FVAL Options History — August 2024 In August 2024, FVAL traded between $55.16 and $59.42. ATM implied volatility averaged 22.7%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.3% (HV 20d: 18.5%). Max pain ranged from $57.00 to $57.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days.
Notable Days 2024-08-05 : Largest IV spike — 69.0% change2024-08-06 : Highest IV Rank — 92.5%2024-08-06 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $57.90 $55.16 $59.42 $58.00 $59.42 Max Pain $57.00 $57.00 $57.00 $57.00 $57.00 ATM IV 22.7% 15.1% 42.6% 19.1% 17.4% Expected Move 5.1% 4.3% 7.3% 5.5% 5.0% HV 20d 18.5% 12.2% 19.9% 12.2% 16.4% HV 60d 12.4% 8.9% 13.1% 8.9% 12.9% IV Rank 40.7% 20.8% 92.5% 31.3% 26.8% IV Percentile 58.2% 19.8% 99.2% 62.7% 52.0% Term Structure -2.9% -6.4% 9.1% -2.9% -4.0% Skew 25d 0.9% -1.9% 3.8% -0.9% 1.0% Skew 10d 1.2% -8.4% 8.1% 0.9% 1.0% Call IV 25d 19.4% 14.2% 27.9% 24.2% 20.2% Put IV 25d 20.3% 18.0% 26.0% 23.2% 21.2% Bid-Ask Spread % 147.50 129.25 159.90 131.68 148.28 Gamma HHI 0.44 0.36 0.51 0.38 0.51 Net GEX 697 466 1.1K 867 472 Net DEX -7.8K -11.0K -6.1K -10.3K -7.3K Net VEX -25 -31 -22 -29 -22 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 2.545 2 3 3 2
Daily Data (22 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 2024-08-01 $58.00 $57.00 19.1% 5.5% 12.2% 31.3% 0.0% -0.9% -2.9% 867 -10.3K -29 0.00 131.68 N/A N/A 0 0 3 0 2024-08-02 $56.83 $57.00 21.9% 6.3% 14.1% 38.4% 0.0% 0.8% -6.4% 876 -8.2K -31 0.00 129.25 N/A N/A 0 0 3 0 2024-08-05 $55.16 $0.00 37.0% 6.7% 17.4% 77.8% 0.0% -1.3% -3.6% 627 -6.1K -28 0.00 154.58 N/A N/A 0 0 3 0 2024-08-06 $55.98 $0.00 42.6% 7.3% 18.4% 92.5% 0.0% -1.9% -5.6% 611 -6.8K -27 0.00 159.90 N/A N/A 0 0 3 0 2024-08-07 $55.67 $0.00 25.3% 4.6% 18.2% 47.3% 0.0% 0.7% -0.2% 841 -6.2K -27 0.00 137.66 N/A N/A 0 0 3 0 2024-08-08 $56.49 $0.00 36.7% 6.1% 19.2% 77.1% 0.0% 2.3% -3.6% 756 -7.4K -28 0.00 157.42 N/A N/A 0 0 3 0 2024-08-09 $56.80 $0.00 27.8% 4.6% 19.1% 53.8% 0.0% 1.5% -0.1% 940 -7.7K -28 0.00 144.84 N/A N/A 0 0 3 0 2024-08-12 $56.48 $0.00 39.1% 5.2% 19.1% 83.3% 0.0% 1.2% -5.0% 968 -7.3K -26 0.00 147.58 N/A N/A 0 0 3 0 2024-08-13 $57.23 $0.00 38.5% 4.5% 19.2% 81.9% 0.0% 1.7% -2.6% 1.0K -8.5K -27 0.00 146.32 N/A N/A 0 0 3 0 2024-08-14 $57.39 $0.00 16.0% 4.6% 19.2% 23.1% 0.0% 1.1% -3.5% 1.1K -8.9K -25 0.00 148.95 N/A N/A 0 0 3 0 2024-08-15 $58.30 $0.00 15.3% 4.4% 19.9% 21.2% 0.0% 3.8% 9.1% 997 -10.6K -25 0.00 149.69 N/A N/A 0 0 3 0 2024-08-16 $58.43 $0.00 15.6% 4.5% 19.8% 22.1% 0.0% 1.5% -1.0% 1.0K -11.0K -24 0.00 150.13 N/A N/A 0 0 3 0 2024-08-19 $58.89 $0.00 15.1% 4.3% 19.9% 20.8% 0.0% 1.6% -2.8% 476 -6.9K -23 0.00 149.59 N/A N/A 0 0 2 0 2024-08-20 $58.78 $0.00 15.7% 4.5% 19.9% 22.4% 0.0% 0.7% -3.0% 490 -6.9K -23 0.00 151.00 N/A N/A 0 0 2 0 2024-08-21 $58.91 $0.00 15.8% 4.5% 19.1% 22.6% 0.0% 0.9% -3.4% 475 -7.0K -23 0.00 149.69 N/A N/A 0 0 2 0 2024-08-22 $58.59 $0.00 15.5% 4.4% 19.2% 21.8% 0.0% 0.1% -3.4% 475 -7.1K -22 0.00 146.01 N/A N/A 0 0 2 0 2024-08-23 $59.32 $0.00 17.2% 4.9% 19.4% 26.3% 0.0% 1.4% -5.8% 473 -7.3K -22 0.00 147.12 N/A N/A 0 0 2 0 2024-08-26 $59.36 $0.00 17.0% 4.9% 19.4% 25.7% 0.0% 0.6% -3.4% 466 -7.4K -23 0.00 148.95 N/A N/A 0 0 2 0 2024-08-27 $59.37 $0.00 17.5% 5.0% 19.4% 27.1% 0.0% 1.4% -4.1% 479 -7.3K -22 0.00 150.48 N/A N/A 0 0 2 0 2024-08-28 $59.13 $0.00 16.9% 4.9% 19.4% 25.5% 0.0% 0.7% -4.0% 480 -7.1K -22 0.00 147.11 N/A N/A 0 0 2 0 2024-08-29 $59.16 $0.00 17.1% 4.9% 18.3% 25.9% 0.0% 0.8% -3.8% 488 -7.2K -22 0.00 148.75 N/A N/A 0 0 2 0 2024-08-30 $59.42 $0.00 17.4% 5.0% 16.4% 26.8% 0.0% 1.0% -4.0% 472 -7.3K -22 0.00 148.28 N/A N/A 0 0 2 0
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