FVAL Options History — December 2024 In December 2024, FVAL traded between $61.48 and $64.39. ATM implied volatility averaged 17.4%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 7.1% (HV 20d: 10.3%). Max pain ranged from $61.00 to $61.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2024-12-11 : Largest IV drop — 36.5% change2024-12-10 : Highest IV Rank — 35.0%2024-12-03 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $63.11 $61.48 $64.39 $64.19 $61.57 Max Pain $61.00 $61.00 $61.00 $61.00 $61.00 ATM IV 17.4% 14.0% 22.1% 18.5% 18.3% Expected Move 4.6% 3.9% 5.3% 5.3% 5.2% HV 20d 10.3% 7.1% 13.8% 13.8% 11.7% HV 60d 11.5% 10.8% 12.4% 11.1% 12.3% IV Rank 16.6% 3.8% 35.0% 29.6% 16.9% IV Percentile 44.7% 2.0% 83.7% 61.5% 58.7% Term Structure -2.8% -7.1% 0.5% -4.9% -5.2% Skew 25d 0.9% -1.1% 1.8% 1.7% 0.9% Skew 10d 3.3% -10.2% 11.8% 6.0% 7.9% Call IV 25d 17.9% 14.5% 20.9% 19.7% 20.9% Put IV 25d 18.7% 15.5% 21.9% 21.4% 21.8% Bid-Ask Spread % 157.33 146.65 161.65 159.52 156.90 Gamma HHI 0.65 0.50 1.00 0.50 1.00 Net GEX 44 -428 441 1 438 Net DEX -3.3K -4.2K -362 -3.8K -3.1K Net VEX -11 -13 -9 -13 -9 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 1.714 1 2 2 1
Daily Data (21 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 2024-12-02 $64.19 $61.00 18.5% 5.3% 13.8% 29.6% 0.0% 1.7% -4.9% 1 -3.8K -13 0.00 159.52 N/A N/A 0 0 1 1 2024-12-03 $64.08 $61.00 18.6% 5.3% 13.8% 26.8% 0.0% 0.5% -5.6% -4 -3.9K -13 0.00 159.54 N/A N/A 0 0 1 1 2024-12-04 $64.34 $61.00 18.2% 5.2% 13.6% 24.1% 0.0% 0.4% -5.1% 11 -4.2K -11 0.00 158.69 N/A N/A 0 0 1 1 2024-12-05 $64.39 $0.00 20.2% 4.0% 7.9% 29.8% 0.0% 1.0% -1.5% 9 -4.2K -11 0.00 159.78 N/A N/A 0 0 1 1 2024-12-06 $64.23 $0.00 18.9% 3.9% 7.7% 26.3% 0.0% 0.7% -0.8% -1 -4.1K -12 0.00 158.68 N/A N/A 0 0 1 1 2024-12-09 $64.06 $0.00 21.1% 4.0% 7.8% 32.3% 0.0% 0.6% -1.1% -23 -4.1K -11 0.00 159.05 N/A N/A 0 0 1 1 2024-12-10 $63.72 $0.00 22.1% 4.0% 8.1% 35.0% 0.0% 0.9% -0.9% -48 -3.7K -12 0.00 159.70 N/A N/A 0 0 1 1 2024-12-11 $64.09 $0.00 14.0% 4.0% 8.2% 6.6% 0.0% 1.2% -1.3% -24 -4.1K -11 0.00 160.26 N/A N/A 0 0 1 1 2024-12-12 $63.78 $0.00 14.5% 4.2% 8.4% 3.8% 0.0% 0.9% -2.0% -56 -3.7K -12 0.00 160.88 N/A N/A 0 0 1 1 2024-12-13 $63.39 $0.00 14.7% 4.2% 8.5% 4.8% 0.0% 0.3% -2.2% -90 -3.3K -12 0.00 158.43 N/A N/A 0 0 1 1 2024-12-16 $63.35 $0.00 15.6% 4.5% 7.1% 7.8% 0.0% 0.9% -2.0% -101 -3.2K -11 0.00 160.98 N/A N/A 0 0 1 1 2024-12-17 $63.01 $0.00 16.1% 4.6% 7.3% 9.5% 0.0% 1.1% -2.5% -154 -2.7K -12 0.00 161.65 N/A N/A 0 0 1 1 2024-12-18 $61.48 $0.00 16.2% 4.7% 11.4% 10.0% 0.0% -1.1% -7.1% -374 -362 -12 0.00 150.28 N/A N/A 0 0 1 1 2024-12-19 $61.66 $0.00 17.8% 5.1% 11.5% 15.3% 0.0% 0.9% -1.8% -428 -846 -11 0.00 153.59 N/A N/A 0 0 1 1 2024-12-20 $62.02 $0.00 16.6% 4.8% 11.2% 11.3% 0.0% 0.6% 0.5% -336 -1.5K -10 0.00 146.65 N/A N/A 0 0 1 1 2024-12-23 $62.28 $0.00 16.9% 4.8% 11.2% 12.1% 0.0% 1.8% -2.4% 420 -3.5K -10 0.00 153.17 N/A N/A 0 0 1 0 2024-12-24 $62.75 $0.00 16.0% 4.6% 11.3% 9.3% 0.0% 0.8% -3.1% 408 -4.0K -9 0.00 157.68 N/A N/A 0 0 1 0 2024-12-26 $62.95 $0.00 16.4% 4.7% 11.3% 10.5% 0.0% 1.6% -3.3% 410 -4.2K -9 0.00 159.45 N/A N/A 0 0 1 0 2024-12-27 $62.14 $0.00 16.8% 4.8% 12.1% 11.8% 0.0% 0.7% -3.5% 435 -3.6K -10 0.00 154.25 N/A N/A 0 0 1 0 2024-12-30 $61.89 $0.00 18.0% 5.1% 11.7% 15.9% 0.0% 1.6% -3.6% 441 -3.2K -9 0.00 154.92 N/A N/A 0 0 1 0 2024-12-31 $61.57 $0.00 18.3% 5.2% 11.7% 16.9% 0.0% 0.9% -5.2% 438 -3.1K -9 0.00 156.90 N/A N/A 0 0 1 0
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