FEX Options History — October 2020

In October 2020, FEX traded between $62.61 and $67.08. ATM implied volatility averaged 32.9%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 14.6% (HV 20d: 18.4%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2020-10-01: Highest Volume — 25 contracts
  • 2020-10-09: Largest IV spike — 34.2% change
  • 2020-10-30: Highest IV Rank — 43.8%
  • 2020-10-30: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.44$62.61$67.08$63.39$62.61
ATM IV32.9%24.3%42.7%33.0%42.7%
Expected Move8.9%7.0%12.2%9.4%12.2%
HV 20d18.4%13.8%24.3%24.3%19.1%
HV 60d17.3%16.9%18.6%17.2%18.6%
IV Rank31.9%20.8%43.8%32.2%43.8%
IV Percentile65.5%36.9%84.5%71.0%84.5%
Term Structure-0.3%-7.7%11.6%11.6%-5.0%
Skew 25d9.3%3.6%21.6%5.4%9.5%
Skew 10d13.2%7.5%24.1%18.9%14.9%
Call IV 25d25.3%20.0%35.8%35.8%28.9%
Put IV 25d34.6%27.5%48.5%41.2%38.4%
Bid-Ask Spread %124.9482.04140.98115.05124.08
Gamma HHI0.160.150.220.220.16
Net GEX10.4K9.2K14.4K14.4K9.8K
Net DEX-429.8K-489.0K-318.5K-423.1K-318.5K
Net VEX-2.2K-2.4K-1.9K-1.9K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.227025250
Total OI161.727119168119168

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$63.39$0.0033.0%9.4%24.3%32.2%0.0%5.4%11.6%14.4K-423.1K-1.9K0.00115.05N/AN/A0251181
2020-10-02$63.80$0.0032.2%9.2%21.1%31.1%0.0%8.5%9.1%11.2K-398.1K-2.1K0.00124.17N/AN/A0011826
2020-10-05$64.89$0.0030.8%8.6%22.0%29.3%0.0%17.4%-2.1%11.4K-435.5K-2.1K0.0089.27N/AN/A0511826
2020-10-06$64.35$0.0039.1%8.4%20.3%40.2%0.0%9.0%0.2%11.1K-413.5K-2.2K0.00126.94N/AN/A01711831
2020-10-07$65.46$0.0034.0%8.6%20.6%33.5%0.0%8.9%-1.1%9.3K-414.7K-2.4K0.0082.04N/AN/A0011848
2020-10-08$66.05$0.0030.5%7.9%19.9%28.9%0.0%5.5%6.7%9.7K-432.8K-2.4K0.00135.36N/AN/A0011848
2020-10-09$66.40$0.0040.9%9.1%19.9%42.6%0.0%9.9%-0.6%9.2K-446.3K-2.4K0.00140.98N/AN/A0011848
2020-10-12$67.08$0.0034.2%7.4%19.1%33.8%0.0%7.2%-0.5%10.7K-489.0K-2.2K0.00137.85N/AN/A0011848
2020-10-13$66.97$0.0030.1%7.6%19.2%28.4%0.0%8.3%-3.8%10.0K-470.2K-2.3K0.00136.70N/AN/A0011848
2020-10-14$66.62$0.0025.8%7.4%19.2%22.7%0.0%6.4%-1.2%9.7K-461.3K-2.3K0.00134.83N/AN/A0011848
2020-10-15$66.72$0.0024.3%7.0%18.5%20.8%0.0%3.6%1.8%10.3K-474.1K-2.2K0.00128.40N/AN/A0011848
2020-10-16$66.78$0.0026.9%7.7%18.3%24.2%0.0%6.4%-1.1%9.9K-472.1K-2.2K0.00137.08N/AN/A0011848
2020-10-19$66.02$0.0029.0%8.3%16.8%27.0%0.0%7.0%0.6%9.3K-436.6K-2.3K0.00132.91N/AN/A0011848
2020-10-20$66.26$0.0029.8%8.6%16.7%28.1%0.0%7.0%-0.3%10.1K-449.2K-2.2K0.00134.08N/AN/A0011848
2020-10-21$65.72$0.0028.5%8.2%14.8%26.3%0.0%9.3%3.8%10.0K-424.4K-2.2K0.00133.53N/AN/A2011848
2020-10-22$66.28$0.0028.9%8.3%14.6%26.9%0.0%7.7%-0.6%10.1K-472.1K-2.1K0.00133.15N/AN/A0012048
2020-10-23$66.69$0.0027.6%7.9%13.8%25.1%0.0%12.3%-4.5%11.0K-473.4K-2.2K0.00129.72N/AN/A0012048
2020-10-26$65.22$0.0034.3%9.8%15.2%33.9%0.0%13.8%-0.9%10.8K-423.3K-2.2K0.0095.12N/AN/A0012048
2020-10-27$65.14$0.0039.3%11.3%15.1%39.2%0.0%12.4%-7.7%10.6K-414.6K-2.2K0.00127.19N/AN/A0012048
2020-10-28$63.51$0.0041.5%11.9%17.9%42.2%0.0%8.4%-4.0%9.6K-353.5K-2.3K0.00128.35N/AN/A0012048
2020-10-29$63.83$0.0041.3%11.8%17.9%41.9%0.0%21.6%-7.1%9.7K-359.7K-2.2K0.00121.92N/AN/A0012048
2020-10-30$62.61$0.0042.7%12.2%19.1%43.8%0.0%9.5%-5.0%9.8K-318.5K-2.2K0.00124.08N/AN/A0012048