FEX Options History — August 2019

In August 2019, FEX traded between $58.27 and $61.37. ATM implied volatility averaged 21.2%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.8% (HV 20d: 19.4%). Max pain ranged from $58.00 to $58.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 3.33.

Notable Days

  • 2019-08-27: Highest Volume — 46 contracts
  • 2019-08-05: Largest IV spike — 65.8% change
  • 2019-08-12: Highest IV Rank — 97.5%
  • 2019-08-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.57$58.27$61.37$61.37$59.78
Max Pain$58.00$58.00$58.00$58.00$58.00
ATM IV21.2%13.9%34.2%22.9%13.9%
Expected Move5.4%4.0%6.6%6.6%4.0%
HV 20d19.4%9.5%24.2%9.5%23.9%
HV 60d15.0%13.1%16.5%13.1%15.7%
IV Rank46.4%17.6%97.5%53.0%17.6%
IV Percentile76.9%32.5%99.6%88.9%32.5%
Term Structure1.8%-4.5%11.8%-0.5%0.5%
VWIV20.5%20.5%20.5%20.5%20.5%
Skew 25d5.9%-1.5%11.7%7.6%2.0%
Skew 10d4.5%-3.3%10.1%2.3%3.8%
Call IV 25d14.0%11.3%17.8%14.7%14.8%
Put IV 25d19.9%14.6%25.1%22.4%16.8%
Bid-Ask Spread %126.14116.91149.38131.26125.15
Gamma HHI0.350.210.600.210.36
Net GEX954-5.7K30.2K1.3K30.2K
Net DEX-7.9K-136.8K50.0K-13.9K-128.0K
Net VEX-185-603-73-103-446
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.330.0020.000.000.00
Total Volume3.36404610
Total OI28.59112811281

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$61.37$0.0022.9%6.6%9.5%53.0%0.0%7.6%-0.5%1.3K-13.9K-1030.00131.26N/AN/A1093
2019-08-02$60.67$0.0015.4%4.4%10.2%23.6%0.0%3.0%1.4%1.5K-7.3K-860.00120.26N/AN/A0093
2019-08-05$58.94$58.0025.6%5.9%14.2%63.7%0.0%9.1%-2.3%1.2K-513-750.00116.91N/AN/A0093
2019-08-06$59.47$58.0024.1%5.7%14.7%57.9%0.0%5.3%-1.5%1.4K-997-740.00124.61N/AN/A1093
2019-08-07$59.75$58.0026.8%5.9%14.9%68.3%0.0%10.5%-4.5%1.6K-6.2K-990.00126.58N/AN/A00103
2019-08-08$60.86$58.0022.2%4.4%16.5%50.2%0.0%5.5%1.2%1.8K-11.1K-1000.00128.59N/AN/A00103
2019-08-09$60.55$58.0022.9%5.0%16.2%53.0%0.0%9.3%-2.6%1.8K-9.1K-940.00122.52N/AN/A00103
2019-08-12$59.38$58.0034.2%5.6%17.4%97.5%0.0%5.8%-2.0%1.5K-2.9K-840.00127.53N/AN/A00103
2019-08-13$60.17$58.0030.9%4.9%18.3%84.7%0.0%5.3%-1.7%1.7K-6.7K-910.00122.44N/AN/A00103
2019-08-14$58.31$58.0021.7%6.2%21.0%48.4%0.0%4.8%-2.6%1.3K153-760.00124.17N/AN/A00103
2019-08-15$58.27$58.0020.9%6.0%20.9%45.0%0.0%3.7%-1.4%1.3K1.8K-730.00125.10N/AN/A10103
2019-08-16$59.17$58.0017.5%5.0%21.9%31.8%20.5%5.5%1.0%6.5K-5.5K-7520.00124.99N/AN/A120113
2019-08-19$59.94$58.0019.1%5.5%22.6%38.0%0.0%11.6%8.8%-5.0K32.1K-2090.00120.25N/AN/A001023
2019-08-20$59.55$58.0021.6%6.2%22.3%47.8%0.0%11.7%-0.2%-4.9K34.9K-2090.00117.74N/AN/A001023
2019-08-21$59.93$58.0016.6%4.8%22.1%28.1%0.0%4.9%10.0%-5.5K24.8K-1840.00129.92N/AN/A001023
2019-08-22$60.00$58.0016.4%4.7%22.2%27.4%0.0%3.3%10.8%-5.5K22.7K-1830.00128.13N/AN/A001023
2019-08-23$58.44$58.0021.3%6.1%23.6%46.7%0.0%-1.5%-2.2%-5.1K50.0K-1990.00129.62N/AN/A001023
2019-08-26$58.64$58.0018.7%5.4%23.7%36.4%0.0%5.4%6.4%-5.7K48.2K-1890.00149.38N/AN/A401023
2019-08-27$58.56$58.0017.8%5.1%23.7%33.0%0.0%4.2%-1.0%-5.7K44.2K-2160.00124.22N/AN/A4601223
2019-08-28$58.97$58.0018.8%5.4%24.0%36.9%0.0%6.3%10.5%1.9K-102.4K-6030.00128.15N/AN/A005823
2019-08-29$59.85$58.0017.4%5.0%24.2%31.5%0.0%6.2%11.8%3.3K-136.8K-5960.00127.47N/AN/A005823
2019-08-30$59.78$58.0013.9%4.0%23.9%17.6%0.0%2.0%0.5%30.2K-128.0K-4460.00125.15N/AN/A005823