 1.1% 0.3% 1.5% 0.3% 1.0% Call IV 25d 18.3% 15.6% 23.1% 22.1% 19.6% Put IV 25d 19.1% 16.6% 23.9% 22.4% 19.8% Bid-Ask Spread % 159.43 155.74 161.97 155.97 157.54 Gamma HHI 0.52 0.51 0.53 0.51 0.53 Net GEX 621 595 647 604 639 Net DEX -7.1K -8.0K -6.0K -6.0K -8.0K Net VEX -22 -24 -19 -24 -19 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 2 2 2 2 2
Daily Data (19 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 2024-06-03 $56.22 $0.00 18.1% 5.2% 7.9% 28.6% 0.0% 0.3% -5.1% 604 -6.0K -24 0.00 155.97 N/A N/A 0 0 2 0 2024-06-04 $56.24 $0.00 19.4% 5.6% 7.7% 32.0% 0.0% 0.8% -5.6% 601 -6.0K -24 0.00 159.43 N/A N/A 0 0 2 0 2024-06-05 $56.60 $0.00 19.9% 5.7% 7.9% 33.4% 0.0% 0.8% -5.8% 616 -6.4K -24 0.00 158.10 N/A N/A 0 0 2 0 2024-06-06 $56.72 $0.00 19.8% 4.0% 7.9% 32.9% 0.0% 1.0% -1.7% 609 -6.6K -24 0.00 161.35 N/A N/A 0 0 2 0 2024-06-07 $56.70 $0.00 20.2% 4.0% 7.7% 34.0% 0.0% 1.0% -1.2% 612 -6.6K -24 0.00 161.97 N/A N/A 0 0 2 0 2024-06-10 $56.81 $0.00 21.5% 4.1% 7.7% 37.4% 0.0% 1.5% -1.8% 633 -6.7K -23 0.00 159.72 N/A N/A 0 0 2 0 2024-06-11 $56.95 $0.00 22.5% 4.1% 7.7% 40.2% 0.0% 1.6% -1.9% 622 -6.8K -23 0.00 158.26 N/A N/A 0 0 2 0 2024-06-12 $57.21 $0.00 14.7% 4.2% 7.8% 19.6% 0.0% 0.1% -2.3% 595 -7.1K -23 0.00 159.46 N/A N/A 0 0 2 0 2024-06-13 $57.16 $0.00 14.4% 4.1% 7.3% 18.8% 0.0% 0.9% -2.0% 625 -7.1K -23 0.00 160.16 N/A N/A 0 0 2 0 2024-06-14 $56.84 $0.00 14.8% 4.2% 7.5% 19.9% 0.0% 0.8% -1.9% 629 -6.7K -23 0.00 161.46 N/A N/A 0 0 2 0 2024-06-17 $57.34 $0.00 14.8% 4.2% 8.2% 20.0% 0.0% 1.3% -1.7% 647 -7.3K -21 0.00 155.74 N/A N/A 0 0 2 0 2024-06-18 $57.30 $0.00 15.8% 4.5% 8.2% 22.6% 0.0% 0.5% -2.6% 603 -7.2K -22 0.00 160.78 N/A N/A 0 0 2 0 2024-06-20 $57.51 $0.00 16.5% 4.7% 8.3% 24.5% 0.0% 1.0% -2.6% 611 -7.4K -21 0.00 160.69 N/A N/A 0 0 2 0 2024-06-21 $57.27 $0.00 15.9% 4.6% 8.3% 22.9% 0.0% 0.8% -2.2% 619 -7.4K -21 0.00 160.07 N/A N/A 0 0 2 0 2024-06-24 $57.60 $0.00 15.7% 4.5% 7.4% 22.3% 0.0% 1.0% -2.7% 627 -7.9K -20 0.00 157.84 N/A N/A 0 0 2 0 2024-06-25 $57.40 $0.00 17.2% 4.9% 7.4% 26.1% 0.0% 0.6% -3.4% 626 -7.6K -20 0.00 159.66 N/A N/A 0 0 2 0 2024-06-26 $57.46 $0.00 17.5% 5.0% 7.0% 27.0% 0.0% 0.8% -3.7% 633 -7.7K -20 0.00 159.88 N/A N/A 0 0 2 0 2024-06-27 $57.53 $0.00 16.7% 4.8% 6.5% 25.0% 0.0% 0.6% -3.2% 639 -7.8K -20 0.00 161.08 N/A N/A 0 0 2 0 2024-06-28 $57.59 $0.00 15.8% 4.5% 5.9% 22.4% 0.0% 0.3% -3.4% 639 -8.0K -19 0.00 157.54 N/A N/A 0 0 2 0
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