FEX Options History — May 2019

In May 2019, FEX traded between $57.05 and $61.59. ATM implied volatility averaged 18.0%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.5% (HV 20d: 13.5%). Max pain ranged from $59.00 to $61.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2019-05-03: Highest Volume — 9 contracts
  • 2019-05-13: Largest IV spike — 56.3% change
  • 2019-05-13: Highest IV Rank — 81.5%
  • 2019-05-29: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.46$57.05$61.59$61.22$57.05
Max Pain$59.27$59.00$61.00$61.00$59.00
ATM IV18.0%11.9%29.9%13.8%17.2%
Expected Move4.6%3.4%5.7%3.9%4.9%
HV 20d13.5%7.1%17.5%7.1%17.5%
HV 60d11.5%9.2%13.1%9.2%13.1%
IV Rank36.5%13.7%81.5%20.6%32.8%
IV Percentile67.7%29.4%98.0%46.4%68.3%
Term Structure-0.1%-2.8%5.8%-2.0%5.8%
VWIV17.5%17.5%17.5%17.5%17.5%
Skew 25d5.6%-0.1%9.4%2.5%-0.1%
Skew 10d5.7%1.7%10.1%1.7%4.8%
Call IV 25d14.2%10.3%18.8%10.3%18.8%
Put IV 25d19.8%12.8%24.7%12.8%18.7%
Bid-Ask Spread %113.26109.36119.74115.54116.77
Gamma HHI0.550.400.700.700.60
Net GEX-1.3K-8.5K3.7K-6.9K2.9K
Net DEX2.0K-25.3K35.8K-2.2K-11.2K
Net VEX-104-148-58-98-58
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.8640920
Total OI17.04511221811

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$61.22$61.0013.8%3.9%7.1%20.6%0.0%2.5%-2.0%-6.9K-2.2K-980.00115.54N/AN/A20711
2019-05-02$61.05$61.0014.8%4.3%7.1%24.7%0.0%4.8%-2.8%-6.7K7.3K-1180.00116.14N/AN/A30811
2019-05-03$61.59$61.0011.9%3.4%7.7%13.7%0.0%0.9%-1.9%-8.5K-2.8K-1130.00119.74N/AN/A90811
2019-05-06$61.32$59.0015.3%3.6%7.8%26.3%0.0%3.2%1.6%-8.0K-3.6K-1480.00116.34N/AN/A001111
2019-05-07$60.07$59.0022.1%4.9%10.8%51.9%0.0%6.6%0.2%-4.1K10.4K-1450.00111.65N/AN/A001111
2019-05-08$60.33$59.0021.3%5.1%10.6%49.0%0.0%8.7%-1.1%-4.0K12.7K-1480.00110.39N/AN/A001111
2019-05-09$60.10$59.0022.9%5.0%10.3%55.0%0.0%8.8%-1.1%-3.9K21.1K-1390.00109.40N/AN/A001111
2019-05-10$60.15$59.0019.1%4.1%10.3%40.9%0.0%5.3%0.4%-3.6K15.2K-1430.00119.64N/AN/A001111
2019-05-13$58.47$59.0029.9%5.4%13.7%81.5%0.0%6.9%-0.8%-60035.8K-1050.00111.20N/AN/A001111
2019-05-14$59.30$59.0027.9%5.1%14.9%74.1%17.5%7.5%-1.2%-2.6K31.7K-1050.00109.70N/AN/A501111
2019-05-15$59.52$59.0015.9%4.6%15.0%28.6%0.0%8.5%-1.6%-3.0K28.5K-1090.00109.36N/AN/A001111
2019-05-16$59.97$59.0016.4%4.7%15.3%30.6%0.0%9.4%-1.4%-5.8K24.6K-1080.00110.69N/AN/A001111
2019-05-17$59.54$59.0012.4%3.6%15.5%15.7%0.0%2.5%1.0%-1.5K34.7K-960.00116.31N/AN/A001111
2019-05-20$59.03$59.0017.3%4.9%15.7%33.8%0.0%5.4%-0.4%3.3K-22.6K-880.00110.33N/AN/A00110
2019-05-21$59.68$59.0016.4%4.7%15.9%30.4%0.0%8.0%-0.5%3.4K-25.3K-920.00112.57N/AN/A00110
2019-05-22$59.38$59.0016.1%4.6%15.9%29.3%0.0%5.6%3.3%3.4K-24.9K-900.00112.67N/AN/A00110
2019-05-23$58.31$59.0018.4%5.3%16.9%37.6%0.0%5.2%-2.7%3.3K-18.4K-840.00111.09N/AN/A00110
2019-05-24$58.59$59.0014.6%4.2%17.1%23.3%0.0%6.5%0.5%3.2K-19.6K-820.00115.13N/AN/A00110
2019-05-28$58.07$59.0017.8%5.1%17.2%35.2%0.0%8.8%0.9%3.7K-19.0K-790.00111.29N/AN/A00110
2019-05-29$57.70$59.0019.8%5.7%17.1%42.7%0.0%6.9%-1.7%3.0K-14.5K-690.00110.60N/AN/A00110
2019-05-30$57.77$59.0015.0%4.3%17.1%24.7%0.0%0.4%2.7%3.5K-14.8K-700.00115.14N/AN/A00110
2019-05-31$57.05$59.0017.2%4.9%17.5%32.8%0.0%-0.1%5.8%2.9K-11.2K-580.00116.77N/AN/A00110