FEX Options History — January 2020

In January 2020, FEX traded between $63.93 and $66.72. ATM implied volatility averaged 20.8%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 13.8% (HV 20d: 6.9%). Max pain ranged from $60.00 to $63.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2020-01-30: Highest Volume — 30 contracts
2020-01-03: Largest IV spike — 75.7% change
2020-01-03: Highest IV Rank — 33.2%
2020-01-03: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.65	$63.93	$66.72	$65.38	$63.93
Max Pain	$62.71	$60.00	$63.00	$60.00	$63.00
ATM IV	20.8%	14.9%	27.2%	15.5%	27.0%
Expected Move	5.5%	3.1%	7.8%	4.4%	7.8%
HV 20d	6.9%	4.5%	11.9%	7.2%	11.9%
HV 60d	7.6%	7.0%	9.1%	8.8%	9.1%
IV Rank	21.8%	11.4%	33.2%	12.4%	32.9%
IV Percentile	76.2%	43.7%	95.6%	50.0%	94.4%
Term Structure	-2.3%	-10.3%	3.4%	2.8%	-10.3%
VWIV	18.1%	18.1%	18.1%	18.1%	18.1%
Skew 25d	5.2%	-0.0%	13.2%	-0.0%	1.5%
Skew 10d	0.5%	-7.4%	4.7%	-7.4%	-1.9%
Call IV 25d	13.9%	9.2%	23.3%	12.9%	23.3%
Put IV 25d	19.1%	12.8%	24.8%	12.8%	24.8%
Bid-Ask Spread %	142.18	133.93	144.68	135.67	142.22
Gamma HHI	0.23	0.20	0.47	0.26	0.47
Net GEX	540	-19.3K	9.0K	4.6K	-19.3K
Net DEX	-31.4K	-76.9K	88.0K	-48.8K	88.0K
Net VEX	-370	-472	-269	-303	-471
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	4.048	0	30	20	30
Total OI	69.381	57	87	57	87

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	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2020-01-02	$65.38	$60.00	15.5%	4.4%	7.2%	12.4%	0.0%	-0.0%	2.8%	4.6K	-48.8K	-303	135.67	N/A	N/A	0	20	25	32
2020-01-03	$65.20	$60.00	27.2%	7.8%	7.0%	33.2%	0.0%	3.9%	-8.8%	-3.5K	-8.4K	-472	143.34	N/A	N/A	0	0	25	52
2020-01-06	$65.17	$63.00	14.9%	4.9%	7.0%	11.4%	0.0%	4.9%	1.0%	-913	-15.9K	-442	142.19	N/A	N/A	0	0	25	52
2020-01-07	$65.24	$63.00	15.6%	5.0%	6.3%	12.6%	0.0%	6.3%	-2.9%	-4.9K	-5.3K	-420	140.86	N/A	N/A	0	0	25	52
2020-01-08	$65.58	$63.00	24.8%	5.1%	6.2%	28.8%	0.0%	7.1%	-3.9%	-3.5K	-16.2K	-410	142.58	N/A	N/A	0	0	25	52
2020-01-09	$65.67	$63.00	20.8%	3.1%	6.0%	21.8%	0.0%	4.2%	-1.7%	-94	-28.8K	-408	142.46	N/A	N/A	0	0	25	52
2020-01-10	$65.47	$63.00	19.2%	4.8%	6.3%	19.0%	0.0%	5.2%	-6.4%	-508	-24.9K	-395	142.86	N/A	N/A	4	0	25	52
2020-01-13	$65.87	$63.00	25.4%	4.4%	5.6%	29.9%	0.0%	2.6%	1.0%	2.4K	-47.6K	-386	143.75	N/A	N/A	0	0	27	52
2020-01-14	$66.04	$63.00	19.8%	4.0%	4.9%	20.1%	0.0%	4.2%	3.0%	3.7K	-52.1K	-378	133.93	N/A	N/A	0	0	27	52
2020-01-15	$65.98	$63.00	18.3%	5.3%	4.5%	17.4%	0.0%	4.2%	-1.8%	471	-44.0K	-403	143.93	N/A	N/A	1	0	27	52
2020-01-16	$66.58	$63.00	18.0%	5.2%	5.3%	16.9%	0.0%	5.1%	-1.3%	2.5K	-61.2K	-383	144.61	N/A	N/A	0	0	27	52
2020-01-17	$66.72	$63.00	16.1%	4.6%	5.3%	13.5%	0.0%	5.9%	3.4%	9.0K	-76.9K	-302	143.88	N/A	N/A	0	0	27	52
2020-01-21	$66.47	$63.00	19.7%	5.7%	5.6%	19.9%	0.0%	1.0%	-2.1%	7.2K	-68.5K	-296	139.29	N/A	N/A	0	0	27	30
2020-01-22	$66.45	$63.00	19.4%	5.6%	5.3%	19.3%	0.0%	2.3%	-2.1%	7.3K	-65.6K	-301	140.18	N/A	N/A	0	0	27	30
2020-01-23	$66.60	$63.00	18.9%	5.4%	5.3%	18.5%	0.0%	9.0%	-1.6%	3.9K	-61.8K	-339	143.56	N/A	N/A	0	0	27	30
2020-01-24	$65.69	$63.00	20.6%	5.9%	7.4%	21.4%	0.0%	6.1%	-1.7%	1.4K	-35.0K	-360	144.68	N/A	N/A	0	0	27	30
2020-01-27	$64.75	$63.00	23.6%	6.8%	9.1%	26.8%	0.0%	6.6%	-1.1%	-804	-8.2K	-350	143.72	N/A	N/A	0	0	27	30
2020-01-28	$65.44	$63.00	23.2%	6.6%	9.9%	26.0%	0.0%	13.2%	-6.1%	1.1K	-28.1K	-338	144.23	N/A	N/A	0	0	27	30
2020-01-29	$65.22	$63.00	24.1%	6.9%	9.9%	27.7%	0.0%	6.5%	-4.7%	65	-23.4K	-337	144.11	N/A	N/A	0	0	27	30
2020-01-30	$65.18	$63.00	23.9%	6.9%	9.8%	27.3%	18.1%	9.3%	-2.7%	1.3K	-27.6K	-269	143.64	N/A	N/A	0	30	27	30
2020-01-31	$63.93	$63.00	27.0%	7.8%	11.9%	32.9%	0.0%	1.5%	-10.3%	-19.3K	88.0K	-471	142.22	N/A	N/A	30	0	27	60