FEX Options History — January 2019 In January 2019, FEX traded between $51.28 and $57.00. ATM implied volatility averaged 18.6%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 3.6% (HV 20d: 22.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days.
Notable Days 2019-01-31 : Largest IV spike — 24.8% change2019-01-02 : Highest IV Rank — 35.3%2019-01-02 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $54.80 $51.28 $57.00 $51.97 $57.00 Max Pain $55.00 $55.00 $55.00 $55.00 $55.00 ATM IV 18.6% 14.3% 27.8% 27.8% 19.0% Expected Move 5.1% 4.1% 8.0% 8.0% 4.4% HV 20d 22.2% 15.3% 26.3% 24.0% 15.7% HV 60d 21.5% 20.3% 22.6% 21.5% 20.3% IV Rank 18.4% 10.7% 35.3% 35.3% 19.0% IV Percentile 68.2% 43.7% 96.4% 96.4% 73.0% Term Structure 0.9% -3.0% 2.5% -3.0% 1.8% Skew 25d 4.5% -0.6% 10.7% 5.5% 3.8% Skew 10d 7.3% 0.1% 19.6% 0.1% 4.3% Call IV 25d 16.0% 12.4% 23.5% 23.5% 16.1% Put IV 25d 20.5% 15.6% 29.0% 29.0% 19.9% Bid-Ask Spread % 115.41 101.94 125.26 116.20 125.26 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -887 -1.1K -558 -558 -855 Net DEX 7.9K 5.1K 10.8K 10.6K 5.1K Net VEX -25 -27 -20 -25 -20 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 3 3 3 3 3
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 2019-01-02 $51.97 $0.00 27.8% 8.0% 24.0% 35.3% 0.0% 5.5% -3.0% -558 10.6K -25 0.00 116.20 N/A N/A 0 0 0 3 2019-01-03 $51.28 $0.00 26.4% 6.7% 22.4% 32.9% 0.0% 8.0% 2.0% -572 10.8K -24 0.00 101.94 N/A N/A 0 0 0 3 2019-01-04 $52.82 $0.00 22.2% 5.9% 25.6% 25.4% 0.0% 8.1% -0.2% -779 10.8K -25 0.00 112.02 N/A N/A 0 0 0 3 2019-01-07 $53.57 $0.00 19.7% 5.6% 26.3% 20.6% 0.0% -0.6% 0.7% -739 9.7K -26 0.00 110.28 N/A N/A 0 0 0 3 2019-01-08 $54.00 $0.00 23.1% 5.3% 26.3% 26.6% 0.0% 10.5% 0.9% -823 9.0K -27 0.00 116.28 N/A N/A 0 0 0 3 2019-01-09 $54.36 $0.00 18.9% 5.4% 26.2% 19.3% 0.0% 1.2% 0.2% -843 8.5K -27 0.00 115.44 N/A N/A 0 0 0 3 2019-01-10 $54.62 $0.00 16.4% 4.7% 26.3% 14.7% 0.0% 8.1% 1.8% -844 8.8K -27 0.00 111.23 N/A N/A 0 0 0 3 2019-01-11 $54.71 $0.00 18.9% 5.4% 26.1% 19.3% 0.0% 10.7% 0.2% -842 8.4K -27 0.00 110.26 N/A N/A 0 0 0 3 2019-01-14 $54.38 $0.00 19.8% 5.7% 26.0% 20.6% 0.0% 7.4% -0.3% -912 8.6K -26 0.00 109.83 N/A N/A 0 0 0 3 2019-01-15 $54.72 $0.00 17.3% 5.0% 25.3% 16.1% 0.0% 8.0% 0.9% -956 8.7K -26 0.00 112.12 N/A N/A 0 0 0 3 2019-01-16 $54.88 $0.00 15.0% 4.3% 23.7% 11.9% 0.0% 2.7% 2.4% -967 7.9K -26 0.00 118.68 N/A N/A 0 0 0 3 2019-01-17 $55.29 $0.00 15.1% 4.3% 23.7% 12.1% 0.0% 2.0% 1.8% -1.1K 7.7K -26 0.00 123.85 N/A N/A 0 0 0 3 2019-01-18 $56.06 $0.00 14.3% 4.1% 22.9% 10.7% 0.0% 1.9% 1.6% -989 6.4K -25 0.00 117.70 N/A N/A 0 0 0 3 2019-01-22 $55.24 $0.00 17.4% 5.0% 22.5% 16.2% 0.0% 1.9% 0.6% -971 7.0K -25 0.00 115.51 N/A N/A 0 0 0 3 2019-01-23 $55.41 $0.00 18.6% 5.3% 21.4% 18.4% 0.0% 2.4% 0.9% -937 7.3K -24 0.00 113.33 N/A N/A 0 0 0 3 2019-01-24 $55.62 $0.00 15.0% 4.3% 18.6% 12.0% 0.0% 2.9% 2.5% -1.0K 7.1K -24 0.00 118.95 N/A N/A 0 0 0 3 2019-01-25 $56.25 $0.00 14.8% 4.2% 15.3% 11.6% 0.0% 2.5% 2.1% -999 5.8K -23 0.00 120.01 N/A N/A 0 0 0 3 2019-01-28 $55.90 $0.00 17.5% 5.0% 15.8% 16.4% 0.0% 1.9% 0.3% -1.0K 6.7K -23 0.00 117.49 N/A N/A 0 0 0 3 2019-01-29 $56.01 $0.00 17.3% 5.0% 15.8% 16.1% 0.0% 2.1% 0.7% -969 6.3K -23 0.00 120.19 N/A N/A 0 0 0 3 2019-01-30 $56.63 $0.00 15.2% 4.4% 15.9% 12.3% 0.0% 2.7% 0.9% -980 5.1K -21 0.00 117.08 N/A N/A 0 0 0 3 2019-01-31 $57.00 $55.00 19.0% 4.4% 15.7% 19.0% 0.0% 3.8% 1.8% -855 5.1K -20 0.00 125.26 N/A N/A 0 0 0 3
« Dec 2018 | All History | Feb 2019 » Home FEX History January 2019