FEX Options History — October 2021

In October 2021, FEX traded between $85.18 and $91.04. ATM implied volatility averaged 19.0%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 5.4% (HV 20d: 13.6%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.50.

Notable Days

2021-10-20: Highest Volume — 6 contracts
2021-10-04: Largest IV spike — 55.8% change
2021-10-04: Highest IV Rank — 71.4%
2021-10-01: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.32	$85.18	$91.04	$85.92	$90.38
Max Pain	$90.00	$90.00	$90.00	$90.00	$90.00
ATM IV	19.0%	10.7%	33.9%	21.8%	15.2%
Expected Move	4.5%	3.1%	6.2%	6.2%	4.4%
HV 20d	13.6%	10.5%	15.7%	13.6%	11.5%
HV 60d	11.6%	10.8%	12.4%	12.4%	11.6%
IV Rank	29.0%	5.2%	71.4%	36.8%	18.1%
IV Percentile	41.2%	2.0%	94.0%	59.1%	23.8%
Term Structure	-0.7%	-5.9%	5.9%	-4.4%	-2.7%
Skew 25d	6.2%	-0.7%	12.9%	8.9%	6.4%
Skew 10d	10.3%	4.9%	16.0%	8.4%	6.2%
Call IV 25d	14.0%	10.6%	20.0%	17.5%	15.6%
Put IV 25d	20.2%	15.1%	26.4%	26.4%	21.9%
Bid-Ask Spread %	122.80	102.04	143.18	143.18	125.17
Gamma HHI	0.36	0.22	0.46	0.35	0.45
Net GEX	2.1K	1.1K	3.8K	3.3K	1.6K
Net DEX	-9.3K	-15.2K	-1.0K	-6.5K	-12.9K
Net VEX	-96	-125	-85	-114	-85
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.50	0.50	0.50	0.50
Total Volume	2.286	0	6	0	6
Total OI	17	6	27	27	6

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2021-10-01	$85.92	$90.00	21.8%	6.2%	13.6%	36.8%	0.0%	8.9%	-4.4%	3.3K	-6.5K	-114	0.00	143.18	N/A	N/A	0	0	25	2
2021-10-04	$85.18	$0.00	33.9%	6.1%	13.7%	71.4%	0.0%	4.4%	-2.1%	3.8K	-9.6K	-125	0.00	140.95	N/A	N/A	0	0	25	2
2021-10-05	$86.12	$0.00	20.3%	4.6%	14.3%	32.7%	0.0%	7.8%	-0.3%	1.9K	-1.0K	-90	0.00	127.83	N/A	N/A	0	0	25	2
2021-10-06	$85.92	$0.00	25.1%	4.5%	14.3%	46.3%	0.0%	3.1%	2.2%	3.2K	-6.2K	-111	0.00	136.37	N/A	N/A	0	0	25	2
2021-10-07	$86.94	$0.00	23.9%	4.3%	15.1%	42.9%	0.0%	3.7%	1.2%	3.4K	-8.7K	-110	0.00	119.64	N/A	N/A	0	0	25	2
2021-10-08	$86.81	$0.00	28.2%	4.5%	14.9%	55.3%	0.0%	12.9%	-0.6%	3.7K	-9.2K	-109	0.00	111.31	N/A	N/A	0	0	25	2
2021-10-11	$86.42	$0.00	27.9%	4.9%	15.0%	54.4%	0.0%	9.8%	-1.3%	1.8K	-4.1K	-94	0.00	116.48	N/A	N/A	0	0	25	2
2021-10-12	$86.24	$0.00	29.0%	4.7%	14.9%	57.6%	0.0%	3.0%	5.9%	1.3K	-4.1K	-94	0.00	113.51	N/A	N/A	0	0	25	2
2021-10-13	$86.75	$0.00	17.9%	5.1%	14.4%	25.7%	0.0%	5.9%	-1.1%	2.5K	-7.5K	-102	0.00	138.04	N/A	N/A	0	0	25	2
2021-10-14	$88.18	$0.00	10.7%	3.1%	15.7%	5.2%	0.0%	3.8%	2.1%	2.2K	-7.0K	-92	0.00	114.33	N/A	N/A	0	0	25	2
2021-10-15	$88.71	$0.00	13.4%	3.8%	15.5%	12.9%	0.0%	5.4%	1.3%	2.7K	-8.7K	-92	0.00	102.04	N/A	N/A	0	0	25	2
2021-10-18	$88.89	$0.00	13.5%	3.9%	13.3%	13.2%	0.0%	7.8%	3.1%	1.1K	-9.1K	-95	0.00	129.64	N/A	N/A	0	0	4	2
2021-10-19	$89.35	$0.00	13.7%	3.9%	13.3%	14.0%	0.0%	6.3%	-0.5%	1.5K	-10.0K	-90	0.00	116.88	N/A	N/A	0	0	4	2
2021-10-20	$90.15	$0.00	12.1%	3.5%	13.3%	9.3%	0.0%	6.1%	1.0%	1.6K	-11.2K	-90	0.50	110.19	N/A	N/A	4	2	4	2
2021-10-21	$90.35	$0.00	17.6%	5.1%	13.0%	25.1%	0.0%	10.6%	-1.9%	1.6K	-13.2K	-91	0.50	121.71	N/A	N/A	4	2	4	2
2021-10-22	$90.74	$0.00	17.0%	4.9%	13.0%	23.3%	0.0%	5.1%	-2.5%	1.8K	-13.4K	-89	0.50	125.75	N/A	N/A	4	2	4	2
2021-10-25	$91.04	$0.00	12.5%	3.6%	13.0%	10.3%	0.0%	6.1%	-1.6%	1.7K	-15.0K	-86	0.50	120.97	N/A	N/A	4	2	4	2
2021-10-26	$90.91	$0.00	14.6%	4.2%	10.5%	16.4%	0.0%	7.8%	-4.1%	1.4K	-15.2K	-89	0.50	122.05	N/A	N/A	4	2	4	2
2021-10-27	$89.57	$0.00	15.6%	4.5%	12.2%	19.2%	0.0%	-0.7%	-5.9%	1.6K	-12.2K	-85	0.50	126.26	N/A	N/A	4	2	4	2
2021-10-28	$90.24	$0.00	15.3%	4.4%	11.5%	18.3%	0.0%	6.6%	-2.3%	1.4K	-11.4K	-86	0.50	116.47	N/A	N/A	4	2	4	2
2021-10-29	$90.38	$0.00	15.2%	4.4%	11.5%	18.1%	0.0%	6.4%	-2.7%	1.6K	-12.9K	-85	0.50	125.17	N/A	N/A	4	2	4	2