FEX Options History — June 2020

In June 2020, FEX traded between $57.80 and $64.59. ATM implied volatility averaged 34.4%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 0.9% (HV 20d: 35.3%). Max pain ranged from $53.00 to $53.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.66.

Notable Days

2020-06-04: Highest Volume — 81 contracts
2020-06-10: Largest IV spike — 39.2% change
2020-06-12: Highest IV Rank — 54.3%
2020-06-12: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.34	$57.80	$64.59	$59.19	$59.49
Max Pain	$53.00	$53.00	$53.00	$53.00	$53.00
ATM IV	34.4%	21.2%	49.8%	32.1%	32.4%
Expected Move	9.8%	5.5%	14.3%	9.2%	9.3%
HV 20d	35.3%	30.9%	40.0%	30.9%	37.4%
HV 60d	47.8%	38.2%	60.8%	60.8%	38.2%
IV Rank	34.1%	16.7%	54.3%	31.0%	31.4%
IV Percentile	76.6%	51.6%	90.9%	79.0%	73.8%
Term Structure	-6.3%	-25.7%	3.5%	-1.5%	-7.6%
VWIV	34.1%	34.1%	34.1%	34.1%	34.1%
Skew 25d	11.8%	-3.9%	36.4%	13.9%	12.8%
Skew 10d	9.2%	-4.5%	23.1%	15.2%	2.0%
Call IV 25d	27.3%	16.6%	46.9%	18.8%	24.9%
Put IV 25d	39.1%	22.9%	59.1%	32.8%	37.7%
Bid-Ask Spread %	139.50	110.31	165.04	110.31	136.89
Gamma HHI	0.30	0.13	0.49	0.18	0.46
Net GEX	1.2K	-938	6.1K	522	-218
Net DEX	-1.3K	-20.3K	12.5K	-532	1.5K
Net VEX	-58	-124	-16	-54	-16
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.00	1.31	1.31	0.00
Total Volume	5.773	0	81	0	4
Total OI	74.727	42	90	90	42

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
2020-06-01	$59.19	$53.00	32.1%	9.2%	30.9%	31.0%	0.0%	13.9%	-1.5%	522	-532	-54	0.00	110.31	N/A	N/A	0	0	34	56
2020-06-02	$59.53	$53.00	22.3%	6.4%	30.9%	18.2%	0.0%	6.4%	-0.5%	829	-2.1K	-26	0.00	120.64	N/A	N/A	0	0	34	56
2020-06-03	$61.17	$53.00	25.4%	7.3%	31.8%	22.3%	0.0%	9.1%	-1.3%	2.0K	-8.6K	-30	0.00	118.78	N/A	N/A	0	0	34	56
2020-06-04	$60.92	$0.00	21.2%	6.9%	31.6%	16.7%	0.0%	4.6%	3.5%	1.6K	-5.9K	-29	1.31	120.45	N/A	N/A	35	46	34	56
2020-06-05	$63.01	$0.00	26.3%	5.9%	32.8%	23.4%	0.0%	9.7%	2.5%	4.9K	-17.5K	-47	0.00	149.65	N/A	N/A	0	0	34	56
2020-06-08	$64.59	$0.00	21.5%	5.5%	32.8%	17.1%	0.0%	-2.1%	1.6%	6.1K	-20.3K	-39	0.00	146.44	N/A	N/A	0	0	34	56
2020-06-09	$63.49	$0.00	26.2%	6.8%	33.8%	23.2%	0.0%	-3.9%	1.3%	5.4K	-19.3K	-42	0.00	146.16	N/A	N/A	0	0	34	56
2020-06-10	$62.36	$0.00	36.4%	10.4%	33.3%	36.7%	0.0%	13.5%	-12.7%	4.6K	-16.5K	-46	0.00	150.73	N/A	N/A	0	0	34	56
2020-06-11	$58.19	$0.00	36.7%	10.5%	40.0%	37.1%	0.0%	15.6%	-11.6%	-432	9.9K	-124	0.00	138.69	N/A	N/A	0	0	34	56
2020-06-12	$58.87	$0.00	49.8%	14.3%	39.8%	54.3%	0.0%	2.1%	-25.7%	128	2.3K	-61	0.00	165.04	N/A	N/A	0	0	34	56
2020-06-15	$59.69	$0.00	44.2%	12.7%	39.9%	46.9%	0.0%	11.4%	-12.6%	790	1.7K	-82	0.00	154.68	N/A	N/A	0	0	34	56
2020-06-16	$60.95	$0.00	46.7%	13.4%	36.3%	50.2%	0.0%	8.5%	-10.9%	1.9K	-2.5K	-87	0.00	150.70	N/A	N/A	0	0	34	56
2020-06-17	$60.64	$0.00	37.5%	10.7%	36.1%	38.1%	0.0%	14.2%	-2.3%	1.1K	-1.9K	-51	0.00	143.96	N/A	N/A	0	0	34	56
2020-06-18	$60.58	$0.00	47.7%	13.7%	36.0%	51.6%	0.0%	16.8%	-22.3%	785	3.8K	-96	0.00	158.37	N/A	N/A	0	0	34	56
2020-06-19	$60.44	$0.00	39.6%	11.4%	35.9%	41.0%	0.0%	14.9%	-11.2%	-552	5.3K	-51	0.00	152.12	N/A	N/A	0	0	34	56
2020-06-22	$60.32	$0.00	34.1%	9.8%	36.0%	33.7%	0.0%	11.0%	-0.3%	-570	4.4K	-44	0.00	160.24	N/A	N/A	0	0	0	42
2020-06-23	$60.53	$0.00	31.8%	9.1%	34.8%	30.6%	0.0%	24.2%	-1.5%	-482	3.4K	-33	0.00	125.33	N/A	N/A	0	42	0	42
2020-06-24	$58.65	$0.00	32.8%	9.4%	36.3%	31.9%	0.0%	12.8%	-2.6%	-859	12.5K	-114	0.00	125.35	N/A	N/A	0	0	0	42
2020-06-25	$58.86	$0.00	34.8%	10.0%	36.4%	34.6%	0.0%	17.5%	-2.0%	-566	5.1K	-50	0.00	127.21	N/A	N/A	0	0	0	42
2020-06-26	$57.80	$0.00	39.3%	11.3%	36.9%	40.6%	0.0%	36.4%	-13.7%	-593	6.0K	-59	0.00	131.56	N/A	N/A	0	0	0	42
2020-06-29	$58.31	$0.00	38.0%	10.9%	36.7%	38.9%	0.0%	9.4%	-7.9%	-938	11.2K	-97	0.00	135.64	N/A	N/A	0	0	0	42
2020-06-30	$59.49	$0.00	32.4%	9.3%	37.4%	31.4%	34.1%	12.8%	-7.6%	-218	1.5K	-16	0.00	136.89	N/A	N/A	4	0	0	42