FEX Options History — August 2021

In August 2021, FEX traded between $86.93 and $89.81. ATM implied volatility averaged 14.0%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.6% (HV 20d: 10.4%). Max pain ranged from $81.00 to $87.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-08-02: Highest Volume — 40 contracts
  • 2021-08-03: Largest IV spike — 93.5% change
  • 2021-08-09: Highest IV Rank — 37.5%
  • 2021-08-09: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.50$86.93$89.81$86.93$89.56
Max Pain$81.82$81.00$87.00$87.00$81.00
ATM IV14.0%8.8%24.4%10.2%8.8%
Expected Move3.9%2.5%5.9%2.9%2.5%
HV 20d10.4%7.0%15.2%15.1%8.0%
HV 60d11.3%10.4%13.3%13.3%11.0%
IV Rank10.5%0.0%37.5%0.0%0.0%
IV Percentile12.9%0.0%64.3%0.0%0.0%
Term Structure1.3%-6.0%6.8%6.4%5.5%
VWIV12.0%11.4%12.6%11.4%12.6%
Skew 25d6.7%2.8%13.3%7.8%5.9%
Skew 10d8.4%-1.8%18.6%7.3%7.7%
Call IV 25d11.9%8.4%19.9%16.6%8.4%
Put IV 25d18.6%14.4%26.5%24.5%14.4%
Bid-Ask Spread %117.42104.11135.46115.84122.58
Gamma HHI0.630.430.960.560.84
Net GEX282.1K36.7K1.5M205.6K81.2K
Net DEX-723.7K-1.4M-122.8K-610.4K-175.5K
Net VEX-1.1K-2.0K-312-1.6K-369
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume4.545040400
Total OI202.0914328320363

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$86.93$87.0010.2%2.9%15.1%0.0%11.4%7.8%6.4%205.6K-610.4K-1.6K0.00115.84N/AN/A4002030
2021-08-03$87.65$87.0019.8%5.7%15.2%25.2%0.0%13.3%-4.6%168.2K-863.1K-1.9K0.00132.79N/AN/A002430
2021-08-04$87.59$87.0018.3%5.2%15.2%21.2%0.0%6.3%-6.0%216.7K-858.6K-2.0K0.00135.46N/AN/A002830
2021-08-05$87.83$81.0014.4%3.8%14.2%11.1%0.0%5.5%2.2%284.6K-853.0K-1.9K0.00112.88N/AN/A002830
2021-08-06$88.02$81.0013.5%3.7%13.1%8.7%0.0%6.5%2.5%310.7K-939.1K-1.9K0.00118.02N/AN/A002830
2021-08-09$88.32$81.0024.4%5.9%13.1%37.5%0.0%6.6%-5.9%275.7K-1.0M-1.8K0.00127.34N/AN/A002830
2021-08-10$88.54$81.0012.1%3.4%12.7%4.8%0.0%8.4%3.9%374.3K-1.1M-1.6K0.00119.15N/AN/A002830
2021-08-11$88.82$81.0011.6%3.3%12.5%3.5%0.0%3.5%2.9%406.6K-1.2M-1.5K0.00106.02N/AN/A002830
2021-08-12$88.97$81.0017.2%4.9%12.4%18.4%0.0%6.4%-4.7%316.6K-1.3M-1.6K0.00111.12N/AN/A002830
2021-08-13$88.99$81.0012.5%3.6%12.1%6.0%0.0%6.6%1.3%385.5K-1.4M-1.4K0.00104.11N/AN/A002830
2021-08-16$88.89$81.0011.3%3.2%9.8%2.7%0.0%5.6%3.0%425.7K-1.4M-1.1K0.00112.73N/AN/A002830
2021-08-17$88.18$81.0013.4%3.8%7.0%8.3%0.0%5.6%3.2%406.0K-1.0M-9770.00117.18N/AN/A002830
2021-08-18$87.82$81.0014.7%4.2%7.1%11.8%0.0%6.2%1.7%293.8K-908.1K-9120.00128.41N/AN/A002830
2021-08-19$87.24$81.0018.0%5.2%7.6%20.5%0.0%2.8%2.8%334.2K-673.3K-6270.00116.04N/AN/A002830
2021-08-20$87.96$81.0013.7%3.9%7.3%9.1%0.0%7.5%0.6%1.5M-739.9K-3480.00119.02N/AN/A002830
2021-08-23$88.67$81.0011.4%3.3%7.7%3.1%0.0%6.9%2.0%43.6K-122.8K-3120.00116.74N/AN/A00430
2021-08-24$88.98$81.009.8%2.8%7.5%0.0%0.0%4.8%1.5%36.7K-162.0K-3720.00118.09N/AN/A00430
2021-08-25$89.57$81.0012.9%3.7%7.6%8.2%0.0%7.9%6.8%42.3K-170.9K-3580.00116.48N/AN/A00430
2021-08-26$88.94$81.0012.4%3.5%8.1%6.9%0.0%7.2%-0.1%47.2K-155.8K-3380.00114.14N/AN/A00430
2021-08-27$89.81$81.0013.5%3.9%8.3%9.6%0.0%8.3%1.1%45.4K-195.9K-3560.00105.66N/AN/A200430
2021-08-30$89.79$81.0014.9%4.3%8.3%13.4%12.6%6.8%3.3%45.3K-188.0K-3260.00113.52N/AN/A400430
2021-08-31$89.56$81.008.8%2.5%8.0%0.0%0.0%5.9%5.5%81.2K-175.5K-3690.00122.58N/AN/A00630