FEX Options History — May 2020 In May 2020, FEX traded between $51.99 and $58.52. ATM implied volatility averaged 31.2%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 6.8% (HV 20d: 37.9%). Max pain ranged from $49.00 to $53.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2020-05-04 : Highest Volume — 2 contracts2020-05-12 : Largest IV spike — 60.2% change2020-05-12 : Highest IV Rank — 54.9%2020-05-01 : Largest Expected Move — 10.3%Monthly Statistics Metric Avg Min Max Open Close Price $55.10 $51.99 $58.52 $52.92 $58.36 Max Pain $52.80 $49.00 $53.00 $49.00 $53.00 ATM IV 31.2% 24.0% 50.2% 35.9% 25.4% Expected Move 8.4% 6.9% 10.3% 10.3% 7.3% HV 20d 37.9% 34.4% 46.5% 46.5% 34.4% HV 60d 61.6% 60.9% 63.0% 60.9% 61.2% IV Rank 29.8% 20.3% 54.9% 36.0% 22.2% IV Percentile 76.9% 65.1% 91.3% 84.1% 67.5% Term Structure 0.2% -9.0% 8.3% -0.5% 0.8% VWIV 22.3% 22.3% 22.3% 22.3% 22.3% Skew 25d 10.0% 0.4% 18.3% 13.6% 11.9% Skew 10d 13.2% 6.6% 35.8% 30.6% 18.3% Call IV 25d 22.5% 17.8% 35.3% 35.3% 21.0% Put IV 25d 32.5% 22.9% 48.9% 48.9% 32.9% Bid-Ask Spread % 111.87 85.85 122.16 85.85 113.48 Gamma HHI 0.27 0.19 0.34 0.33 0.24 Net GEX -2.2K -4.3K 428 -2.8K 428 Net DEX 21.3K -541 44.4K 40.3K -541 Net VEX -161 -332 -32 -332 -32 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 0.25 0 2 0 0 Total OI 88.7 87 90 88 90
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 2020-05-01 $52.92 $49.00 35.9% 10.3% 46.5% 36.0% 0.0% 13.6% -0.5% -2.8K 40.3K -332 0.00 85.85 N/A N/A 0 0 33 55 2020-05-04 $53.24 $53.00 40.2% 9.9% 45.6% 41.7% 0.0% 7.5% -2.4% -2.9K 25.9K -122 0.00 95.64 N/A N/A 0 2 32 55 2020-05-05 $53.51 $53.00 37.3% 9.3% 38.0% 37.8% 0.0% 13.8% 7.0% -2.7K 32.9K -264 0.00 101.61 N/A N/A 0 0 32 57 2020-05-06 $53.07 $53.00 35.1% 9.3% 37.7% 34.9% 0.0% 15.6% 1.2% -3.1K 37.7K -279 0.00 112.45 N/A N/A 0 0 32 57 2020-05-07 $54.05 $53.00 32.5% 8.9% 36.9% 31.5% 0.0% 6.3% 1.3% -2.8K 30.3K -217 0.00 117.44 N/A N/A 0 0 32 57 2020-05-08 $55.40 $53.00 25.7% 8.3% 36.7% 22.6% 0.0% 9.8% 1.0% -2.1K 20.6K -185 0.00 116.75 N/A N/A 0 0 32 57 2020-05-11 $55.23 $53.00 31.4% 8.0% 35.8% 30.1% 0.0% 6.9% 1.8% -2.5K 20.0K -166 0.00 117.12 N/A N/A 1 0 32 57 2020-05-12 $54.03 $53.00 50.2% 7.8% 36.1% 54.9% 0.0% 0.4% -1.1% -2.5K 21.5K -178 0.00 114.42 N/A N/A 0 0 33 57 2020-05-13 $51.99 $53.00 34.4% 9.9% 37.2% 34.1% 0.0% 17.7% -1.4% -3.5K 44.4K -298 0.00 105.09 N/A N/A 0 0 33 57 2020-05-14 $52.95 $53.00 28.1% 8.0% 37.6% 25.7% 0.0% 18.3% -1.5% -4.3K 36.9K -217 0.00 113.83 N/A N/A 0 0 33 57 2020-05-15 $53.12 $53.00 32.9% 9.4% 35.3% 32.1% 0.0% 10.6% -3.9% -3.6K 31.7K -194 0.00 115.20 N/A N/A 0 0 33 57 2020-05-18 $56.03 $53.00 25.9% 7.4% 39.4% 22.9% 0.0% 11.9% 5.0% -2.1K 16.1K -137 0.00 117.30 N/A N/A 0 0 32 56 2020-05-19 $55.50 $53.00 27.0% 7.7% 37.9% 24.3% 0.0% 2.5% 7.0% -2.2K 13.1K -88 0.00 120.15 N/A N/A 0 0 32 56 2020-05-20 $56.23 $53.00 26.5% 7.6% 37.4% 23.7% 0.0% 6.6% -3.9% -1.8K 11.2K -87 0.00 120.20 N/A N/A 0 0 32 56 2020-05-21 $55.92 $53.00 27.8% 8.0% 37.6% 25.3% 0.0% 5.5% 0.1% -2.1K 14.5K -117 0.00 112.31 N/A N/A 0 0 32 56 2020-05-22 $55.93 $53.00 26.7% 7.7% 37.4% 23.9% 0.0% 8.8% 8.3% -2.0K 11.0K -81 0.00 122.16 N/A N/A 0 0 32 56 2020-05-26 $57.52 $53.00 29.8% 8.6% 37.6% 28.1% 0.0% 13.7% -9.0% -924 7.1K -73 0.00 112.73 N/A N/A 0 0 32 56 2020-05-27 $58.52 $53.00 24.0% 6.9% 37.9% 20.3% 0.0% 6.8% -7.1% -851 5.0K -45 0.00 110.96 N/A N/A 0 0 32 56 2020-05-28 $58.41 $53.00 26.4% 7.6% 35.8% 23.5% 22.3% 11.6% 1.8% -435 6.2K -99 0.00 112.72 N/A N/A 2 0 32 56 2020-05-29 $58.36 $53.00 25.4% 7.3% 34.4% 22.2% 0.0% 11.9% 0.8% 428 -541 -32 0.00 113.48 N/A N/A 0 0 34 56
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