EXI Options History — October 2021

In October 2021, EXI traded between $117.22 and $123.13. ATM implied volatility averaged 19.1%. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 5.6% (HV 20d: 13.5%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days.

Notable Days

  • 2021-10-13: Largest IV drop — 51.3% change
  • 2021-10-01: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.41$117.22$123.13$118.27$122.45
ATM IV19.1%14.1%34.2%22.2%16.0%
Expected Move4.7%4.0%6.4%6.4%4.6%
HV 20d13.5%10.5%15.8%15.8%10.5%
Term Structure-0.2%-6.4%1.9%-1.6%-0.1%
Skew 25d2.5%0.1%8.7%2.5%1.5%
Skew 10d3.3%-1.0%9.6%4.0%2.4%
Call IV 25d15.1%14.0%16.9%15.0%16.9%
Put IV 25d17.5%14.4%24.1%17.6%18.5%
Bid-Ask Spread %152.47123.11166.25148.08141.44
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$118.27$0.0022.2%6.4%0.0%0.0%0.0%0.0%-1.6%0000.00148.08N/AN/A0000
2021-10-04$117.22$0.0019.9%5.7%0.0%0.0%0.0%0.0%-0.2%0000.00150.19N/AN/A0000
2021-10-05$118.39$0.0022.4%4.9%0.0%0.0%0.0%2.5%1.9%0000.00163.30N/AN/A0000
2021-10-06$117.77$0.0023.3%5.2%0.0%0.0%0.0%4.9%0.0%0000.00161.72N/AN/A0000
2021-10-07$118.78$0.0023.8%4.9%15.8%0.0%0.0%3.6%0.5%0000.00161.47N/AN/A0000
2021-10-08$118.62$0.0023.7%4.7%15.3%0.0%0.0%3.2%0.7%0000.00162.81N/AN/A0000
2021-10-11$118.03$0.0030.9%4.8%14.8%0.0%0.0%2.2%0.9%0000.00162.56N/AN/A0000
2021-10-12$117.62$0.0034.2%5.0%14.4%0.0%0.0%2.8%-0.2%0000.00166.14N/AN/A0000
2021-10-13$118.31$0.0016.7%4.8%14.3%0.0%0.0%2.5%0.6%0000.00166.25N/AN/A0000
2021-10-14$120.14$0.0014.6%4.2%15.2%0.0%0.0%1.3%-4.1%0000.00166.19N/AN/A0000
2021-10-15$121.49$0.0014.1%4.1%15.1%0.0%0.0%1.9%1.7%0000.00159.96N/AN/A0000
2021-10-18$121.14$0.0014.3%4.1%13.6%0.0%0.0%1.0%1.1%0000.00160.60N/AN/A0000
2021-10-19$121.79$0.0014.1%4.0%13.5%0.0%0.0%1.7%0.8%0000.00159.35N/AN/A0000
2021-10-20$122.45$0.0014.3%4.1%13.5%0.0%0.0%1.9%0.7%0000.00139.24N/AN/A0000
2021-10-21$122.07$0.0019.9%5.7%13.1%0.0%0.0%8.7%-6.4%0000.00123.11N/AN/A0000
2021-10-22$123.01$0.0016.0%4.6%13.3%0.0%0.0%0.1%1.5%0000.00142.20N/AN/A0000
2021-10-25$122.99$0.0014.6%4.2%13.2%0.0%0.0%1.9%0.1%0000.00140.53N/AN/A0000
2021-10-26$123.13$0.0015.3%4.4%11.3%0.0%0.0%1.9%0.2%0000.00143.21N/AN/A0000
2021-10-27$122.35$0.0015.7%4.5%11.7%0.0%0.0%1.8%-1.5%0000.00143.75N/AN/A0000
2021-10-28$122.53$0.0015.5%4.5%10.5%0.0%0.0%1.3%-0.6%0000.00139.72N/AN/A0000
2021-10-29$122.45$0.0016.0%4.6%10.5%0.0%0.0%1.5%-0.1%0000.00141.44N/AN/A0000