FEX Options History — June 2019 In June 2019, FEX traded between $57.07 and $61.22. ATM implied volatility averaged 14.9%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.4% (HV 20d: 15.4%). Max pain ranged from $59.00 to $59.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2019-06-19 : Highest Volume — 4 contracts2019-06-28 : Largest IV spike — 20.5% change2019-06-03 : Highest IV Rank — 36.6%2019-06-03 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $60.01 $57.07 $61.22 $57.07 $61.11 Max Pain $59.00 $59.00 $59.00 $59.00 $59.00 ATM IV 14.9% 12.7% 18.1% 18.1% 17.4% Expected Move 4.3% 3.6% 5.2% 5.2% 5.0% HV 20d 15.4% 11.3% 19.6% 16.9% 11.3% HV 60d 13.4% 12.9% 13.8% 12.9% 13.2% IV Rank 24.1% 16.0% 36.6% 36.6% 32.4% IV Percentile 50.3% 30.2% 73.4% 73.4% 70.6% Term Structure 0.7% -2.2% 2.8% 1.4% -1.6% Skew 25d 2.9% 0.2% 6.9% 2.5% 6.9% Skew 10d 4.0% 1.6% 8.9% 3.7% 7.1% Call IV 25d 13.9% 11.8% 17.1% 15.4% 14.8% Put IV 25d 16.8% 14.0% 21.7% 18.0% 21.7% Bid-Ask Spread % 117.67 107.80 122.11 116.03 115.59 Gamma HHI 0.48 0.30 0.61 0.61 0.36 Net GEX 3.7K 1.7K 5.0K 2.9K 2.0K Net DEX -26.8K -49.1K -8.9K -8.9K -20.0K Net VEX -72 -80 -49 -49 -75 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 0.6 0 4 0 0 Total OI 10.45 8 13 11 8
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 2019-06-03 $57.07 $59.00 18.1% 5.2% 16.9% 36.6% 0.0% 2.5% 1.4% 2.9K -8.9K -49 0.00 116.03 N/A N/A 0 0 11 0 2019-06-04 $58.46 $59.00 16.5% 4.7% 19.6% 30.4% 0.0% 1.2% 2.3% 4.1K -15.7K -71 0.00 115.73 N/A N/A 0 0 11 0 2019-06-05 $58.95 $59.00 17.5% 5.0% 18.7% 34.3% 0.0% 2.7% 0.4% 4.3K -21.1K -76 0.00 116.48 N/A N/A 0 0 11 0 2019-06-06 $59.40 $0.00 16.2% 5.0% 18.9% 29.2% 0.0% 6.3% -0.1% 4.8K -23.7K -77 0.00 107.80 N/A N/A 0 0 11 0 2019-06-07 $59.81 $0.00 15.7% 4.8% 19.0% 27.2% 0.0% 5.4% -0.3% 4.3K -26.8K -73 0.00 108.22 N/A N/A 0 0 11 0 2019-06-10 $60.11 $0.00 16.6% 5.0% 19.1% 30.6% 0.0% 6.4% -2.2% 4.5K -29.3K -74 0.00 110.38 N/A N/A 0 0 11 0 2019-06-11 $60.00 $0.00 16.1% 4.2% 16.0% 28.7% 0.0% 2.4% 0.4% 4.8K -29.8K -80 0.00 115.18 N/A N/A 0 0 11 0 2019-06-12 $59.86 $0.00 14.7% 4.2% 15.3% 23.5% 0.0% 2.5% 0.5% 4.5K -28.1K -72 0.00 119.39 N/A N/A 0 0 11 0 2019-06-13 $60.09 $0.00 14.2% 4.1% 15.3% 21.5% 0.0% 2.5% 0.7% 4.6K -29.9K -72 0.00 120.45 N/A N/A 0 0 11 0 2019-06-14 $59.91 $0.00 14.2% 4.1% 15.1% 21.5% 0.0% 1.8% 0.8% 4.7K -29.6K -69 0.00 120.20 N/A N/A 0 0 11 0 2019-06-17 $59.80 $0.00 14.0% 4.0% 14.9% 20.7% 0.0% 2.2% 0.6% 5.0K -30.1K -65 0.00 121.20 N/A N/A 0 0 11 0 2019-06-18 $60.44 $0.00 12.8% 3.7% 14.9% 16.1% 0.0% 2.0% 2.8% 4.4K -34.2K -64 0.00 121.10 N/A N/A 0 0 11 0 2019-06-19 $60.76 $0.00 12.7% 3.7% 14.6% 16.0% 0.0% 2.2% 2.0% 3.9K -35.6K -61 0.00 121.78 N/A N/A 4 0 11 0 2019-06-20 $61.22 $0.00 12.8% 3.7% 14.6% 16.1% 0.0% 1.2% 1.8% 3.6K -49.1K -80 0.00 122.11 N/A N/A 4 0 13 0 2019-06-21 $61.11 $0.00 13.1% 3.8% 12.7% 17.4% 0.0% 1.3% 0.9% 3.9K -48.9K -76 0.00 121.53 N/A N/A 4 0 13 0 2019-06-24 $60.78 $0.00 12.7% 3.6% 12.9% 16.0% 0.0% 1.9% 0.7% 2.1K -20.3K -75 0.00 121.66 N/A N/A 0 0 8 0 2019-06-25 $60.30 $0.00 14.6% 4.2% 12.8% 21.6% 0.0% 3.5% -0.9% 2.0K -18.6K -74 0.00 119.26 N/A N/A 0 0 8 0 2019-06-26 $60.33 $0.00 14.8% 4.2% 12.4% 22.3% 0.0% 2.9% 2.5% 1.7K -17.9K -74 0.00 121.34 N/A N/A 0 0 8 0 2019-06-27 $60.69 $0.00 14.4% 4.1% 12.5% 21.0% 0.0% 0.2% 2.1% 1.8K -17.9K -74 0.00 117.85 N/A N/A 0 0 8 0 2019-06-28 $61.11 $0.00 17.4% 5.0% 11.3% 32.4% 0.0% 6.9% -1.6% 2.0K -20.0K -75 0.00 115.59 N/A N/A 0 0 8 0
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