FEX Options History — April 2020 In April 2020, FEX traded between $44.76 and $56.41. ATM implied volatility averaged 40.8%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 27.0% (HV 20d: 67.8%). Max pain ranged from $40.00 to $49.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days.
Notable Days 2020-04-03 : Highest Volume — 2 contracts2020-04-20 : Largest IV spike — 27.1% change2020-04-01 : Highest IV Rank — 68.6%2020-04-01 : Largest Expected Move — 17.4%Monthly Statistics Metric Avg Min Max Open Close Price $51.07 $44.76 $56.41 $44.93 $54.99 Max Pain $48.50 $40.00 $49.00 $40.00 $49.00 ATM IV 40.8% 29.7% 60.7% 60.7% 31.2% Expected Move 11.6% 8.5% 17.4% 17.4% 8.9% HV 20d 67.8% 43.3% 89.3% 87.5% 43.3% HV 60d 58.3% 54.4% 60.5% 54.4% 60.5% IV Rank 42.5% 27.9% 68.6% 68.6% 29.8% IV Percentile 87.5% 79.4% 94.4% 94.4% 81.3% Term Structure -0.4% -12.3% 10.6% -12.3% 6.0% VWIV 41.0% 41.0% 41.0% 41.0% 41.0% Skew 25d 14.9% 3.8% 24.2% 9.7% 10.8% Skew 10d 22.0% 6.1% 49.8% 47.7% 19.8% Call IV 25d 29.6% 21.7% 40.3% 40.3% 31.4% Put IV 25d 44.5% 35.0% 60.2% 50.0% 42.2% Bid-Ask Spread % 106.76 72.29 121.53 107.58 110.14 Gamma HHI 0.25 0.19 0.30 0.19 0.24 Net GEX -2.6K -3.7K -1.4K -3.2K -1.4K Net DEX 44.8K 13.6K 87.9K 87.9K 26.0K Net VEX -369 -530 -202 -530 -361 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.143 0 2 0 0 Total OI 94.095 88 99 98 88
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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-04-01 $44.93 $40.00 60.7% 17.4% 87.5% 68.6% 0.0% 9.7% -12.3% -3.2K 87.9K -530 0.00 107.58 N/A N/A 0 0 33 65 2020-04-02 $45.53 $0.00 52.0% 14.2% 87.7% 57.3% 0.0% 22.0% -1.1% -3.5K 82.5K -505 0.00 72.29 N/A N/A 0 0 33 65 2020-04-03 $44.76 $0.00 48.6% 13.8% 87.6% 52.8% 0.0% 17.9% -4.3% -3.7K 81.9K -475 0.00 79.25 N/A N/A 0 2 33 65 2020-04-06 $48.30 $0.00 43.6% 11.8% 89.3% 46.2% 41.0% 10.9% -2.5% -3.2K 61.5K -426 0.00 76.20 N/A N/A 0 1 33 65 2020-04-07 $49.44 $49.00 48.4% 12.7% 88.9% 52.5% 0.0% 23.2% -3.9% -3.0K 49.3K -386 0.00 107.64 N/A N/A 0 0 33 66 2020-04-08 $50.91 $49.00 40.8% 11.7% 88.2% 42.5% 0.0% 14.7% 0.4% -2.5K 43.3K -382 0.00 113.75 N/A N/A 0 0 33 66 2020-04-09 $52.31 $49.00 43.2% 12.4% 80.6% 45.6% 0.0% 13.4% -4.6% -2.0K 36.0K -382 0.00 100.65 N/A N/A 0 0 33 66 2020-04-13 $51.33 $49.00 41.1% 11.8% 80.2% 42.9% 0.0% 15.3% -2.8% -2.4K 41.4K -379 0.00 107.12 N/A N/A 0 0 33 66 2020-04-14 $52.55 $49.00 35.6% 10.2% 73.5% 35.7% 0.0% 15.8% -0.5% -2.3K 34.5K -345 0.00 115.93 N/A N/A 0 0 33 66 2020-04-15 $50.99 $49.00 39.8% 11.4% 74.6% 41.2% 0.0% 10.7% -1.7% -2.7K 47.4K -393 0.00 118.02 N/A N/A 0 0 33 66 2020-04-16 $50.75 $49.00 40.7% 11.7% 65.0% 42.4% 0.0% 24.2% -1.9% -2.9K 46.3K -366 0.00 103.84 N/A N/A 0 0 33 66 2020-04-17 $52.68 $49.00 36.1% 10.3% 63.6% 36.3% 0.0% 21.2% -0.3% -2.5K 34.0K -309 0.00 105.95 N/A N/A 0 0 33 66 2020-04-20 $51.92 $49.00 45.9% 13.1% 61.7% 49.1% 0.0% 23.2% -3.9% -2.6K 37.8K -315 0.00 98.92 N/A N/A 0 0 33 55 2020-04-21 $50.43 $49.00 43.9% 12.6% 60.5% 46.5% 0.0% 3.8% -1.0% -2.5K 49.1K -395 0.00 113.33 N/A N/A 0 0 33 55 2020-04-22 $51.56 $49.00 40.8% 11.7% 51.6% 42.4% 0.0% 11.6% 6.1% -2.6K 45.8K -385 0.00 116.87 N/A N/A 0 0 33 55 2020-04-23 $51.84 $49.00 39.0% 11.2% 47.9% 40.1% 0.0% 12.2% -0.7% -2.5K 39.1K -349 0.00 121.53 N/A N/A 0 0 33 55 2020-04-24 $52.56 $49.00 33.6% 9.6% 47.8% 33.0% 0.0% 18.4% 10.6% -2.4K 32.8K -337 0.00 116.83 N/A N/A 0 0 33 55 2020-04-27 $53.94 $49.00 30.5% 8.7% 48.1% 28.9% 0.0% 5.8% 7.9% -2.2K 24.4K -264 0.00 117.47 N/A N/A 0 0 33 55 2020-04-28 $54.36 $49.00 32.1% 9.2% 48.0% 31.0% 0.0% 15.4% 4.8% -2.3K 25.6K -253 0.00 117.55 N/A N/A 0 0 33 55 2020-04-29 $56.41 $49.00 29.7% 8.5% 48.5% 27.9% 0.0% 12.0% -3.3% -2.0K 13.6K -202 0.00 121.09 N/A N/A 0 0 33 55 2020-04-30 $54.99 $49.00 31.2% 8.9% 43.3% 29.8% 0.0% 10.8% 6.0% -1.4K 26.0K -361 0.00 110.14 N/A N/A 0 0 33 55
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