FEX Options History — February 2021 In February 2021, FEX traded between $74.90 and $79.59. ATM implied volatility averaged 20.9%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.7% (HV 20d: 18.2%). Max pain ranged from $58.00 to $58.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2021-02-23 : Highest Volume — 1 contracts2021-02-25 : Largest IV spike — 80.3% change2021-02-25 : Highest IV Rank — 29.6%2021-02-25 : Largest Expected Move — 10.0%Monthly Statistics Metric Avg Min Max Open Close Price $78.16 $74.90 $79.59 $74.90 $77.64 Max Pain $58.00 $58.00 $58.00 $58.00 $58.00 ATM IV 20.9% 13.9% 34.8% 22.6% 20.4% Expected Move 6.1% 5.5% 10.0% 6.5% 5.8% HV 20d 18.2% 16.9% 19.7% 19.6% 16.9% HV 60d 14.1% 13.6% 15.0% 14.6% 15.0% IV Rank 9.8% 0.0% 29.6% 12.0% 9.2% IV Percentile 12.8% 0.0% 69.8% 17.1% 8.3% Term Structure -0.1% -8.2% 9.2% 4.6% 0.4% Skew 25d 8.1% -0.3% 37.2% 14.8% 5.6% Skew 10d 11.7% -0.3% 22.8% 22.8% 11.0% Call IV 25d 19.1% 10.1% 30.3% 21.4% 17.5% Put IV 25d 27.3% 20.9% 67.5% 36.2% 23.1% Bid-Ask Spread % 113.31 97.00 131.71 115.21 124.17 Gamma HHI 0.33 0.16 0.56 0.25 0.30 Net GEX 3.0K 560 8.2K 8.2K 2.0K Net DEX -803.0K -907.6K -743.4K -863.6K -766.7K Net VEX -139 -406 -66 -214 -74 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 0.053 0 1 0 0 Total OI 129.263 124 144 144 124
Daily Data (19 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 2021-02-01 $74.90 $0.00 22.6% 6.5% 19.6% 12.0% 0.0% 14.8% 4.6% 8.2K -863.6K -214 0.00 115.21 N/A N/A 0 0 121 23 2021-02-02 $76.19 $0.00 19.0% 5.5% 19.7% 6.9% 0.0% 12.2% 0.3% 7.8K -854.4K -406 0.00 121.88 N/A N/A 0 0 121 23 2021-02-03 $76.13 $0.00 20.1% 5.8% 19.5% 8.4% 0.0% 15.2% -1.0% 5.1K -878.9K -250 0.00 119.21 N/A N/A 0 0 121 23 2021-02-04 $76.90 $58.00 15.0% 6.3% 18.9% 1.2% 0.0% -0.3% 9.2% 3.9K -898.8K -157 0.00 99.81 N/A N/A 0 0 121 23 2021-02-05 $77.63 $58.00 17.4% 5.8% 18.1% 4.6% 0.0% 6.0% 0.5% 4.3K -907.6K -171 0.00 97.00 N/A N/A 0 0 121 23 2021-02-08 $78.32 $58.00 26.2% 6.0% 18.3% 17.1% 0.0% 5.1% 1.7% 3.1K -759.5K -174 0.00 103.04 N/A N/A 0 0 101 23 2021-02-09 $78.75 $58.00 13.9% 5.7% 18.3% 0.0% 0.0% 2.2% -0.1% 3.5K -773.6K -110 0.00 105.68 N/A N/A 0 0 101 23 2021-02-10 $78.75 $58.00 20.7% 5.9% 18.1% 9.6% 0.0% 0.5% 0.3% 2.7K -769.8K -139 0.00 114.92 N/A N/A 0 0 101 23 2021-02-11 $79.00 $58.00 20.7% 5.9% 18.1% 9.7% 0.0% 5.2% 6.7% 2.7K -772.6K -134 0.00 107.86 N/A N/A 0 0 101 23 2021-02-12 $79.58 $58.00 20.0% 5.7% 18.2% 8.7% 0.0% 2.9% 0.6% 2.2K -783.0K -115 0.00 110.80 N/A N/A 0 0 101 23 2021-02-16 $79.59 $58.00 20.6% 5.9% 17.6% 9.5% 0.0% 3.5% 0.2% 583 -789.9K -70 0.00 107.94 N/A N/A 0 0 101 23 2021-02-17 $79.25 $58.00 21.1% 6.0% 17.6% 10.2% 0.0% 5.4% -4.7% 580 -786.2K -70 0.00 111.86 N/A N/A 0 0 101 23 2021-02-18 $79.10 $58.00 24.6% 7.0% 17.5% 15.1% 0.0% 37.2% -8.2% 2.4K -781.8K -85 0.00 115.64 N/A N/A 0 0 101 23 2021-02-19 $79.56 $58.00 21.1% 6.1% 17.5% 10.2% 0.0% 5.8% -2.8% 898 -789.6K -70 0.00 113.63 N/A N/A 0 0 101 23 2021-02-22 $78.53 $58.00 19.7% 5.6% 18.2% 8.2% 0.0% 9.9% 0.5% 2.0K -771.8K -103 0.00 120.40 N/A N/A 0 0 101 23 2021-02-23 $78.64 $58.00 19.3% 5.5% 18.1% 7.7% 0.0% 6.9% -1.6% 560 -779.8K -67 0.00 118.72 N/A N/A 1 0 101 23 2021-02-24 $79.35 $58.00 19.3% 5.5% 18.1% 7.7% 0.0% 3.5% -2.5% 628 -786.7K -66 0.00 113.45 N/A N/A 0 0 101 23 2021-02-25 $77.26 $58.00 34.8% 10.0% 17.6% 29.6% 0.0% 12.8% -6.8% 4.3K -743.4K -164 0.00 131.71 N/A N/A 0 0 101 23 2021-02-26 $77.64 $58.00 20.4% 5.8% 16.9% 9.2% 0.0% 5.6% 0.4% 2.0K -766.7K -74 0.00 124.17 N/A N/A 0 0 101 23
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