FEX Options History — March 2019 In March 2019, FEX traded between $57.86 and $59.77. ATM implied volatility averaged 14.1%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.1% (HV 20d: 10.0%). Max pain ranged from $55.00 to $61.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 13 of 21 days.
Notable Days 2019-03-21 : Highest Volume — 11 contracts2019-03-12 : Largest IV drop — 47.5% change2019-03-11 : Highest IV Rank — 48.7%2019-03-08 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $59.05 $57.86 $59.77 $59.62 $59.56 Max Pain $58.29 $55.00 $61.00 $55.00 $61.00 ATM IV 14.1% 10.9% 21.2% 13.0% 14.5% Expected Move 4.2% 3.3% 5.4% 3.7% 4.2% HV 20d 10.0% 7.0% 12.1% 7.0% 12.1% HV 60d 15.5% 12.3% 18.3% 18.3% 12.3% IV Rank 22.0% 9.8% 48.7% 17.7% 23.2% IV Percentile 42.4% 19.0% 84.5% 31.3% 47.2% Term Structure 1.0% -1.7% 4.5% -1.7% -1.0% VWIV 10.6% 9.8% 11.5% 9.8% 11.5% Skew 25d 3.2% 0.8% 10.2% 1.8% 7.0% Skew 10d 3.1% 0.8% 10.2% 2.1% 0.8% Call IV 25d 12.1% 10.4% 14.7% 14.7% 11.5% Put IV 25d 15.3% 12.7% 22.4% 16.5% 18.4% Bid-Ask Spread % 114.08 99.12 122.32 120.51 112.02 Gamma HHI 0.80 0.51 1.00 0.76 0.74 Net GEX -430 -4.2K 1.1K 767 -4.2K Net DEX 4.1K -10.7K 40.7K -10.0K 33.5K Net VEX -60 -119 -35 -40 -119 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 1.048 0 11 0 0 Total OI 7.714 3 14 6 14
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 2019-03-01 $59.62 $55.00 13.0% 3.7% 7.0% 17.7% 0.0% 1.8% -1.7% 767 -10.0K -40 0.00 120.51 N/A N/A 0 0 3 3 2019-03-04 $59.14 $55.00 13.7% 3.9% 7.9% 20.3% 0.0% 2.1% -1.0% 758 -9.7K -39 0.00 118.92 N/A N/A 0 0 3 3 2019-03-05 $59.18 $55.00 15.3% 4.4% 7.8% 26.4% 0.0% 3.9% 1.0% 701 -9.2K -39 0.00 122.29 N/A N/A 0 0 3 3 2019-03-06 $58.64 $55.00 15.6% 4.5% 8.6% 27.4% 0.0% 3.5% 2.3% 798 -8.9K -38 0.00 118.87 N/A N/A 0 0 3 3 2019-03-07 $58.11 $55.00 17.8% 5.1% 9.3% 35.9% 0.0% 4.6% -0.3% 359 -7.4K -39 0.00 120.45 N/A N/A 0 0 3 3 2019-03-08 $57.86 $55.00 18.7% 5.4% 9.2% 39.2% 0.0% 10.2% -0.7% 218 -5.9K -39 0.00 122.32 N/A N/A 0 0 3 3 2019-03-11 $58.74 $59.00 21.2% 4.2% 10.5% 48.7% 0.0% 7.5% 0.3% 727 -8.2K -37 0.00 99.12 N/A N/A 0 0 3 3 2019-03-12 $58.97 $59.00 11.2% 4.1% 10.5% 10.8% 0.0% 2.0% 2.3% 862 -9.1K -37 0.00 109.01 N/A N/A 0 0 3 3 2019-03-13 $59.32 $59.00 10.9% 3.8% 9.8% 9.8% 0.0% 2.3% 2.6% 959 -9.7K -37 0.00 118.19 N/A N/A 0 0 3 3 2019-03-14 $59.19 $59.00 11.6% 4.3% 9.8% 12.5% 0.0% 2.1% 4.5% 887 -9.7K -37 0.00 118.91 N/A N/A 0 0 3 3 2019-03-15 $59.34 $59.00 11.4% 4.1% 9.8% 11.7% 0.0% 1.4% 3.3% 953 -10.3K -36 0.00 120.14 N/A N/A 0 0 3 3 2019-03-18 $59.67 $0.00 11.3% 3.3% 9.6% 11.2% 0.0% 1.9% 0.8% 1.0K -10.3K -36 0.00 120.75 N/A N/A 0 0 3 0 2019-03-19 $59.47 $0.00 11.5% 4.3% 9.5% 12.2% 0.0% 0.9% 3.2% 1.0K -10.7K -35 0.00 106.53 N/A N/A 0 0 3 0 2019-03-20 $59.22 $0.00 12.6% 4.0% 9.6% 16.4% 0.0% 0.8% -0.3% 980 -10.1K -35 0.00 112.98 N/A N/A 0 0 3 0 2019-03-21 $59.77 $0.00 11.8% 3.4% 10.0% 13.0% 9.8% 2.7% 3.1% 1.1K -10.0K -35 0.00 111.96 N/A N/A 0 11 3 0 2019-03-22 $58.66 $61.00 14.3% 3.5% 11.9% 22.6% 11.5% 1.8% -1.5% -3.2K 40.7K -112 0.00 113.22 N/A N/A 0 11 3 11 2019-03-25 $58.66 $61.00 15.0% 4.9% 11.9% 25.1% 0.0% 2.6% 1.7% -3.0K 39.4K -113 0.00 106.14 N/A N/A 0 0 3 11 2019-03-26 $58.85 $61.00 13.7% 4.6% 12.0% 20.3% 0.0% 1.4% 2.0% -3.5K 37.3K -115 0.00 108.44 N/A N/A 0 0 3 11 2019-03-27 $58.99 $61.00 14.9% 4.6% 12.0% 24.8% 0.0% 1.3% 1.2% -3.6K 37.2K -118 0.00 107.14 N/A N/A 0 0 3 11 2019-03-28 $59.16 $61.00 17.0% 4.7% 12.1% 32.7% 0.0% 6.2% -0.1% -3.6K 37.1K -115 0.00 107.74 N/A N/A 0 0 3 11 2019-03-29 $59.56 $61.00 14.5% 4.2% 12.1% 23.2% 0.0% 7.0% -1.0% -4.2K 33.5K -119 0.00 112.02 N/A N/A 0 0 3 11
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