FEX Options History — July 2020

In July 2020, FEX traded between $59.31 and $62.60. ATM implied volatility averaged 35.9%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 13.4% (HV 20d: 22.4%). Max pain ranged from $58.00 to $58.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 5.25.

Notable Days

2020-07-15: Highest Volume — 50 contracts
2020-07-15: Largest IV drop — 50.9% change
2020-07-07: Highest IV Rank — 72.0%
2020-07-02: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.10	$59.31	$62.60	$59.65	$62.08
Max Pain	$58.00	$58.00	$58.00	$58.00	$58.00
ATM IV	35.9%	22.7%	63.3%	46.8%	28.3%
Expected Move	8.7%	6.5%	14.1%	13.4%	8.1%
HV 20d	22.4%	14.6%	36.0%	36.0%	15.0%
HV 60d	32.0%	28.9%	35.2%	35.2%	29.0%
IV Rank	36.0%	18.7%	72.0%	50.3%	26.1%
IV Percentile	71.4%	44.0%	95.6%	89.3%	63.9%
Term Structure	-2.8%	-29.1%	5.7%	-29.1%	-6.9%
VWIV	38.5%	38.5%	38.5%	38.5%	38.5%
Skew 25d	8.7%	2.0%	16.2%	5.8%	6.2%
Skew 10d	8.6%	5.8%	20.2%	5.8%	13.5%
Call IV 25d	23.9%	14.4%	41.7%	36.5%	24.1%
Put IV 25d	32.7%	24.3%	44.0%	42.3%	30.2%
Bid-Ask Spread %	135.09	106.07	144.77	137.98	111.83
Gamma HHI	0.69	0.37	0.89	0.37	0.88
Net GEX	759	231	1.4K	231	1.0K
Net DEX	-9.3K	-22.0K	-6.1K	-7.0K	-7.0K
Net VEX	-39	-91	-20	-91	-35
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.25	0.00	10.50	0.00	5.25
Total Volume	4.591	0	50	4	1
Total OI	45.773	45	49	46	46

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
2020-07-01	$59.65	$58.00	46.8%	13.4%	36.0%	50.3%	38.5%	5.8%	-29.1%	231	-7.0K	-91	0.00	137.98	N/A	N/A	4	0	4	42
2020-07-02	$59.89	$58.00	49.0%	14.1%	36.0%	53.3%	0.0%	5.2%	-21.5%	510	-9.9K	-34	0.00	143.71	N/A	N/A	0	0	3	42
2020-07-06	$60.49	$0.00	52.6%	9.8%	33.9%	58.0%	0.0%	11.9%	1.9%	279	-9.1K	-47	10.50	133.51	N/A	N/A	4	42	3	42
2020-07-07	$59.74	$0.00	63.3%	8.6%	32.6%	72.0%	0.0%	2.0%	0.7%	385	-9.2K	-31	0.00	139.71	N/A	N/A	0	0	3	42
2020-07-08	$60.07	$0.00	36.1%	8.8%	32.4%	36.3%	0.0%	16.2%	0.2%	816	-10.7K	-30	0.00	124.94	N/A	N/A	0	0	3	42
2020-07-09	$59.31	$0.00	38.0%	9.2%	32.1%	38.8%	0.0%	14.1%	-0.5%	601	-8.5K	-36	0.00	123.80	N/A	N/A	0	0	3	42
2020-07-10	$60.10	$0.00	40.3%	8.2%	20.7%	41.8%	0.0%	11.7%	3.4%	620	-10.6K	-29	0.00	142.60	N/A	N/A	0	0	3	42
2020-07-13	$59.75	$0.00	51.0%	8.3%	20.5%	55.9%	0.0%	4.6%	1.3%	547	-9.2K	-33	0.00	138.45	N/A	N/A	0	0	3	42
2020-07-14	$60.18	$0.00	57.7%	8.8%	20.0%	64.7%	0.0%	12.2%	2.7%	626	-10.7K	-24	0.00	143.52	N/A	N/A	0	0	3	42
2020-07-15	$61.54	$0.00	28.3%	8.1%	20.2%	26.1%	0.0%	10.7%	2.2%	495	-14.2K	-20	5.25	142.32	N/A	N/A	8	42	3	42
2020-07-16	$61.35	$0.00	30.0%	8.6%	20.2%	28.3%	0.0%	9.2%	0.4%	1.4K	-22.0K	-53	0.00	142.75	N/A	N/A	0	0	7	42
2020-07-17	$61.61	$0.00	28.1%	8.1%	20.2%	25.8%	0.0%	8.6%	-0.4%	726	-12.5K	-51	0.00	141.75	N/A	N/A	0	0	5	42
2020-07-20	$61.79	$0.00	28.0%	8.0%	20.2%	25.7%	0.0%	7.5%	-2.3%	896	-6.1K	-40	0.00	144.77	N/A	N/A	0	0	4	42
2020-07-21	$62.10	$0.00	28.4%	8.2%	20.2%	26.2%	0.0%	7.1%	-3.7%	970	-7.0K	-42	0.00	144.48	N/A	N/A	0	0	4	42
2020-07-22	$62.46	$0.00	28.8%	8.2%	20.3%	26.7%	0.0%	9.5%	-2.6%	1.0K	-7.0K	-39	0.00	143.41	N/A	N/A	0	0	4	42
2020-07-23	$62.10	$0.00	26.5%	7.6%	16.4%	23.7%	0.0%	5.1%	-1.9%	1.1K	-7.7K	-43	0.00	137.02	N/A	N/A	0	0	4	42
2020-07-24	$61.57	$0.00	27.1%	7.8%	16.8%	24.4%	0.0%	7.0%	-2.5%	808	-7.0K	-42	0.00	137.07	N/A	N/A	0	0	4	42
2020-07-27	$61.95	$0.00	27.4%	7.9%	15.1%	24.9%	0.0%	9.2%	-3.8%	879	-7.3K	-38	0.00	138.63	N/A	N/A	0	0	4	42
2020-07-28	$61.64	$0.00	24.2%	6.9%	15.2%	20.7%	0.0%	4.5%	0.4%	904	-6.4K	-35	0.00	130.35	N/A	N/A	0	0	4	42
2020-07-29	$62.60	$0.00	26.0%	7.5%	14.6%	23.0%	0.0%	13.7%	-5.5%	901	-8.2K	-37	0.00	123.31	N/A	N/A	0	0	4	42
2020-07-30	$62.20	$0.00	22.7%	6.5%	14.9%	18.7%	0.0%	10.0%	5.7%	1.0K	-7.3K	-35	0.00	106.07	N/A	N/A	0	0	4	42
2020-07-31	$62.08	$0.00	28.3%	8.1%	15.0%	26.1%	0.0%	6.2%	-6.9%	1.0K	-7.0K	-35	0.00	111.83	N/A	N/A	0	1	4	42