FEX Options History — February 2020 In February 2020, FEX traded between $57.46 and $67.45. ATM implied volatility averaged 22.7%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.1% (HV 20d: 16.6%). Max pain ranged from $60.00 to $63.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2020-02-19 : Highest Volume — 2 contracts2020-02-21 : Largest IV spike — 39.4% change2020-02-28 : Highest IV Rank — 65.3%2020-02-28 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $65.12 $57.46 $67.45 $64.60 $57.46 Max Pain $60.47 $60.00 $63.00 $63.00 $60.00 ATM IV 22.7% 14.2% 45.3% 23.7% 45.3% Expected Move 6.9% 4.4% 13.0% 6.8% 13.0% HV 20d 16.6% 12.6% 26.3% 12.6% 26.3% HV 60d 11.4% 9.3% 17.4% 9.3% 17.4% IV Rank 25.2% 10.0% 65.3% 27.0% 65.3% IV Percentile 72.3% 30.6% 99.2% 89.7% 99.2% Term Structure -5.5% -12.4% 0.3% -1.8% -9.2% Skew 25d 9.1% 2.9% 14.5% 10.5% 12.4% Skew 10d 4.7% -2.1% 17.9% -1.0% 15.1% Call IV 25d 16.6% 8.4% 35.1% 18.0% 35.1% Put IV 25d 25.7% 15.4% 47.5% 28.5% 47.5% Bid-Ask Spread % 135.74 121.46 164.96 134.08 164.96 Gamma HHI 0.46 0.29 0.66 0.30 0.56 Net GEX 17.8K -3.4K 37.5K -3.4K 3.6K Net DEX -125.9K -201.5K -17.1K -17.1K -39.7K Net VEX -539 -786 -264 -786 -291 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 0.105 0 2 0 0 Total OI 95.947 37 117 117 37
Daily Data (19 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 2020-02-03 $64.60 $63.00 23.7% 6.8% 12.6% 27.0% 0.0% 10.5% -1.8% -3.4K -17.1K -786 0.00 134.08 N/A N/A 0 0 57 60 2020-02-04 $65.76 $63.00 21.2% 6.1% 14.1% 22.5% 0.0% 2.9% -6.2% -931 -108.4K -746 0.00 133.12 N/A N/A 0 0 57 60 2020-02-05 $66.40 $63.00 15.3% 4.4% 14.5% 12.0% 0.0% 5.3% 0.1% 20.2K -141.5K -641 0.00 131.55 N/A N/A 0 0 57 60 2020-02-06 $66.47 $60.00 14.6% 6.7% 14.4% 10.9% 0.0% 9.6% -12.4% 23.1K -149.1K -656 0.00 121.80 N/A N/A 0 0 57 60 2020-02-07 $65.99 $60.00 17.2% 6.6% 14.7% 15.3% 0.0% 12.0% -8.1% 17.2K -139.5K -607 0.00 130.31 N/A N/A 0 0 57 60 2020-02-10 $66.10 $60.00 15.5% 5.5% 14.6% 12.3% 0.0% 13.5% -3.9% 21.7K -142.1K -591 0.00 133.47 N/A N/A 0 0 57 60 2020-02-11 $66.76 $60.00 14.2% 5.4% 14.9% 10.0% 0.0% 14.5% -5.2% 30.1K -168.7K -601 0.00 128.21 N/A N/A 0 0 57 60 2020-02-12 $67.19 $60.00 18.2% 5.2% 15.0% 17.2% 0.0% 3.7% -4.5% 37.5K -184.5K -597 0.00 132.22 N/A N/A 0 0 57 60 2020-02-13 $67.10 $60.00 16.7% 4.8% 15.0% 14.4% 0.0% 8.5% -0.2% 36.8K -188.1K -597 0.00 136.53 N/A N/A 0 0 57 60 2020-02-14 $67.10 $60.00 22.5% 6.5% 14.7% 24.8% 0.0% 14.1% -7.5% 19.1K -174.7K -613 0.00 135.32 N/A N/A 0 0 57 60 2020-02-18 $67.04 $60.00 21.0% 6.0% 14.7% 22.1% 0.0% 5.5% -8.1% 34.1K -183.8K -556 0.00 139.25 N/A N/A 0 0 57 60 2020-02-19 $67.45 $60.00 20.0% 5.7% 14.8% 20.3% 0.0% 8.2% -6.0% 31.8K -201.5K -550 0.00 141.00 N/A N/A 2 0 57 60 2020-02-20 $67.31 $60.00 16.7% 4.8% 14.8% 14.4% 0.0% 9.4% 0.0% 30.8K -194.3K -532 0.00 121.46 N/A N/A 0 0 57 60 2020-02-21 $66.48 $60.00 23.2% 6.7% 15.5% 26.1% 0.0% 5.5% -8.9% 9.4K -124.4K -499 0.00 140.37 N/A N/A 0 0 57 60 2020-02-24 $64.53 $60.00 26.2% 7.5% 18.2% 31.4% 0.0% 7.4% 0.3% 8.6K -89.6K -456 0.00 140.28 N/A N/A 0 0 37 0 2020-02-25 $62.30 $60.00 30.7% 8.8% 21.4% 39.4% 0.0% 10.0% -5.8% 6.5K -65.9K -386 0.00 139.08 N/A N/A 0 0 37 0 2020-02-26 $61.64 $60.00 31.9% 9.1% 21.1% 41.5% 0.0% 7.8% -10.1% 6.4K -40.0K -274 0.00 140.59 N/A N/A 0 0 37 0 2020-02-27 $59.63 $60.00 37.2% 10.7% 23.7% 50.8% 0.0% 11.0% -7.3% 4.8K -39.4K -264 0.00 135.42 N/A N/A 0 0 37 0 2020-02-28 $57.46 $60.00 45.3% 13.0% 26.3% 65.3% 0.0% 12.4% -9.2% 3.6K -39.7K -291 0.00 164.96 N/A N/A 0 0 37 0
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