FVAL Options History — September 2024 In September 2024, FVAL traded between $57.23 and $60.50. ATM implied volatility averaged 18.7%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 6.3% (HV 20d: 12.3%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days.
Notable Days 2024-09-11 : Largest IV drop — 41.1% change2024-09-10 : Highest IV Rank — 46.7%2024-09-26 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $59.09 $57.23 $60.50 $58.37 $60.50 ATM IV 18.7% 14.8% 25.1% 20.7% 18.3% Expected Move 4.9% 4.2% 6.5% 5.9% 5.3% HV 20d 12.3% 11.5% 13.7% 13.7% 11.9% HV 60d 13.9% 13.5% 14.2% 13.5% 14.2% IV Rank 30.0% 19.9% 46.7% 35.3% 29.1% IV Percentile 55.4% 13.9% 92.5% 79.8% 62.7% Term Structure -2.5% -12.1% 1.9% -7.8% -2.5% Skew 25d 2.8% -0.5% 9.7% -0.5% 3.3% Skew 10d 9.5% 0.4% 15.8% 0.4% 7.7% Call IV 25d 17.2% 10.1% 23.6% 23.3% 19.0% Put IV 25d 20.0% 17.8% 27.3% 22.7% 22.3% Bid-Ask Spread % 153.86 143.73 166.34 143.73 152.23 Gamma HHI 0.52 0.50 0.56 0.50 0.55 Net GEX 479 430 578 503 434 Net DEX -7.0K -8.4K -5.2K -6.5K -8.3K Net VEX -20 -23 -18 -23 -18 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 (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 2024-09-03 $58.37 $0.00 20.7% 5.9% 13.7% 35.3% 0.0% -0.5% -7.8% 503 -6.5K -23 0.00 143.73 N/A N/A 0 0 2 0 2024-09-04 $58.27 $0.00 20.8% 6.0% 13.0% 35.7% 0.0% 1.1% -5.5% 501 -6.4K -23 0.00 147.34 N/A N/A 0 0 2 0 2024-09-05 $57.99 $0.00 20.8% 4.4% 12.9% 35.6% 0.0% 1.5% 0.6% 480 -6.0K -22 0.00 150.95 N/A N/A 0 0 2 0 2024-09-06 $57.23 $0.00 21.6% 4.6% 13.1% 37.6% 0.0% 0.6% -0.0% 449 -5.2K -22 0.00 145.62 N/A N/A 0 0 2 0 2024-09-09 $57.66 $0.00 23.9% 4.5% 13.2% 43.7% 0.0% 1.5% -0.6% 504 -5.8K -22 0.00 155.96 N/A N/A 0 0 2 0 2024-09-10 $57.72 $0.00 25.1% 4.5% 13.0% 46.7% 0.0% 2.2% -0.1% 508 -5.6K -21 0.00 154.29 N/A N/A 0 0 2 0 2024-09-11 $58.05 $0.00 14.8% 4.2% 12.3% 19.9% 0.0% 2.3% 1.9% 578 -5.8K -21 0.00 151.73 N/A N/A 0 0 2 0 2024-09-12 $58.64 $0.00 14.8% 4.2% 12.8% 19.9% 0.0% 2.2% -1.3% 493 -6.5K -20 0.00 152.99 N/A N/A 0 0 2 0 2024-09-13 $59.11 $0.00 15.5% 4.4% 11.8% 21.7% 0.0% 5.4% -1.5% 487 -7.0K -21 0.00 158.05 N/A N/A 0 0 2 0 2024-09-16 $59.25 $0.00 16.1% 4.6% 11.9% 23.4% 0.0% 6.8% -1.1% 480 -7.1K -21 0.00 157.21 N/A N/A 0 0 2 0 2024-09-17 $59.25 $0.00 16.6% 4.8% 11.5% 24.6% 0.0% 4.9% -2.2% 488 -7.1K -21 0.00 152.73 N/A N/A 0 0 2 0 2024-09-18 $59.31 $0.00 22.4% 6.4% 11.5% 39.8% 0.0% 9.7% -12.1% 482 -7.1K -20 0.00 166.34 N/A N/A 0 0 2 0 2024-09-19 $60.14 $0.00 16.0% 4.6% 12.5% 23.0% 0.0% 1.9% -1.5% 456 -7.9K -20 0.00 153.76 N/A N/A 0 0 2 0 2024-09-20 $59.86 $0.00 15.4% 4.4% 12.4% 21.6% 0.0% 2.2% -1.4% 459 -7.8K -19 0.00 154.84 N/A N/A 0 0 2 0 2024-09-23 $59.81 $0.00 16.5% 4.7% 11.7% 24.5% 0.0% 1.3% -1.8% 472 -7.8K -19 0.00 154.85 N/A N/A 0 0 2 0 2024-09-24 $60.03 $0.00 16.4% 4.7% 11.7% 24.3% 0.0% 1.8% -1.8% 457 -8.0K -19 0.00 154.32 N/A N/A 0 0 2 0 2024-09-25 $59.86 $0.00 16.4% 4.7% 11.8% 24.2% 0.0% 0.9% -2.2% 481 -7.9K -19 0.00 154.25 N/A N/A 0 0 2 0 2024-09-26 $60.36 $0.00 22.6% 6.5% 12.0% 40.3% 0.0% 3.7% -4.6% 430 -8.0K -20 0.00 164.46 N/A N/A 0 0 2 0 2024-09-27 $60.47 $0.00 18.5% 5.3% 12.0% 29.6% 0.0% 2.4% -4.1% 447 -8.4K -18 0.00 151.51 N/A N/A 0 0 2 0 2024-09-30 $60.50 $0.00 18.3% 5.3% 11.9% 29.1% 0.0% 3.3% -2.5% 434 -8.3K -18 0.00 152.23 N/A N/A 0 0 2 0
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