FEX Options History — September 2020 In September 2020, FEX traded between $60.98 and $66.70. ATM implied volatility averaged 30.0%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 10.0% (HV 20d: 20.0%). 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 13 of 21 days.
Notable Days 2020-09-03 : Largest IV spike — 69.6% change2020-09-03 : Highest IV Rank — 52.2%2020-09-03 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $63.36 $60.98 $66.70 $65.51 $63.15 Max Pain $50.00 $50.00 $50.00 $50.00 $50.00 ATM IV 30.0% 18.0% 48.1% 30.4% 25.6% Expected Move 8.2% 5.2% 12.5% 8.7% 7.3% HV 20d 20.0% 7.2% 25.3% 7.2% 25.3% HV 60d 17.7% 16.4% 22.0% 21.1% 17.2% IV Rank 28.3% 12.5% 52.2% 28.8% 22.4% IV Percentile 60.4% 17.1% 87.7% 65.9% 44.4% Term Structure 1.7% -11.5% 12.2% -11.5% 10.3% Skew 25d 7.3% -3.1% 13.7% 7.2% 8.4% Skew 10d 13.7% -0.5% 32.9% 6.4% 23.4% Call IV 25d 26.3% 20.8% 36.1% 23.7% 33.5% Put IV 25d 33.5% 26.3% 47.1% 30.9% 41.9% Bid-Ask Spread % 123.71 93.52 137.46 125.61 119.04 Gamma HHI 0.20 0.18 0.22 0.18 0.22 Net GEX 14.6K 11.7K 16.7K 14.3K 15.6K Net DEX -422.0K -522.7K -340.9K -492.5K -402.1K Net VEX -2.0K -2.1K -1.9K -2.1K -1.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 147.476 119 165 165 119
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 2020-09-01 $65.51 $50.00 30.4% 8.7% 7.2% 28.8% 0.0% 7.2% -11.5% 14.3K -492.5K -2.1K 0.00 125.61 N/A N/A 0 0 122 43 2020-09-02 $66.70 $50.00 28.4% 8.1% 9.0% 26.2% 0.0% 10.6% -0.8% 14.0K -522.7K -2.1K 0.00 123.83 N/A N/A 0 0 122 43 2020-09-03 $64.38 $0.00 48.1% 12.5% 16.2% 52.2% 0.0% 11.1% -2.5% 11.7K -468.4K -2.1K 0.00 120.85 N/A N/A 0 0 122 43 2020-09-04 $64.34 $0.00 34.6% 8.5% 16.2% 34.3% 0.0% 9.4% 5.7% 12.9K -458.5K -2.1K 0.00 94.93 N/A N/A 0 0 122 43 2020-09-08 $62.79 $0.00 41.5% 5.9% 18.2% 43.4% 0.0% 0.7% 12.2% 14.3K -409.2K -2.1K 0.00 93.52 N/A N/A 0 0 122 43 2020-09-09 $63.65 $0.00 18.0% 5.2% 18.9% 12.5% 0.0% 13.7% 10.4% 15.7K -445.8K -2.0K 0.00 100.30 N/A N/A 0 0 122 43 2020-09-10 $62.76 $0.00 29.8% 8.5% 19.4% 27.9% 0.0% 10.4% 2.6% 14.8K -408.6K -2.0K 0.00 99.80 N/A N/A 0 0 122 43 2020-09-11 $62.70 $0.00 28.0% 8.0% 19.4% 25.6% 0.0% 6.4% 3.3% 15.0K -407.6K -2.0K 0.00 133.21 N/A N/A 0 0 122 43 2020-09-14 $63.91 $0.00 27.4% 7.9% 20.7% 24.9% 0.0% 8.6% 2.6% 15.8K -436.3K -2.0K 0.00 135.24 N/A N/A 0 0 122 43 2020-09-15 $63.95 $0.00 27.2% 7.8% 20.6% 24.6% 0.0% 7.0% 3.2% 16.1K -447.3K -2.0K 0.00 137.05 N/A N/A 0 0 122 43 2020-09-16 $64.47 $0.00 27.2% 7.8% 20.8% 24.6% 0.0% 6.4% 2.8% 16.7K -463.7K -2.0K 0.00 136.67 N/A N/A 0 0 122 43 2020-09-17 $63.68 $0.00 27.8% 8.0% 21.2% 25.4% 0.0% 7.3% 0.8% 16.3K -430.7K -2.0K 0.00 135.45 N/A N/A 0 0 122 43 2020-09-18 $63.39 $0.00 27.7% 8.0% 21.3% 25.3% 0.0% 1.1% -2.4% 15.0K -408.8K -2.0K 0.00 134.75 N/A N/A 0 0 122 43 2020-09-21 $62.02 $0.00 29.7% 8.5% 22.6% 27.9% 0.0% -3.1% -2.3% 14.0K -370.3K -1.9K 0.00 134.42 N/A N/A 0 0 118 1 2020-09-22 $62.58 $0.00 31.0% 8.9% 22.4% 29.5% 0.0% 8.9% -2.6% 14.8K -385.6K -1.9K 0.00 135.53 N/A N/A 0 0 118 1 2020-09-23 $61.30 $0.00 30.3% 8.7% 23.3% 28.7% 0.0% 10.4% 1.1% 13.1K -359.6K -1.9K 0.00 124.31 N/A N/A 0 0 118 1 2020-09-24 $60.98 $0.00 33.4% 9.6% 23.2% 32.8% 0.0% 4.6% -2.5% 14.1K -340.9K -1.9K 0.00 137.46 N/A N/A 0 0 118 1 2020-09-25 $62.00 $0.00 30.6% 8.8% 24.1% 29.0% 0.0% 10.7% 1.8% 14.3K -373.2K -1.9K 0.00 131.87 N/A N/A 0 0 118 1 2020-09-28 $63.27 $0.00 32.8% 9.4% 25.3% 32.0% 0.0% 2.4% -4.2% 13.7K -418.9K -1.9K 0.00 137.09 N/A N/A 0 0 118 1 2020-09-29 $63.00 $0.00 20.3% 5.8% 25.3% 15.5% 0.0% 10.2% 8.1% 14.0K -412.4K -1.9K 0.00 106.92 N/A N/A 0 0 118 1 2020-09-30 $63.15 $0.00 25.6% 7.3% 25.3% 22.4% 0.0% 8.4% 10.3% 15.6K -402.1K -1.9K 0.00 119.04 N/A N/A 0 0 118 1
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