FEX Options History — July 2021

In July 2021, FEX traded between $83.32 and $87.32. ATM implied volatility averaged 16.8%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.4% (HV 20d: 12.4%). Max pain ranged from $85.00 to $88.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-07-01: Highest Volume — 40 contracts
  • 2021-07-19: Largest IV spike — 103.2% change
  • 2021-07-19: Highest IV Rank — 38.5%
  • 2021-07-19: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.90$83.32$87.32$86.18$86.82
Max Pain$87.33$85.00$88.00$85.00$87.00
ATM IV16.8%10.5%28.6%20.5%14.1%
Expected Move4.4%2.6%7.2%5.9%4.1%
HV 20d12.4%8.5%15.1%8.7%15.1%
HV 60d12.6%11.6%13.5%11.6%13.3%
IV Rank14.5%0.3%38.5%19.0%9.8%
IV Percentile19.6%0.4%76.6%31.0%10.7%
Term Structure0.3%-10.6%10.2%-8.1%1.1%
VWIV14.5%9.8%23.9%9.9%9.8%
Skew 25d8.5%1.4%17.1%9.1%10.3%
Skew 10d7.6%-3.2%17.6%0.9%12.5%
Call IV 25d11.7%5.5%16.0%5.5%14.3%
Put IV 25d20.2%14.6%26.9%14.6%24.7%
Bid-Ask Spread %116.8899.67130.95112.08107.56
Gamma HHI0.690.480.870.850.52
Net GEX357.8K53.5K1.0M491.9K180.2K
Net DEX-862.4K-1.7M-255.3K-1.7M-612.7K
Net VEX-2.0K-3.7K-1.0K-3.5K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume9.0480404040
Total OI380.714143603494203

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$86.18$85.0020.5%5.9%8.7%19.0%0.0%9.1%-8.1%491.9K-1.7M-3.5K0.00112.08N/AN/A4004940
2021-07-02$86.35$85.0011.4%3.3%8.5%1.9%0.0%3.7%7.3%700.1K-1.5M-3.7K0.00123.79N/AN/A005340
2021-07-06$85.82$88.0015.7%3.5%8.8%10.0%0.0%7.9%2.3%520.7K-573.5K-1.8K0.0099.67N/AN/A005330
2021-07-07$85.89$88.0028.6%5.3%8.7%34.4%0.0%13.0%-3.0%360.4K-1.7M-3.4K0.00124.25N/AN/A005530
2021-07-08$84.76$88.0020.0%4.0%9.8%20.3%0.0%12.1%10.2%376.9K-806.7K-2.2K0.00107.16N/AN/A005530
2021-07-09$86.18$88.0018.3%2.6%11.6%16.5%0.0%8.7%4.4%815.3K-1.6M-2.9K0.00109.90N/AN/A005530
2021-07-12$86.47$88.0011.1%5.1%11.6%1.5%9.9%5.4%2.5%1.0M-1.6M-2.5K0.00108.21N/AN/A4005530
2021-07-13$85.78$88.0022.3%4.5%11.9%25.0%0.0%1.4%-3.9%738.5K-1.5M-2.4K0.00116.83N/AN/A005930
2021-07-14$85.38$88.0019.1%5.5%12.0%18.3%0.0%10.7%-0.8%509.8K-1.3M-2.2K0.00118.77N/AN/A1005930
2021-07-15$85.22$88.0017.2%4.9%11.9%17.9%0.0%9.3%-6.9%516.8K-750.8K-1.5K0.00116.50N/AN/A006030
2021-07-16$84.75$88.0012.3%3.5%11.8%4.9%0.0%17.1%1.5%63.2K-324.0K-1.2K0.00111.21N/AN/A006030
2021-07-19$83.32$88.0025.0%7.2%12.3%38.5%0.0%6.3%-10.6%53.5K-255.3K-1.0K0.00117.97N/AN/A001430
2021-07-20$85.33$88.0018.9%5.4%14.5%22.4%23.9%7.9%-2.8%93.9K-259.5K-1.0K0.00124.53N/AN/A2001430
2021-07-21$85.85$87.0014.0%4.0%14.4%9.5%0.0%7.9%-0.5%114.4K-379.7K-1.3K0.00130.95N/AN/A001630
2021-07-22$85.82$87.0017.5%5.0%14.4%18.9%0.0%12.7%-1.7%102.8K-438.4K-1.4K0.00121.24N/AN/A4001630
2021-07-23$86.72$87.0011.9%3.4%14.8%3.9%0.0%10.6%4.4%159.2K-586.2K-1.8K0.00123.70N/AN/A002030
2021-07-26$86.75$87.0013.8%3.9%14.7%8.8%0.0%3.1%-0.5%154.4K-549.5K-1.7K0.00116.03N/AN/A002030
2021-07-27$86.42$87.0012.1%3.5%14.8%4.5%0.0%5.5%9.8%184.9K-497.1K-1.6K0.00115.48N/AN/A002030
2021-07-28$86.87$87.0017.7%5.1%14.9%19.3%0.0%11.5%-4.4%134.8K-648.0K-1.8K0.00130.63N/AN/A002030
2021-07-29$87.32$87.0010.5%3.0%15.0%0.3%0.0%4.8%5.4%195.2K-627.1K-1.7K0.00118.09N/AN/A002030
2021-07-30$86.82$87.0014.1%4.1%15.1%9.8%9.8%10.3%1.1%180.2K-612.7K-1.6K0.00107.56N/AN/A4002030