EXI Options History — September 2023 In September 2023, EXI traded between $112.52 and $119.69. ATM implied volatility averaged 15.3%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.9% (HV 20d: 11.4%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days.
Notable Days 2023-09-13 : Largest IV drop — 52.8% change2023-09-12 : Highest IV Rank — 33.1%2023-09-27 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $116.10 $112.52 $119.69 $119.69 $113.06 ATM IV 15.3% 11.3% 25.3% 13.4% 14.4% Expected Move 3.8% 3.2% 4.9% 3.8% 4.1% HV 20d 11.4% 9.9% 12.2% 11.9% 10.6% HV 60d 11.5% 11.0% 12.0% 11.9% 11.0% IV Rank 9.7% 0.0% 33.1% 3.8% 8.5% IV Percentile 28.0% 0.0% 84.1% 13.9% 25.0% Term Structure 0.7% -1.3% 2.4% -1.3% -0.0% Skew 25d 1.7% 0.9% 3.8% 0.9% 1.1% Skew 10d 1.8% 0.8% 2.5% 0.8% 1.4% Call IV 25d 12.5% 10.9% 15.1% 15.1% 14.5% Put IV 25d 14.2% 12.5% 16.3% 16.0% 15.7% Bid-Ask Spread % 134.91 131.60 139.41 136.03 135.78 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -1.2K -1.4K -959 -959 -1.4K Net DEX 8.8K 5.0K 12.5K 5.0K 12.0K Net VEX -42 -44 -37 -37 -41 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 2023-09-01 $119.69 $0.00 13.4% 3.8% 11.9% 3.8% 0.0% 0.9% -1.3% -959 5.0K -37 0.00 136.03 N/A N/A 0 0 0 2 2023-09-05 $118.48 $0.00 17.6% 3.4% 11.7% 14.2% 0.0% 1.6% 2.4% -1.0K 6.7K -42 0.00 132.12 N/A N/A 0 0 0 2 2023-09-06 $118.19 $0.00 16.8% 3.6% 11.7% 12.2% 0.0% 1.8% 0.9% -1.1K 7.0K -43 0.00 133.09 N/A N/A 0 0 0 2 2023-09-07 $117.83 $0.00 16.8% 3.7% 11.7% 12.1% 0.0% 1.6% 1.0% -1.1K 7.3K -43 0.00 131.60 N/A N/A 0 0 0 2 2023-09-08 $117.09 $0.00 17.7% 3.7% 11.7% 14.4% 0.0% 1.3% 1.1% -1.2K 7.7K -44 0.00 133.19 N/A N/A 0 0 0 2 2023-09-11 $117.55 $0.00 22.3% 3.3% 11.8% 25.5% 0.0% 1.5% 1.3% -1.1K 7.3K -42 0.00 134.12 N/A N/A 0 0 0 2 2023-09-12 $116.90 $0.00 25.3% 3.6% 11.9% 33.1% 0.0% 1.4% 1.2% -1.2K 7.8K -43 0.00 133.98 N/A N/A 0 0 0 2 2023-09-13 $116.09 $0.00 11.9% 3.4% 11.3% 0.1% 0.0% 1.5% 2.2% -1.3K 8.6K -44 0.00 134.06 N/A N/A 0 0 0 2 2023-09-14 $117.45 $0.00 11.3% 3.2% 12.1% 0.0% 0.0% 1.5% 1.0% -1.2K 7.4K -41 0.00 135.38 N/A N/A 0 0 0 2 2023-09-15 $117.14 $0.00 13.4% 3.8% 11.6% 5.7% 0.0% 3.3% 0.9% -1.3K 7.6K -42 0.00 136.39 N/A N/A 0 0 0 2 2023-09-18 $117.25 $0.00 11.7% 3.4% 11.5% 1.1% 0.0% 1.4% 0.4% -1.3K 7.2K -40 0.00 137.00 N/A N/A 0 0 0 2 2023-09-19 $116.84 $0.00 11.9% 3.4% 11.6% 1.6% 0.0% 1.3% 0.6% -1.3K 7.5K -41 0.00 136.39 N/A N/A 0 0 0 2 2023-09-20 $116.40 $0.00 15.5% 4.4% 11.7% 11.6% 0.0% 3.8% -0.6% -1.3K 9.1K -43 0.00 139.41 N/A N/A 0 0 0 2 2023-09-21 $114.55 $0.00 13.5% 3.9% 12.2% 5.9% 0.0% 1.6% 0.5% -1.3K 10.3K -44 0.00 133.58 N/A N/A 0 0 0 2 2023-09-22 $114.13 $0.00 13.6% 3.9% 11.3% 6.3% 0.0% 1.4% 0.3% -1.3K 10.6K -43 0.00 135.09 N/A N/A 0 0 0 2 2023-09-25 $114.11 $0.00 13.8% 4.0% 10.6% 6.8% 0.0% 1.9% 1.0% -1.3K 10.8K -43 0.00 136.01 N/A N/A 0 0 0 2 2023-09-26 $112.52 $0.00 14.2% 4.1% 10.9% 8.1% 0.0% 1.9% 1.0% -1.4K 12.5K -41 0.00 135.36 N/A N/A 0 0 0 2 2023-09-27 $112.97 $0.00 17.0% 4.9% 9.9% 15.9% 0.0% 1.4% 0.4% -1.3K 12.2K -42 0.00 134.61 N/A N/A 0 0 0 2 2023-09-28 $113.82 $0.00 14.1% 4.0% 10.5% 7.6% 0.0% 1.2% -0.1% -1.4K 11.0K -42 0.00 134.99 N/A N/A 0 0 0 2 2023-09-29 $113.06 $0.00 14.4% 4.1% 10.6% 8.5% 0.0% 1.1% -0.0% -1.4K 12.0K -41 0.00 135.78 N/A N/A 0 0 0 2
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