FEX Options History — June 2021

In June 2021, FEX traded between $83.40 and $86.11. ATM implied volatility averaged 14.9%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.9% (HV 20d: 11.0%). Max pain ranged from $85.00 to $89.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-06-23: Highest Volume — 437 contracts
  • 2021-06-21: Largest IV spike — 57.8% change
  • 2021-06-03: Highest IV Rank — 17.3%
  • 2021-06-02: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.39$83.40$86.11$85.38$85.85
Max Pain$86.71$85.00$89.00$87.00$85.00
ATM IV14.9%10.4%21.0%18.5%12.7%
Expected Move4.0%2.9%6.0%5.3%3.6%
HV 20d11.0%8.3%15.9%15.9%8.6%
HV 60d12.0%11.4%12.5%12.5%11.6%
IV Rank6.1%0.0%17.3%12.4%4.2%
IV Percentile7.2%0.0%31.0%13.1%2.8%
Term Structure0.6%-6.8%6.4%-6.8%2.8%
VWIV12.2%8.9%20.0%11.3%9.1%
Skew 25d8.2%0.2%17.6%10.1%4.1%
Skew 10d8.3%-1.9%17.9%8.2%5.3%
Call IV 25d10.8%6.7%15.5%13.0%11.2%
Put IV 25d19.0%11.2%24.8%23.1%15.3%
Bid-Ask Spread %116.0187.74138.89103.11116.70
Gamma HHI0.920.790.980.980.97
Net GEX277.3K84.9K562.2K84.9K495.7K
Net DEX-758.3K-1.7M-243.9K-289.9K-851.6K
Net VEX-2.2K-4.6K-639-703-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume62.1360437040
Total OI340.136103553103454

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$85.38$87.0018.5%5.3%15.9%12.4%0.0%10.1%-6.8%84.9K-289.9K-7030.00103.11N/AN/A001030
2021-06-02$85.49$87.0020.8%6.0%15.7%16.9%0.0%17.6%-5.4%93.2K-301.8K-6950.00108.17N/AN/A001030
2021-06-03$85.43$0.0021.0%4.2%15.7%17.3%11.3%16.3%2.1%107.5K-243.9K-6390.0092.49N/AN/A2001030
2021-06-04$85.91$89.0017.6%2.9%15.7%10.7%0.0%8.5%5.5%107.5K-345.8K-8210.0099.71N/AN/A001230
2021-06-07$85.94$89.0018.9%4.4%15.1%13.1%0.0%11.8%0.2%106.6K-404.2K-7900.0087.74N/AN/A001230
2021-06-08$86.11$89.0017.3%3.7%15.0%10.1%0.0%7.9%0.2%129.9K-372.7K-7570.00116.24N/AN/A001230
2021-06-09$85.76$89.0013.2%3.8%13.8%2.1%20.0%3.5%1.0%95.7K-373.7K-7330.00116.25N/AN/A2001230
2021-06-10$85.69$87.0013.6%3.9%11.0%2.8%0.0%0.2%0.5%131.1K-352.9K-8330.00119.04N/AN/A001430
2021-06-11$85.88$87.0015.1%4.3%9.9%5.8%12.8%6.1%-1.6%167.2K-340.9K-8030.00120.11N/AN/A41001430
2021-06-14$85.63$87.0013.1%3.8%9.2%1.9%0.0%16.3%-2.6%429.9K-1.7M-4.6K0.00105.86N/AN/A005530
2021-06-15$85.68$87.0012.7%3.6%9.2%1.0%0.0%5.5%-2.9%442.9K-1.5M-4.3K0.00111.57N/AN/A005530
2021-06-16$85.24$87.0015.8%4.5%9.4%7.2%0.0%11.0%-1.8%362.8K-1.4M-4.1K0.00127.07N/AN/A005530
2021-06-17$84.59$87.0012.0%3.5%8.4%0.0%0.0%9.9%3.0%330.7K-879.5K-3.3K0.00113.53N/AN/A005530
2021-06-18$83.40$87.0013.2%3.8%8.3%2.2%0.0%7.9%5.0%229.5K-675.0K-2.7K0.00114.51N/AN/A005530
2021-06-21$84.30$87.0020.8%6.0%9.2%17.0%11.8%14.0%2.2%238.7K-968.6K-3.1K0.00112.70N/AN/A104530
2021-06-22$84.90$85.0013.0%3.7%8.9%1.8%11.7%10.7%6.4%339.5K-912.8K-3.0K0.00117.36N/AN/A204540
2021-06-23$85.05$85.0015.8%4.5%8.7%7.3%8.9%4.0%-2.3%325.4K-961.0K-3.1K0.00132.61N/AN/A43704540
2021-06-24$85.22$85.0011.0%3.2%8.6%0.0%0.0%3.3%1.4%375.6K-757.1K-2.6K0.00132.04N/AN/A004540
2021-06-25$85.66$85.0010.4%3.0%8.6%0.0%0.0%2.3%4.3%469.2K-852.4K-2.7K0.00138.89N/AN/A004540
2021-06-28$85.75$85.0010.8%3.1%8.6%0.7%0.0%6.7%1.2%474.0K-1.2M-3.0K0.00133.58N/AN/A004540
2021-06-29$85.74$85.0010.8%3.1%8.6%0.7%9.1%2.8%0.8%562.2K-1.1M-2.8K0.00132.98N/AN/A43704540
2021-06-30$85.85$85.0012.7%3.6%8.6%4.2%0.0%4.1%2.8%495.7K-851.6K-2.3K0.00116.70N/AN/A4004540