FEX Options History — March 2021

In March 2021, FEX traded between $75.84 and $80.57. ATM implied volatility averaged 22.1%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.4% (HV 20d: 18.7%). Max pain ranged from $58.00 to $81.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.00.

Notable Days

2021-03-30: Highest Volume — 372 contracts
2021-03-22: Largest IV spike — 62.6% change
2021-03-22: Highest IV Rank — 31.9%
2021-03-22: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.07	$75.84	$80.57	$79.20	$80.20
Max Pain	$67.20	$58.00	$81.00	$58.00	$81.00
ATM IV	22.1%	14.1%	33.6%	17.9%	17.5%
Expected Move	6.1%	4.0%	9.6%	5.1%	5.0%
HV 20d	18.7%	15.6%	20.6%	16.5%	15.6%
HV 60d	16.8%	15.4%	17.4%	15.4%	17.1%
IV Rank	12.9%	0.3%	31.9%	5.7%	7.4%
IV Percentile	20.4%	0.4%	72.6%	2.0%	2.8%
Term Structure	-1.6%	-13.9%	9.3%	2.6%	9.3%
VWIV	22.1%	22.1%	22.1%	22.1%	22.1%
Skew 25d	7.0%	3.5%	19.3%	7.7%	7.0%
Skew 10d	9.2%	4.0%	25.5%	4.0%	5.7%
Call IV 25d	18.3%	10.1%	24.3%	18.8%	11.0%
Put IV 25d	25.3%	18.0%	31.6%	26.5%	18.0%
Bid-Ask Spread %	126.07	85.05	165.38	118.96	114.53
Gamma HHI	0.53	0.24	1.00	0.55	1.00
Net GEX	22.0K	593	404.8K	660	404.8K
Net DEX	-585.7K	-1.6M	-7.7K	-785.0K	-1.6M
Net VEX	-240	-3.3K	-58	-66	-3.3K
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	22.478	0	372	0	0
Total OI	106.783	3	495	124	495

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2021-03-01	$79.20	$58.00	17.9%	5.1%	16.5%	5.7%	0.0%	7.7%	2.6%	660	-785.0K	-66	118.96	N/A	N/A	0	101	23
2021-03-02	$78.78	$58.00	25.0%	7.2%	16.3%	15.7%	0.0%	5.5%	-7.9%	639	-780.9K	-66	124.13	N/A	N/A	0	101	23
2021-03-03	$77.56	$58.00	23.8%	6.8%	16.5%	14.1%	0.0%	4.8%	-1.6%	1.4K	-764.9K	-73	117.99	N/A	N/A	0	101	23
2021-03-04	$75.84	$0.00	31.4%	6.7%	18.5%	24.8%	0.0%	6.4%	-0.1%	3.4K	-738.2K	-99	94.92	N/A	N/A	0	101	23
2021-03-05	$77.34	$0.00	29.0%	6.0%	19.5%	21.4%	0.0%	3.7%	0.7%	593	-765.0K	-58	101.45	N/A	N/A	0	101	23
2021-03-08	$77.53	$0.00	26.5%	5.3%	19.2%	17.8%	0.0%	9.9%	5.8%	822	-767.3K	-61	91.32	N/A	N/A	0	101	23
2021-03-09	$78.26	$0.00	19.9%	5.8%	19.2%	8.4%	0.0%	4.1%	0.5%	902	-775.4K	-64	85.05	N/A	N/A	0	101	23
2021-03-10	$78.79	$0.00	17.5%	5.0%	19.3%	5.1%	0.0%	12.6%	1.6%	1.4K	-779.8K	-65	101.24	N/A	N/A	0	101	23
2021-03-11	$79.85	$0.00	20.2%	5.8%	19.8%	9.0%	0.0%	4.8%	-0.0%	655	-792.2K	-66	140.48	N/A	N/A	0	101	23
2021-03-12	$80.11	$0.00	20.5%	5.9%	19.9%	9.3%	0.0%	5.3%	0.3%	658	-794.9K	-66	141.07	N/A	N/A	0	101	23
2021-03-15	$80.57	$0.00	20.4%	5.8%	19.8%	9.2%	0.0%	5.1%	-1.1%	647	-800.0K	-67	141.58	N/A	N/A	0	101	23
2021-03-16	$80.29	$0.00	20.4%	5.8%	19.8%	9.2%	0.0%	3.6%	-0.8%	720	-796.6K	-66	141.42	N/A	N/A	0	101	23
2021-03-17	$80.40	$0.00	20.4%	5.9%	19.8%	9.2%	0.0%	4.6%	-2.1%	775	-797.8K	-66	141.76	N/A	N/A	0	101	23
2021-03-18	$79.32	$0.00	21.3%	6.1%	20.4%	10.5%	0.0%	3.5%	-2.2%	770	-627.5K	-63	140.59	N/A	N/A	0	81	23
2021-03-19	$79.86	$0.00	20.6%	5.9%	20.4%	11.0%	0.0%	6.1%	-5.0%	700	-632.4K	-65	141.88	N/A	N/A	25	81	23
2021-03-22	$79.91	$0.00	33.6%	9.6%	19.8%	31.9%	0.0%	6.3%	-13.9%	665	-8.7K	-61	165.38	N/A	N/A	0	3	0
2021-03-23	$78.73	$0.00	22.0%	6.3%	20.6%	14.2%	0.0%	7.9%	-6.1%	696	-8.3K	-60	141.60	N/A	N/A	0	3	0
2021-03-24	$78.39	$0.00	22.9%	6.6%	20.4%	17.3%	0.0%	6.7%	-6.2%	693	-7.7K	-59	141.51	N/A	N/A	0	3	0
2021-03-25	$78.88	$0.00	22.3%	6.4%	18.0%	16.0%	0.0%	5.8%	-6.5%	693	-8.5K	-60	141.93	N/A	N/A	0	3	0
2021-03-26	$79.56	$0.00	21.6%	6.2%	18.1%	15.5%	0.0%	6.1%	-6.4%	734	-9.0K	-62	142.41	N/A	N/A	0	3	0
2021-03-29	$79.49	$0.00	14.1%	4.0%	16.8%	0.3%	22.1%	14.3%	1.2%	811	-8.8K	-60	115.80	N/A	N/A	120	3	0
2021-03-30	$79.66	$81.00	20.7%	5.9%	16.6%	13.7%	22.1%	19.3%	1.0%	81.2K	-403.1K	-869	112.58	N/A	N/A	372	123	0
2021-03-31	$80.20	$81.00	17.5%	5.0%	15.6%	7.4%	0.0%	7.0%	9.3%	404.8K	-1.6M	-3.3K	114.53	N/A	N/A	0	495	0