FEX Options History — December 2020

In December 2020, FEX traded between $71.19 and $73.86. ATM implied volatility averaged 23.9%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 13.3% (HV 20d: 10.6%). Max pain ranged from $56.00 to $69.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2020-12-09: Highest Volume — 2 contracts
  • 2020-12-08: Largest IV drop — 44.7% change
  • 2020-12-21: Highest IV Rank — 26.6%
  • 2020-12-21: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.69$71.19$73.86$71.19$73.32
Max Pain$67.76$56.00$69.00$56.00$69.00
ATM IV23.9%16.8%31.9%27.3%20.8%
Expected Move6.5%4.5%9.2%7.8%6.0%
HV 20d10.6%8.8%15.0%15.0%9.4%
HV 60d16.8%15.2%19.1%19.1%15.2%
IV Rank15.4%5.9%26.6%20.6%9.4%
IV Percentile28.9%5.2%63.1%45.2%12.7%
Term Structure-2.4%-11.5%5.4%-3.5%-3.0%
VWIV24.5%21.5%29.8%22.5%29.8%
Skew 25d6.0%-1.4%19.3%5.9%5.5%
Skew 10d8.9%-0.3%22.1%10.4%5.2%
Call IV 25d18.8%11.9%30.3%17.8%19.2%
Put IV 25d24.9%18.7%32.5%23.6%24.7%
Bid-Ask Spread %123.3792.25150.32119.55109.32
Gamma HHI0.150.140.160.160.15
Net GEX12.8K10.6K15.3K13.4K10.6K
Net DEX-734.6K-776.5K-693.7K-702.3K-739.5K
Net VEX-1.0K-1.2K-841-1.2K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.2730202
Total OI161.136145172168145

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$71.19$56.0027.3%7.8%15.0%20.6%0.0%5.9%-3.5%13.4K-702.3K-1.2K0.00119.55N/AN/A0012048
2020-12-02$71.24$56.0028.2%8.1%13.0%21.8%0.0%4.7%-7.8%13.3K-693.7K-1.2K0.00118.44N/AN/A0012048
2020-12-03$71.61$0.0027.7%6.0%12.8%21.1%22.5%11.4%-4.0%12.8K-705.8K-1.2K0.0093.36N/AN/A0112048
2020-12-04$72.47$69.0028.7%5.5%11.8%22.5%0.0%-1.4%1.1%11.9K-716.7K-1.2K0.0096.48N/AN/A0012049
2020-12-07$72.26$69.0030.3%5.7%12.0%24.7%0.0%2.7%1.2%12.7K-733.9K-1.1K0.0092.25N/AN/A0012049
2020-12-08$72.66$69.0016.8%4.5%11.7%5.9%0.0%3.3%-0.4%12.0K-763.9K-8630.00115.42N/AN/A0012049
2020-12-09$72.04$69.0018.0%5.2%12.0%7.7%21.5%1.8%-0.1%12.6K-734.5K-1.0K0.00112.68N/AN/A2012149
2020-12-10$72.47$69.0018.0%5.2%12.0%7.7%0.0%10.9%5.4%13.2K-757.4K-9680.00125.58N/AN/A0012349
2020-12-11$72.23$69.0023.0%6.6%10.9%14.5%0.0%-1.3%-3.1%13.1K-751.6K-9770.00135.40N/AN/A0012349
2020-12-14$72.04$69.0023.4%6.7%9.6%15.1%0.0%-1.3%-3.3%15.2K-716.5K-1.1K0.00136.84N/AN/A0012349
2020-12-15$72.85$69.0023.0%6.6%9.7%14.6%0.0%6.4%-1.6%15.3K-748.1K-9840.00136.37N/AN/A0012349
2020-12-16$73.07$69.0023.1%6.6%9.6%14.2%0.0%6.4%-2.3%14.4K-745.6K-1.0K0.00137.65N/AN/A0012349
2020-12-17$73.62$69.0022.3%6.4%9.2%13.1%0.0%1.2%-2.4%13.9K-746.3K-1.1K0.00139.29N/AN/A0012349
2020-12-18$73.35$69.0023.5%6.7%9.5%14.8%24.2%1.5%-3.2%12.2K-754.9K-1.1K0.00139.54N/AN/A0112349
2020-12-21$73.30$69.0031.9%9.2%9.6%26.6%0.0%2.2%-11.5%14.1K-723.4K-1.0K0.00150.32N/AN/A0012124
2020-12-22$73.51$69.0024.4%7.0%9.3%16.1%0.0%10.6%-5.2%12.2K-742.9K-1.0K0.00140.34N/AN/A0012124
2020-12-23$73.86$69.0023.9%6.9%8.8%15.4%0.0%10.1%-4.8%12.5K-776.5K-8410.00140.85N/AN/A0012124
2020-12-24$73.30$69.0024.7%7.1%9.4%16.4%0.0%9.9%-5.9%11.5K-743.1K-1.0K0.00141.09N/AN/A0012124
2020-12-28$73.01$69.0025.0%7.2%9.6%15.8%0.0%19.3%-1.6%12.1K-734.8K-9870.00121.28N/AN/A0012124
2020-12-29$72.67$69.0022.4%6.4%9.5%11.7%0.0%10.5%0.2%11.6K-714.9K-1.1K0.00105.15N/AN/A0012124
2020-12-30$73.03$69.0020.1%5.8%9.3%8.4%0.0%12.9%4.1%10.7K-714.4K-1.1K0.00107.04N/AN/A0012124
2020-12-31$73.32$69.0020.8%6.0%9.4%9.4%29.8%5.5%-3.0%10.6K-739.5K-1.0K0.00109.32N/AN/A2012124