FEX Options History — April 2021

In April 2021, FEX traded between $80.82 and $84.55. ATM implied volatility averaged 20.2%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 10.0% (HV 20d: 10.3%). Max pain ranged from $81.00 to $81.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2021-04-13: Highest Volume — 375 contracts
2021-04-30: Largest IV spike — 51.6% change
2021-04-09: Highest IV Rank — 32.4%
2021-04-16: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.01	$80.82	$84.55	$80.82	$83.71
Max Pain	$81.00	$81.00	$81.00	$81.00	$81.00
ATM IV	20.2%	12.1%	29.9%	14.0%	18.4%
Expected Move	5.3%	3.5%	6.8%	4.0%	5.3%
HV 20d	10.3%	8.9%	12.9%	12.9%	10.0%
HV 60d	15.9%	14.0%	17.1%	17.1%	14.2%
IV Rank	13.2%	0.0%	32.4%	0.1%	12.2%
IV Percentile	17.4%	0.0%	64.3%	0.4%	7.1%
Term Structure	-1.4%	-8.7%	7.5%	1.0%	-4.0%
Skew 25d	6.6%	0.7%	13.5%	5.8%	11.9%
Skew 10d	6.8%	-1.3%	17.9%	-1.3%	11.1%
Call IV 25d	15.3%	10.4%	17.9%	15.6%	14.2%
Put IV 25d	21.8%	16.5%	27.5%	21.3%	26.0%
Bid-Ask Spread %	128.70	93.19	155.28	113.88	110.33
Gamma HHI	0.88	0.58	1.00	1.00	1.00
Net GEX	229.4K	250	982.8K	470.5K	283
Net DEX	-1.6M	-4.1M	-5.2K	-1.9M	-5.2K
Net VEX	-890	-3.3K	-19	-3.3K	-20
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	17.952	0	375	0	0
Total OI	260.238	1	495	495	1

Daily Data (21 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
2021-04-01	$80.82	$81.00	14.0%	4.0%	12.9%	0.1%	0.0%	5.8%	1.0%	470.5K	-1.9M	-3.3K	113.88	N/A	N/A	0	495
2021-04-05	$81.67	$0.00	16.9%	4.6%	11.7%	6.1%	0.0%	8.6%	-2.9%	408.4K	-2.5M	-2.7K	93.19	N/A	N/A	0	495
2021-04-06	$81.93	$0.00	22.4%	5.7%	11.7%	17.1%	0.0%	7.5%	-8.7%	388.1K	-2.5M	-2.6K	107.09	N/A	N/A	0	495
2021-04-07	$81.71	$0.00	23.6%	4.9%	11.6%	19.7%	0.0%	5.5%	0.4%	982.8K	-2.5M	-2.2K	131.70	N/A	N/A	0	495
2021-04-08	$82.06	$0.00	25.5%	5.2%	11.5%	23.5%	0.0%	0.7%	-1.6%	387.8K	-2.6M	-2.3K	98.57	N/A	N/A	0	495
2021-04-09	$82.34	$0.00	29.9%	5.2%	10.7%	32.4%	0.0%	4.0%	4.1%	358.5K	-2.8M	-2.0K	141.64	N/A	N/A	0	495
2021-04-12	$82.57	$0.00	18.2%	5.2%	10.7%	8.8%	0.0%	4.3%	3.6%	703.7K	-3.5M	-948	141.82	N/A	N/A	0	495
2021-04-13	$82.80	$0.00	27.5%	5.2%	10.6%	27.6%	0.0%	3.9%	2.6%	399.3K	-3.2M	-1.1K	141.68	N/A	N/A	375	495
2021-04-14	$82.77	$0.00	18.5%	5.3%	10.4%	9.4%	0.0%	4.4%	-4.4%	445.7K	-3.6M	-683	141.55	N/A	N/A	0	495
2021-04-15	$83.47	$0.00	18.4%	5.3%	10.7%	9.2%	0.0%	1.8%	-4.9%	265.5K	-3.8M	-363	142.44	N/A	N/A	0	495
2021-04-16	$83.80	$0.00	23.6%	6.8%	9.0%	19.7%	0.0%	7.0%	-2.5%	860	-4.1M	-64	155.28	N/A	N/A	0	495
2021-04-19	$83.10	$0.00	19.9%	5.7%	9.7%	12.1%	0.0%	5.5%	-2.4%	805	-12.8K	-63	141.33	N/A	N/A	2	3
2021-04-20	$82.46	$0.00	20.7%	5.9%	10.3%	13.7%	0.0%	4.2%	-2.0%	869	-12.2K	-63	140.90	N/A	N/A	0	3
2021-04-21	$83.42	$0.00	18.3%	5.2%	8.9%	8.9%	0.0%	2.0%	-3.6%	849	-13.3K	-63	138.40	N/A	N/A	0	3
2021-04-22	$82.99	$0.00	20.4%	5.8%	9.0%	13.2%	0.0%	13.5%	-0.5%	892	-12.9K	-62	140.14	N/A	N/A	0	3
2021-04-23	$83.94	$0.00	19.1%	5.5%	9.4%	10.5%	0.0%	8.2%	-1.1%	929	-13.6K	-62	140.81	N/A	N/A	0	3
2021-04-26	$84.31	$0.00	21.0%	6.0%	9.2%	14.4%	0.0%	11.2%	-3.9%	268	-5.4K	-20	138.40	N/A	N/A	0	1
2021-04-27	$84.43	$0.00	16.3%	4.7%	9.1%	4.8%	0.0%	4.5%	-0.9%	254	-5.4K	-19	111.84	N/A	N/A	0	1
2021-04-28	$84.31	$0.00	20.2%	5.8%	9.3%	12.7%	0.0%	12.1%	-5.0%	261	-5.4K	-19	120.27	N/A	N/A	0	1
2021-04-29	$84.55	$0.00	12.1%	3.5%	9.1%	0.0%	0.0%	11.0%	7.5%	250	-5.4K	-19	111.43	N/A	N/A	0	1
2021-04-30	$83.71	$0.00	18.4%	5.3%	10.0%	12.2%	0.0%	11.9%	-4.0%	283	-5.2K	-20	110.33	N/A	N/A	0	1