FEX Options History — March 2020 In March 2020, FEX traded between $40.67 and $61.00. ATM implied volatility averaged 60.1%, placing in the 76.7% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 0.8% (HV 20d: 60.9%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 10.00.
Notable Days 2020-03-10 : Highest Volume — 23 contracts2020-03-16 : Largest IV spike — 42.1% change2020-03-16 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 24.2%Monthly Statistics Metric Avg Min Max Open Close Price $49.83 $40.67 $61.00 $59.95 $47.72 Max Pain $43.33 $40.00 $60.00 $60.00 $40.00 ATM IV 60.1% 33.4% 84.5% 38.6% 53.0% Expected Move 16.9% 9.6% 24.2% 11.1% 15.2% HV 20d 60.9% 30.5% 89.1% 30.9% 86.9% HV 60d 38.0% 19.5% 53.2% 19.5% 53.2% IV Rank 76.7% 44.1% 100.0% 53.4% 58.5% IV Percentile 97.9% 93.3% 100.0% 98.8% 93.3% Term Structure -8.4% -18.6% -3.1% -5.1% -8.0% VWIV 79.3% 76.1% 82.5% 82.5% 76.1% Skew 25d 19.5% 5.0% 42.9% 17.7% 28.2% Skew 10d 26.4% 8.1% 51.2% 10.5% 47.9% Call IV 25d 46.4% 23.2% 64.7% 24.9% 30.9% Put IV 25d 65.9% 37.5% 90.7% 42.6% 59.1% Bid-Ask Spread % 119.49 93.35 140.55 140.55 113.38 Gamma HHI 0.32 0.16 0.63 0.55 0.19 Net GEX -36 -3.2K 5.9K 5.0K -2.9K Net DEX 31.0K -48.0K 110.0K -43.4K 67.8K Net VEX -393 -616 -165 -281 -511 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 10.00 10.00 10.00 10.00 10.00 Total Volume 3.136 0 23 0 0 Total OI 70 37 103 37 98
Daily Data (22 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 2020-03-02 $59.95 $60.00 38.6% 11.1% 30.9% 53.4% 0.0% 17.7% -5.1% 5.0K -43.4K -281 0.00 140.55 N/A N/A 0 0 37 0 2020-03-03 $59.57 $60.00 39.5% 11.3% 30.5% 55.0% 0.0% 13.0% -8.2% 4.8K -38.1K -275 0.00 131.62 N/A N/A 0 0 37 0 2020-03-04 $61.00 $60.00 33.4% 9.6% 31.2% 44.1% 0.0% 14.3% -3.1% 5.9K -48.0K -304 0.00 139.24 N/A N/A 0 0 37 0 2020-03-05 $58.85 $0.00 42.1% 11.0% 32.7% 59.7% 0.0% 27.4% -4.7% 4.4K -33.5K -241 0.00 116.50 N/A N/A 0 0 37 0 2020-03-06 $57.37 $0.00 53.4% 12.7% 33.3% 79.6% 0.0% 18.6% -7.3% 3.6K -33.3K -237 0.00 115.42 N/A N/A 0 0 37 0 2020-03-09 $53.00 $0.00 62.3% 14.6% 41.9% 95.4% 0.0% 7.2% -4.5% 1.9K -18.2K -165 0.00 111.88 N/A N/A 0 0 37 0 2020-03-10 $54.61 $0.00 52.0% 14.4% 44.2% 77.2% 82.5% 12.0% -14.4% 2.5K -30.1K -239 0.00 105.55 N/A N/A 0 23 37 0 2020-03-11 $52.02 $40.00 52.0% 14.9% 45.6% 77.2% 0.0% 19.4% -5.2% 321 11.6K -321 0.00 100.11 N/A N/A 0 0 37 23 2020-03-12 $47.11 $40.00 63.9% 18.3% 54.4% 98.2% 0.0% 5.0% -10.6% -685 32.5K -251 0.00 121.23 N/A N/A 0 0 37 23 2020-03-13 $48.86 $40.00 57.9% 16.6% 57.5% 87.6% 0.0% 14.8% -9.0% -636 28.0K -245 0.00 118.39 N/A N/A 0 13 37 23 2020-03-16 $44.90 $40.00 82.3% 23.6% 62.0% 100.0% 0.0% 23.4% -6.9% -522 40.2K -384 0.00 132.56 N/A N/A 0 0 37 33 2020-03-17 $45.76 $40.00 75.9% 21.8% 63.2% 91.4% 0.0% 26.1% -9.1% -849 43.7K -356 10.00 131.40 N/A N/A 1 10 37 33 2020-03-18 $41.67 $40.00 84.5% 24.2% 67.7% 100.0% 0.0% 27.4% -8.9% -1.3K 63.9K -441 0.00 126.50 N/A N/A 0 10 38 43 2020-03-19 $44.06 $40.00 71.5% 20.5% 73.1% 82.8% 76.1% 17.0% -13.6% -2.2K 73.8K -498 0.00 118.33 N/A N/A 0 12 38 53 2020-03-20 $42.36 $40.00 75.5% 21.7% 73.3% 88.2% 0.0% 32.5% -6.3% -2.7K 90.7K -616 0.00 130.23 N/A N/A 0 0 38 65 2020-03-23 $40.67 $40.00 70.7% 20.3% 73.6% 81.9% 0.0% 13.8% -11.6% -2.7K 110.0K -578 0.00 127.03 N/A N/A 0 0 33 65 2020-03-24 $44.79 $40.00 61.3% 17.6% 84.7% 69.4% 0.0% 8.6% -10.0% -3.2K 90.1K -562 0.00 127.75 N/A N/A 0 0 33 65 2020-03-25 $47.51 $40.00 66.4% 19.0% 88.8% 76.1% 0.0% 16.0% -18.6% -2.8K 69.8K -561 0.00 125.83 N/A N/A 0 0 33 65 2020-03-26 $48.28 $40.00 62.5% 17.9% 89.1% 71.0% 0.0% 23.3% -8.1% -2.7K 66.1K -536 0.00 105.43 N/A N/A 0 0 33 65 2020-03-27 $47.81 $40.00 63.5% 18.2% 88.5% 72.4% 0.0% 42.9% -7.0% -2.9K 70.4K -535 0.00 93.35 N/A N/A 0 0 33 65 2020-03-30 $48.49 $40.00 60.6% 17.4% 86.9% 68.6% 0.0% 20.6% -3.9% -3.1K 67.6K -498 0.00 96.42 N/A N/A 0 0 33 65 2020-03-31 $47.72 $40.00 53.0% 15.2% 86.9% 58.5% 0.0% 28.2% -8.0% -2.9K 67.8K -511 0.00 113.38 N/A N/A 0 0 33 65
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