FEX Options History — May 2021

In May 2021, FEX traded between $81.71 and $85.23. ATM implied volatility averaged 18.8%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.8% (HV 20d: 13.9%). Max pain ranged from $87.00 to $87.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2021-05-20: Highest Volume — 80 contracts
2021-05-10: Largest IV spike — 56.3% change
2021-05-11: Highest IV Rank — 43.0%
2021-05-12: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.95	$81.71	$85.23	$84.06	$85.23
Max Pain	$87.00	$87.00	$87.00	$87.00	$87.00
ATM IV	18.8%	13.1%	34.1%	15.4%	15.3%
Expected Move	5.0%	3.8%	6.8%	4.4%	4.4%
HV 20d	13.9%	9.5%	16.4%	9.5%	16.0%
HV 60d	14.7%	13.0%	15.9%	14.1%	13.0%
IV Rank	12.9%	1.9%	43.0%	6.4%	6.2%
IV Percentile	15.8%	0.4%	84.5%	2.0%	3.2%
Term Structure	1.0%	-8.4%	8.2%	2.9%	3.3%
VWIV	14.7%	14.7%	14.8%	14.8%	14.7%
Skew 25d	7.0%	-2.2%	13.7%	2.7%	9.5%
Skew 10d	14.4%	4.3%	28.0%	13.3%	12.5%
Call IV 25d	16.0%	7.8%	26.8%	14.7%	7.8%
Put IV 25d	22.9%	17.3%	30.6%	17.4%	17.3%
Bid-Ask Spread %	107.83	94.39	122.61	122.61	94.39
Gamma HHI	0.95	0.81	1.00	1.00	0.98
Net GEX	27.0K	247	84.8K	247	80.7K
Net DEX	-80.1K	-267.0K	-5.1K	-5.3K	-267.0K
Net VEX	-289	-764	-19	-20	-764
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	5.1	0	80	0	0
Total OI	41.9	1	103	1	103

Daily Data (20 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
2021-05-03	$84.06	$0.00	15.4%	4.4%	9.5%	6.4%	0.0%	2.7%	2.9%	247	-5.3K	-20	122.61	N/A	N/A	0	1
2021-05-04	$83.51	$0.00	17.5%	5.0%	9.9%	10.4%	0.0%	2.2%	-0.0%	274	-5.1K	-19	116.54	N/A	N/A	0	1
2021-05-05	$83.86	$0.00	16.8%	4.8%	9.8%	9.2%	0.0%	9.0%	-1.9%	280	-5.3K	-19	114.62	N/A	N/A	0	1
2021-05-06	$83.90	$0.00	22.8%	5.1%	9.8%	20.8%	14.8%	8.5%	-1.3%	262	-5.2K	-19	114.44	N/A	N/A	20	1
2021-05-07	$85.04	$87.00	17.2%	5.1%	10.7%	9.9%	0.0%	0.7%	-0.9%	12.4K	-100.1K	-242	98.91	N/A	N/A	0	21
2021-05-10	$84.80	$87.00	26.9%	4.1%	10.8%	28.8%	0.0%	5.4%	5.0%	12.2K	-58.5K	-211	100.27	N/A	N/A	0	21
2021-05-11	$83.44	$87.00	34.1%	6.4%	12.4%	43.0%	0.0%	-2.2%	5.8%	8.4K	-49.6K	-193	113.60	N/A	N/A	0	21
2021-05-12	$81.71	$87.00	23.5%	6.8%	14.6%	22.3%	0.0%	8.2%	0.0%	6.9K	-32.4K	-146	113.03	N/A	N/A	0	21
2021-05-13	$82.98	$87.00	22.5%	6.4%	15.3%	20.2%	0.0%	13.7%	-1.9%	8.2K	-44.0K	-177	111.32	N/A	N/A	0	21
2021-05-14	$83.98	$87.00	13.5%	3.9%	15.9%	2.6%	0.0%	5.7%	8.2%	9.8K	-50.2K	-187	101.31	N/A	N/A	0	21
2021-05-17	$83.83	$87.00	20.0%	5.7%	15.6%	15.5%	0.0%	10.8%	0.4%	11.3K	-41.5K	-163	98.32	N/A	N/A	2	21
2021-05-18	$83.68	$87.00	17.0%	4.9%	15.3%	9.5%	0.0%	13.0%	2.1%	11.2K	-52.7K	-212	103.71	N/A	N/A	0	23
2021-05-19	$82.58	$87.00	18.5%	5.3%	15.5%	12.5%	0.0%	9.4%	-0.9%	8.4K	-44.1K	-188	117.99	N/A	N/A	0	23
2021-05-20	$83.88	$87.00	17.8%	5.1%	16.4%	11.0%	14.7%	8.1%	-2.6%	12.4K	-44.0K	-179	112.42	N/A	N/A	80	23
2021-05-21	$83.94	$87.00	15.9%	4.6%	15.9%	7.4%	0.0%	7.4%	-0.6%	63.2K	-144.9K	-588	103.06	N/A	N/A	0	103
2021-05-24	$84.71	$87.00	13.1%	3.8%	16.2%	1.9%	0.0%	7.0%	0.9%	75.9K	-172.9K	-665	98.44	N/A	N/A	0	103
2021-05-25	$84.25	$87.00	16.9%	4.9%	16.3%	9.4%	0.0%	8.9%	-8.4%	58.5K	-95.4K	-440	102.57	N/A	N/A	0	103
2021-05-26	$84.63	$87.00	17.0%	4.9%	16.4%	9.5%	0.0%	3.7%	5.3%	74.2K	-145.4K	-588	111.88	N/A	N/A	0	103
2021-05-27	$85.05	$87.00	13.4%	3.9%	16.4%	2.5%	0.0%	7.7%	4.2%	84.8K	-238.6K	-754	107.18	N/A	N/A	0	103
2021-05-28	$85.23	$87.00	15.3%	4.4%	16.0%	6.2%	0.0%	9.5%	3.3%	80.7K	-267.0K	-764	94.39	N/A	N/A	0	103