FEX Options History — April 2019 In April 2019, FEX traded between $60.24 and $61.66. ATM implied volatility averaged 12.4%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.8% (HV 20d: 9.6%). Max pain ranged from $61.00 to $61.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2019-04-17 : Highest Volume — 2 contracts2019-04-10 : Largest IV drop — 29.2% change2019-04-09 : Highest IV Rank — 25.3%2019-04-01 : Largest Expected Move — 4.4%Monthly Statistics Metric Avg Min Max Open Close Price $61.04 $60.24 $61.66 $60.24 $61.66 Max Pain $61.00 $61.00 $61.00 $61.00 $61.00 ATM IV 12.4% 10.6% 15.0% 14.4% 13.1% Expected Move 3.5% 3.0% 4.4% 4.4% 3.7% HV 20d 9.6% 6.4% 12.4% 12.4% 6.4% HV 60d 10.0% 9.1% 12.0% 12.0% 9.1% IV Rank 15.5% 8.6% 25.3% 23.1% 18.0% IV Percentile 31.3% 16.3% 56.7% 47.2% 38.9% Term Structure 0.3% -4.4% 3.2% 0.2% -3.8% Skew 25d 2.9% 0.5% 9.2% 5.3% 2.8% Skew 10d 2.1% -1.4% 3.8% 0.5% -0.3% Call IV 25d 11.3% 9.1% 13.6% 12.4% 11.6% Put IV 25d 14.3% 11.5% 18.3% 17.7% 14.4% Bid-Ask Spread % 117.59 101.47 122.95 111.55 116.29 Gamma HHI 0.74 0.68 0.80 0.74 0.71 Net GEX -5.6K -7.6K -4.1K -4.1K -6.5K Net DEX 14.0K -2.1K 28.2K 28.2K -14 Net VEX -108 -124 -85 -124 -86 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.286 0 2 0 2 Total OI 14.762 14 16 14 16
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 2019-04-01 $60.24 $61.00 14.4% 4.4% 12.4% 23.1% 0.0% 5.3% 0.2% -4.1K 28.2K -124 0.00 111.55 N/A N/A 0 0 3 11 2019-04-02 $60.25 $61.00 13.8% 4.2% 12.4% 20.7% 0.0% 2.5% 2.3% -4.7K 25.2K -124 0.00 113.51 N/A N/A 0 0 3 11 2019-04-03 $60.40 $61.00 13.5% 3.2% 11.8% 19.4% 0.0% 1.6% 2.2% -5.3K 24.9K -121 0.00 119.97 N/A N/A 0 0 3 11 2019-04-04 $60.49 $61.00 14.5% 4.3% 11.1% 23.4% 0.0% 6.0% -0.0% -4.6K 24.2K -123 0.00 113.56 N/A N/A 0 0 3 11 2019-04-05 $60.80 $61.00 12.1% 3.9% 10.9% 14.2% 0.0% 6.8% 0.9% -4.7K 21.4K -121 0.00 115.45 N/A N/A 0 0 3 11 2019-04-08 $60.86 $61.00 12.6% 3.9% 9.8% 16.3% 0.0% 6.8% 0.6% -5.1K 20.7K -117 0.00 101.47 N/A N/A 0 0 3 11 2019-04-09 $60.43 $61.00 15.0% 3.3% 10.3% 25.3% 0.0% 2.1% 3.2% -5.5K 25.0K -114 0.00 119.63 N/A N/A 0 0 3 11 2019-04-10 $60.86 $61.00 10.6% 3.0% 10.4% 8.8% 0.0% 2.4% 2.0% -5.5K 19.8K -113 0.00 122.95 N/A N/A 0 0 3 11 2019-04-11 $60.97 $61.00 13.5% 3.9% 10.3% 19.6% 0.0% 9.2% 0.6% -5.3K 18.8K -112 0.00 108.19 N/A N/A 0 0 3 11 2019-04-12 $61.47 $61.00 10.9% 3.1% 10.5% 9.9% 0.0% 2.1% 1.4% -5.7K 12.1K -106 0.00 122.02 N/A N/A 0 0 3 11 2019-04-15 $61.25 $61.00 11.3% 3.3% 10.6% 11.5% 0.0% 1.8% 2.4% -5.9K 15.3K -103 0.00 122.95 N/A N/A 0 0 3 11 2019-04-16 $61.27 $61.00 10.8% 3.1% 10.5% 9.5% 0.0% 1.3% 2.9% -6.3K 14.8K -102 0.00 121.95 N/A N/A 0 0 3 11 2019-04-17 $61.05 $61.00 11.4% 3.3% 10.4% 11.8% 0.0% 0.6% 0.9% -6.2K 17.6K -101 0.00 122.10 N/A N/A 2 0 3 11 2019-04-18 $61.10 $61.00 11.1% 3.2% 10.0% 10.4% 0.0% 2.1% 0.2% -5.5K 6.9K -114 0.00 122.08 N/A N/A 2 0 5 11 2019-04-22 $61.04 $61.00 11.9% 3.4% 6.8% 13.7% 0.0% 2.1% -0.2% -5.5K 8.0K -107 0.00 122.47 N/A N/A 0 0 5 11 2019-04-23 $61.55 $61.00 10.6% 3.0% 7.2% 8.6% 0.0% 2.0% -0.4% -6.0K 158 -101 0.00 118.63 N/A N/A 0 0 5 11 2019-04-24 $61.66 $61.00 11.5% 3.3% 7.1% 11.9% 0.0% 2.0% -0.7% -5.5K -1.3K -94 0.00 122.12 N/A N/A 0 0 5 11 2019-04-25 $61.37 $61.00 13.7% 3.9% 7.6% 20.2% 0.0% 0.5% -4.4% -6.0K 7.7K -99 0.00 115.28 N/A N/A 0 0 5 11 2019-04-26 $61.45 $61.00 11.3% 3.2% 7.6% 11.2% 0.0% 0.9% -1.0% -7.6K 6.4K -95 0.00 117.53 N/A N/A 0 0 5 11 2019-04-29 $61.59 $61.00 12.8% 3.7% 7.4% 16.8% 0.0% 0.7% -3.5% -6.5K -2.1K -85 0.00 119.70 N/A N/A 0 0 5 11 2019-04-30 $61.66 $61.00 13.1% 3.7% 6.4% 18.0% 0.0% 2.8% -3.8% -6.5K -14 -86 0.00 116.29 N/A N/A 2 0 5 11
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