FEX Options History — September 2019 In September 2019, FEX traded between $59.34 and $62.09. ATM implied volatility averaged 20.7%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.1% (HV 20d: 15.7%). Max pain ranged from $58.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days.
Notable Days 2019-09-19 : Highest Volume — 3 contracts2019-09-11 : Largest IV spike — 220.1% change2019-09-11 : Highest IV Rank — 100.0%2019-09-12 : Largest Expected Move — 18.6%Monthly Statistics Metric Avg Min Max Open Close Price $61.27 $59.34 $62.09 $59.34 $61.00 Max Pain $58.10 $58.00 $60.00 $58.00 $58.00 ATM IV 20.7% 12.8% 64.9% 18.9% 14.3% Expected Move 6.6% 3.7% 18.6% 5.4% 4.1% HV 20d 15.7% 9.6% 22.5% 21.6% 10.5% HV 60d 16.0% 15.7% 16.2% 15.7% 16.0% IV Rank 25.6% 4.1% 100.0% 37.0% 6.9% IV Percentile 50.7% 18.3% 100.0% 71.4% 29.8% Term Structure -1.9% -51.2% 21.1% 1.8% 14.2% VWIV 15.0% 14.3% 15.7% 15.7% 14.3% Skew 25d 4.0% 1.1% 12.9% 3.9% 4.4% Skew 10d 5.0% 0.9% 31.0% 5.0% 3.7% Call IV 25d 24.7% 10.6% 87.6% 14.3% 11.4% Put IV 25d 28.7% 14.5% 91.4% 18.2% 15.8% Bid-Ask Spread % 132.76 117.68 167.79 117.85 122.64 Gamma HHI 0.31 0.22 0.42 0.34 0.40 Net GEX 15.0K 4.9K 22.7K 6.3K 21.1K Net DEX -214.8K -258.5K -107.8K -107.8K -220.1K Net VEX -344 -546 -223 -546 -229 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.25 0 3 1 0 Total OI 73.35 52 85 81 53
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 2019-09-03 $59.34 $58.00 18.9% 5.4% 21.6% 37.0% 15.7% 3.9% 1.8% 6.3K -107.8K -546 0.00 117.85 N/A N/A 0 1 58 23 2019-09-04 $60.01 $60.00 18.1% 5.2% 21.8% 34.0% 0.0% 1.9% 0.0% 6.8K -140.4K -509 0.00 120.13 N/A N/A 0 0 58 24 2019-09-05 $61.02 $58.00 14.4% 8.6% 22.5% 19.6% 0.0% 1.1% -13.8% 6.6K -181.0K -482 0.00 145.41 N/A N/A 0 0 58 24 2019-09-06 $61.03 $58.00 15.2% 8.7% 21.5% 22.6% 0.0% 1.2% -14.6% 6.2K -180.4K -482 0.00 145.00 N/A N/A 0 0 58 24 2019-09-09 $61.18 $58.00 24.5% 6.1% 21.4% 59.2% 0.0% 12.9% -2.9% 12.1K -211.4K -432 0.00 128.83 N/A N/A 0 0 58 24 2019-09-10 $61.28 $58.00 20.0% 11.4% 20.1% 41.7% 0.0% 1.8% 2.0% 15.2K -220.7K -397 0.00 161.40 N/A N/A 0 0 58 24 2019-09-11 $61.65 $58.00 64.1% 18.4% 19.7% 100.0% 0.0% 2.1% -51.2% 13.4K -226.0K -390 0.00 163.06 N/A N/A 0 0 58 24 2019-09-12 $61.93 $58.00 64.9% 18.6% 15.5% 100.0% 0.0% 3.8% -51.0% 4.9K -197.1K -440 0.00 167.79 N/A N/A 0 0 58 24 2019-09-13 $61.98 $58.00 13.9% 4.0% 15.4% 7.9% 0.0% 3.9% 1.3% 15.7K -246.1K -336 0.00 127.71 N/A N/A 0 0 58 24 2019-09-16 $62.00 $58.00 14.7% 4.2% 14.8% 9.4% 0.0% 4.3% 0.9% 17.4K -256.6K -287 0.00 128.09 N/A N/A 0 0 58 24 2019-09-17 $62.09 $58.00 14.7% 4.2% 14.2% 8.9% 0.0% 5.4% 1.3% 16.6K -258.5K -284 0.00 131.77 N/A N/A 0 0 58 24 2019-09-18 $61.96 $58.00 15.0% 4.3% 14.0% 9.4% 0.0% 5.1% -0.1% 15.7K -253.0K -287 0.00 130.61 N/A N/A 0 0 58 24 2019-09-19 $61.89 $58.00 14.3% 4.1% 13.9% 8.2% 0.0% 2.7% 0.5% 17.8K -255.2K -259 0.00 129.64 N/A N/A 0 3 58 24 2019-09-20 $61.62 $58.00 15.7% 4.5% 14.1% 10.6% 0.0% 4.0% -0.4% 19.5K -231.9K -278 0.00 130.50 N/A N/A 0 0 58 27 2019-09-23 $61.73 $58.00 14.5% 4.2% 9.6% 7.8% 14.3% 4.4% 21.1% 17.9K -247.1K -223 0.00 127.02 N/A N/A 0 1 51 1 2019-09-24 $61.00 $58.00 15.7% 4.5% 10.9% 9.9% 0.0% 4.2% 11.6% 21.5K -213.3K -266 0.00 120.96 N/A N/A 0 0 51 2 2019-09-25 $61.19 $58.00 14.4% 4.1% 10.8% 7.6% 0.0% 4.0% 12.5% 21.4K -225.1K -243 0.00 121.00 N/A N/A 0 0 51 2 2019-09-26 $61.03 $58.00 14.6% 4.2% 10.8% 8.0% 0.0% 6.3% 12.5% 20.7K -219.3K -253 0.00 118.08 N/A N/A 0 0 51 2 2019-09-27 $60.51 $58.00 12.8% 3.7% 10.2% 4.1% 0.0% 3.6% 16.1% 22.7K -204.4K -261 0.00 117.68 N/A N/A 0 0 51 2 2019-09-30 $61.00 $58.00 14.3% 4.1% 10.5% 6.9% 0.0% 4.4% 14.2% 21.1K -220.1K -229 0.00 122.64 N/A N/A 0 0 51 2
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