FEX Options History — September 2021

In September 2021, FEX traded between $85.64 and $90.12. ATM implied volatility averaged 18.6%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 8.1% (HV 20d: 10.5%). Max pain ranged from $81.00 to $94.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-09-17: Highest Volume — 6 contracts
  • 2021-09-17: Largest IV spike — 56.9% change
  • 2021-09-30: Highest IV Rank — 54.0%
  • 2021-09-30: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.11$85.64$90.12$89.61$85.64
Max Pain$89.95$81.00$94.00$81.00$90.00
ATM IV18.6%11.1%27.8%11.1%27.8%
Expected Move5.1%3.2%8.0%3.2%8.0%
HV 20d10.5%8.0%13.6%8.0%13.6%
HV 60d11.4%10.6%12.7%11.0%12.7%
IV Rank27.6%5.8%54.0%5.8%54.0%
IV Percentile38.9%3.2%84.5%3.2%84.5%
Term Structure-2.2%-12.6%4.6%2.1%-6.0%
VWIV17.2%17.2%17.2%17.2%17.2%
Skew 25d6.2%-6.7%12.3%3.1%1.8%
Skew 10d7.4%2.7%17.8%3.5%4.2%
Call IV 25d14.4%8.9%32.2%8.9%18.8%
Put IV 25d20.6%11.9%27.1%11.9%20.6%
Bid-Ask Spread %132.86111.31147.45128.09135.25
Gamma HHI0.510.410.800.450.48
Net GEX46.2K4.0K100.4K100.4K5.2K
Net DEX-126.2K-326.6K-11.4K-252.9K-22.1K
Net VEX-262-710-61-577-89
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.6190600
Total OI70.812110810325

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$89.61$81.0011.1%3.2%8.0%5.8%0.0%3.1%2.1%100.4K-252.9K-5770.00128.09N/AN/A001030
2021-09-02$89.99$94.0017.3%4.5%8.1%21.5%17.2%10.9%-3.3%85.8K-326.6K-7100.00126.66N/AN/A101030
2021-09-03$90.12$94.0018.0%4.7%8.1%23.3%0.0%12.3%-0.6%98.4K-313.1K-6580.00111.31N/AN/A001030
2021-09-07$89.34$90.0024.3%3.7%8.7%43.9%0.0%7.7%1.8%81.9K-293.6K-5630.00120.59N/AN/A001040
2021-09-08$89.07$90.0013.2%3.8%8.8%12.6%0.0%6.3%2.3%88.5K-184.7K-3930.00111.68N/AN/A101040
2021-09-09$89.09$90.0015.6%4.5%8.7%19.3%0.0%5.1%-1.6%85.6K-218.9K-4270.00135.07N/AN/A301040
2021-09-10$88.43$90.0013.8%3.9%9.1%14.1%0.0%6.2%2.7%70.0K-150.9K-3050.00136.15N/AN/A001050
2021-09-13$88.26$90.0014.7%4.2%9.1%16.8%0.0%1.2%-0.1%65.5K-118.9K-1980.00138.99N/AN/A001080
2021-09-14$87.74$90.0018.1%5.2%9.3%26.3%0.0%5.9%-1.2%57.5K-140.5K-2230.00145.48N/AN/A001080
2021-09-15$88.74$90.0014.2%4.1%9.8%15.2%0.0%5.8%1.7%72.8K-218.2K-2140.00139.21N/AN/A001080
2021-09-16$88.72$90.0011.8%3.4%9.7%8.6%0.0%6.8%4.6%82.1K-141.7K-1450.00137.07N/AN/A001080
2021-09-17$87.97$90.0018.6%5.3%9.9%27.8%0.0%7.6%-0.4%23.8K-52.6K-950.00122.21N/AN/A601080
2021-09-20$86.15$90.0020.5%5.9%12.0%33.2%0.0%12.0%-1.2%4.0K-11.4K-610.00128.93N/AN/A00210
2021-09-21$86.60$90.0022.1%6.3%11.8%37.7%0.0%10.9%-5.9%6.8K-28.8K-1300.00138.40N/AN/A00250
2021-09-22$87.42$90.0020.9%6.0%12.3%34.5%0.0%5.9%-5.5%6.4K-27.0K-1240.00145.30N/AN/A00250
2021-09-23$88.25$90.0016.8%4.8%12.5%22.6%0.0%8.0%0.5%7.5K-27.1K-1140.00143.93N/AN/A00250
2021-09-24$88.22$90.0020.1%5.7%12.3%32.0%0.0%10.1%-4.0%8.0K-33.4K-1350.00147.45N/AN/A00250
2021-09-27$88.06$90.0023.4%6.7%11.7%41.5%0.0%7.1%-8.8%8.4K-36.7K-1350.00129.90N/AN/A00250
2021-09-28$86.39$90.0024.3%7.0%13.4%44.1%0.0%1.9%-12.6%5.1K-21.1K-920.00139.49N/AN/A00250
2021-09-29$86.47$90.0024.7%7.1%13.4%45.1%0.0%-6.7%-10.6%6.8K-29.3K-1120.00128.91N/AN/A02250
2021-09-30$85.64$90.0027.8%8.0%13.6%54.0%0.0%1.8%-6.0%5.2K-22.1K-890.00135.25N/AN/A00250