FEX Options History — August 2020 In August 2020, FEX traded between $62.80 and $65.44. ATM implied volatility averaged 24.6%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 13.9% (HV 20d: 10.7%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2020-08-25 : Highest Volume — 118 contracts2020-08-04 : Largest IV spike — 78.3% change2020-08-26 : Highest IV Rank — 30.0%2020-08-26 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $64.06 $62.80 $65.44 $62.80 $65.31 Max Pain $50.00 $50.00 $50.00 $50.00 $50.00 ATM IV 24.6% 17.1% 31.3% 17.1% 29.4% Expected Move 6.9% 4.9% 9.0% 4.9% 8.4% HV 20d 10.7% 7.2% 15.1% 15.1% 7.2% HV 60d 24.9% 21.7% 28.8% 28.8% 21.7% IV Rank 21.1% 11.3% 30.0% 11.3% 27.5% IV Percentile 47.5% 18.3% 68.3% 18.3% 64.3% Term Structure 1.7% -11.4% 8.7% 4.8% -11.4% Skew 25d 10.9% 1.0% 20.7% 16.4% 20.7% Skew 10d 14.6% -1.1% 27.7% -1.1% 11.1% Call IV 25d 20.1% 10.4% 28.0% 16.7% 19.1% Put IV 25d 31.0% 22.4% 39.7% 33.1% 39.7% Bid-Ask Spread % 115.07 100.48 139.69 111.58 112.09 Gamma HHI 0.71 0.18 0.90 0.82 0.18 Net GEX 3.8K 885 14.9K 1.0K 13.7K Net DEX -98.5K -502.0K -6.0K -6.4K -480.1K Net VEX -447 -2.1K -44 -53 -2.1K 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 5.619 0 118 0 0 Total OI 69.476 47 165 47 165
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 2020-08-03 $62.80 $0.00 17.1% 4.9% 15.1% 11.3% 0.0% 16.4% 4.8% 1.0K -6.4K -53 0.00 111.58 N/A N/A 0 0 4 43 2020-08-04 $62.84 $0.00 30.5% 8.8% 14.1% 29.0% 0.0% 1.0% -8.9% 885 -6.1K -56 0.00 139.69 N/A N/A 0 0 4 43 2020-08-05 $63.33 $0.00 24.8% 7.1% 14.2% 21.5% 0.0% 7.4% 0.9% 1.0K -7.0K -55 0.00 135.83 N/A N/A 0 0 4 43 2020-08-06 $63.31 $50.00 24.3% 7.2% 13.1% 20.8% 0.0% 7.9% 4.2% 1.0K -6.9K -54 0.00 127.36 N/A N/A 0 0 4 43 2020-08-07 $63.52 $50.00 30.8% 6.8% 12.5% 29.3% 0.0% 7.8% 4.6% 1.1K -7.4K -54 0.00 127.50 N/A N/A 0 0 4 43 2020-08-10 $63.98 $50.00 25.7% 6.9% 12.2% 22.6% 0.0% 8.4% 4.4% 1.1K -8.4K -53 0.00 127.40 N/A N/A 0 0 4 43 2020-08-11 $63.85 $50.00 25.8% 6.0% 12.3% 22.8% 0.0% 7.8% 8.7% 1.4K -7.7K -51 0.00 122.03 N/A N/A 0 0 4 43 2020-08-12 $64.28 $50.00 24.2% 6.9% 10.0% 20.6% 0.0% 11.6% 7.2% 1.2K -8.6K -51 0.00 102.22 N/A N/A 0 0 4 43 2020-08-13 $64.14 $50.00 22.2% 6.4% 10.0% 18.0% 0.0% 5.9% 0.6% 1.3K -8.5K -51 0.00 109.96 N/A N/A 0 0 4 43 2020-08-14 $64.11 $50.00 18.8% 5.4% 10.0% 13.5% 0.0% 16.4% 6.0% 1.5K -7.5K -49 0.00 100.48 N/A N/A 0 0 4 43 2020-08-17 $64.36 $50.00 18.8% 5.4% 10.0% 13.6% 0.0% 11.6% 6.0% 1.4K -9.6K -50 0.00 101.87 N/A N/A 0 0 4 43 2020-08-18 $64.17 $50.00 25.8% 7.4% 10.1% 22.8% 0.0% 16.3% 5.5% 1.6K -7.8K -48 0.00 101.69 N/A N/A 0 0 4 43 2020-08-19 $63.89 $50.00 25.0% 7.2% 10.2% 21.7% 0.0% 11.5% 0.5% 1.3K -8.5K -48 0.00 117.19 N/A N/A 0 0 4 43 2020-08-20 $63.77 $50.00 26.3% 7.5% 9.9% 23.4% 0.0% 11.7% -5.1% 1.3K -8.3K -47 0.00 108.04 N/A N/A 0 0 4 43 2020-08-21 $63.55 $50.00 21.1% 6.0% 9.4% 16.5% 0.0% 7.2% -3.8% 1.7K -6.0K -44 0.00 111.39 N/A N/A 0 0 4 43 2020-08-24 $64.33 $50.00 20.9% 6.0% 10.0% 16.3% 0.0% 5.1% 5.1% 1.7K -9.2K -46 0.00 108.66 N/A N/A 0 0 4 43 2020-08-25 $64.48 $50.00 22.9% 6.6% 9.7% 18.9% 0.0% 12.7% 8.1% 1.7K -9.7K -45 0.00 106.25 N/A N/A 118 0 4 43 2020-08-26 $64.76 $50.00 31.3% 9.0% 8.4% 30.0% 0.0% 7.7% -5.1% 14.3K -467.0K -2.1K 0.00 117.70 N/A N/A 0 0 122 43 2020-08-27 $65.13 $50.00 27.6% 7.9% 7.9% 25.1% 0.0% 16.4% 2.7% 14.9K -486.1K -2.1K 0.00 113.75 N/A N/A 0 0 122 43 2020-08-28 $65.44 $50.00 22.3% 6.4% 7.8% 18.2% 0.0% 18.3% 0.0% 14.7K -502.0K -2.1K 0.00 113.80 N/A N/A 0 0 122 43 2020-08-31 $65.31 $50.00 29.4% 8.4% 7.2% 27.5% 0.0% 20.7% -11.4% 13.7K -480.1K -2.1K 0.00 112.09 N/A N/A 0 0 122 43
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