FEX Options History — November 2020

In November 2020, FEX traded between $63.69 and $71.14. ATM implied volatility averaged 26.0%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 5.1% (HV 20d: 20.9%). Max pain ranged from $56.00 to $56.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days.

Notable Days

  • 2020-11-10: Largest IV spike — 20.1% change
  • 2020-11-03: Highest IV Rank — 42.2%
  • 2020-11-03: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.64$63.69$71.14$63.69$70.70
Max Pain$56.00$56.00$56.00$56.00$56.00
ATM IV26.0%19.4%41.5%36.1%19.4%
Expected Move7.4%5.6%11.9%10.3%5.6%
HV 20d20.9%15.5%22.9%19.1%15.5%
HV 60d20.3%18.9%20.8%18.9%19.1%
IV Rank20.5%9.6%42.2%35.0%9.6%
IV Percentile36.0%11.5%83.7%73.4%11.5%
Term Structure-2.5%-6.9%5.9%-2.3%2.2%
Skew 25d7.4%-4.9%14.7%8.0%5.0%
Skew 10d13.7%2.0%28.6%11.7%15.5%
Call IV 25d21.9%11.2%31.9%31.9%21.9%
Put IV 25d29.4%19.8%39.9%39.9%27.0%
Bid-Ask Spread %111.4693.41130.86130.86113.77
Gamma HHI0.160.150.170.160.16
Net GEX12.7K10.3K15.0K10.3K12.7K
Net DEX-567.0K-677.6K-355.8K-355.8K-660.7K
Net VEX-1.7K-2.2K-1.4K-2.2K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI168168168168168

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$63.69$0.0036.1%10.3%19.1%35.0%0.0%8.0%-2.3%10.3K-355.8K-2.2K0.00130.86N/AN/A0012048
2020-11-03$65.35$0.0041.5%11.9%21.0%42.2%0.0%6.4%-6.0%10.9K-422.4K-2.1K0.0093.41N/AN/A0012048
2020-11-04$66.08$0.0033.3%9.5%20.5%31.2%0.0%7.1%-6.9%11.6K-464.1K-2.1K0.00102.80N/AN/A0012048
2020-11-05$67.40$56.0030.5%7.9%21.5%27.4%0.0%8.7%-1.1%11.6K-514.0K-2.0K0.00109.03N/AN/A0012048
2020-11-06$67.69$56.0027.0%7.8%21.4%22.7%0.0%-4.9%0.2%11.8K-532.6K-1.8K0.0099.95N/AN/A0012048
2020-11-09$68.40$56.0022.2%7.2%21.5%16.3%0.0%11.0%-3.6%13.0K-558.6K-1.8K0.00104.18N/AN/A0012048
2020-11-10$67.99$56.0026.7%6.0%21.6%21.8%0.0%4.7%4.1%12.3K-534.1K-1.8K0.00104.60N/AN/A0012048
2020-11-11$68.45$56.0025.3%7.2%21.6%19.9%0.0%12.8%-2.8%12.7K-569.4K-1.8K0.00100.66N/AN/A0012048
2020-11-12$67.64$56.0025.1%7.2%22.1%19.6%0.0%11.8%-6.5%13.1K-542.8K-1.8K0.00108.07N/AN/A0012048
2020-11-13$68.86$56.0024.3%7.0%22.9%18.6%0.0%12.6%-1.2%13.3K-577.7K-1.7K0.00103.84N/AN/A0012048
2020-11-16$69.61$56.0024.2%6.9%22.6%18.5%0.0%8.7%-3.7%13.0K-596.9K-1.7K0.00114.20N/AN/A0012048
2020-11-17$69.60$56.0024.6%7.1%22.6%19.0%0.0%3.4%-1.4%12.0K-586.2K-1.8K0.00111.96N/AN/A0012048
2020-11-18$69.17$56.0024.7%7.1%22.5%19.2%0.0%2.1%-6.5%15.0K-598.3K-1.6K0.00119.40N/AN/A0012048
2020-11-19$69.43$56.0020.3%5.8%22.4%13.2%0.0%14.7%5.9%14.0K-615.8K-1.6K0.00119.22N/AN/A0012048
2020-11-20$69.51$56.0021.5%6.2%22.3%14.8%0.0%1.5%-3.8%13.9K-606.6K-1.6K0.00119.53N/AN/A0012048
2020-11-23$70.18$56.0023.8%6.8%20.5%18.0%0.0%9.5%-4.9%13.3K-620.2K-1.6K0.00120.71N/AN/A0012048
2020-11-24$70.92$56.0021.3%6.1%20.6%12.2%0.0%9.2%-6.6%13.2K-645.4K-1.5K0.00114.55N/AN/A0012048
2020-11-25$70.93$56.0024.4%7.0%17.5%16.5%0.0%8.7%-4.5%13.6K-660.4K-1.4K0.00122.71N/AN/A0012048
2020-11-27$71.14$56.0022.9%6.6%17.5%14.5%0.0%7.8%-0.5%12.7K-677.6K-1.4K0.00115.72N/AN/A0012048
2020-11-30$70.70$56.0019.4%5.6%15.5%9.6%0.0%5.0%2.2%12.7K-660.7K-1.4K0.00113.77N/AN/A0012048