FEX Options History — November 2021

In November 2021, FEX traded between $89.00 and $93.21. ATM implied volatility averaged 17.3%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 7.8% (HV 20d: 9.6%). Max pain ranged from $87.00 to $87.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2021-11-08: Highest Volume — 8 contracts
2021-11-24: Largest IV spike — 60.4% change
2021-11-26: Highest IV Rank — 47.0%
2021-11-26: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$91.83	$89.00	$93.21	$90.99	$89.00
Max Pain	$87.00	$87.00	$87.00	$87.00	$87.00
ATM IV	17.3%	12.2%	25.3%	16.6%	23.8%
Expected Move	4.8%	3.4%	7.3%	4.8%	6.8%
HV 20d	9.6%	7.8%	13.3%	10.8%	13.3%
HV 60d	11.7%	11.4%	13.1%	11.6%	13.1%
IV Rank	24.3%	9.7%	47.0%	22.2%	42.5%
IV Percentile	38.5%	8.7%	87.7%	28.2%	81.3%
Term Structure	-1.4%	-9.8%	3.3%	-5.0%	-3.5%
VWIV	17.3%	12.9%	22.8%	17.2%	22.8%
Skew 25d	5.8%	-0.9%	14.7%	3.8%	4.8%
Skew 10d	10.3%	2.2%	22.7%	10.9%	13.9%
Call IV 25d	14.7%	9.8%	22.2%	16.2%	22.2%
Put IV 25d	20.5%	14.0%	35.1%	20.0%	27.0%
Bid-Ask Spread %	120.58	100.09	135.30	116.36	114.27
Gamma HHI	0.40	0.31	0.57	0.46	0.31
Net GEX	1.4K	998	2.0K	2.0K	1.3K
Net DEX	-10.8K	-18.7K	291	-14.9K	291
Net VEX	-108	-130	-75	-79	-110
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.50	1.00	0.50	1.00
Total Volume	7.524	6	8	6	8
Total OI	7.429	6	8	6	8

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
2021-11-01	$90.99	$0.00	16.6%	4.8%	10.8%	22.2%	0.0%	3.8%	-5.0%	2.0K	-14.9K	-79	0.50	116.36	N/A	N/A	4	2	4	2
2021-11-02	$91.28	$0.00	14.6%	4.2%	10.4%	16.6%	0.0%	2.5%	-3.8%	2.0K	-14.7K	-80	0.50	117.45	N/A	N/A	4	2	4	2
2021-11-03	$91.67	$0.00	18.7%	5.4%	10.3%	28.1%	0.0%	9.5%	-3.4%	1.5K	-15.9K	-79	0.50	134.47	N/A	N/A	4	2	4	2
2021-11-04	$91.41	$87.00	20.2%	4.4%	9.9%	32.3%	17.2%	9.3%	2.5%	1.4K	-17.3K	-80	0.50	116.29	N/A	N/A	4	2	4	2
2021-11-05	$91.87	$87.00	14.8%	3.4%	9.9%	17.1%	13.3%	3.9%	2.2%	1.8K	-18.7K	-75	0.50	114.52	N/A	N/A	4	2	4	2
2021-11-08	$92.28	$87.00	15.0%	3.9%	9.5%	17.5%	18.5%	7.0%	1.5%	1.9K	-18.1K	-75	1.00	100.09	N/A	N/A	4	4	4	2
2021-11-09	$92.28	$87.00	21.3%	4.9%	9.4%	35.5%	18.5%	10.8%	-1.5%	1.1K	-9.1K	-130	1.00	116.55	N/A	N/A	4	4	4	4
2021-11-10	$91.64	$87.00	12.6%	3.6%	10.0%	10.8%	16.5%	-0.9%	3.1%	1.1K	-7.5K	-130	1.00	130.37	N/A	N/A	4	4	4	4
2021-11-11	$92.08	$87.00	17.3%	5.0%	8.7%	24.2%	18.4%	5.5%	-1.9%	1.0K	-9.4K	-127	1.00	135.30	N/A	N/A	4	4	4	4
2021-11-12	$92.65	$87.00	13.1%	3.7%	8.7%	12.0%	14.5%	4.9%	2.6%	1.3K	-11.8K	-122	1.00	133.10	N/A	N/A	4	4	4	4
2021-11-15	$92.56	$87.00	12.7%	3.7%	8.7%	11.1%	16.5%	2.5%	2.0%	1.3K	-11.8K	-119	1.00	132.69	N/A	N/A	4	4	4	4
2021-11-16	$93.21	$87.00	17.1%	4.9%	8.9%	23.5%	18.1%	5.9%	-1.6%	998	-13.8K	-116	1.00	132.75	N/A	N/A	4	4	4	4
2021-11-17	$92.50	$87.00	16.3%	4.7%	9.1%	21.2%	12.9%	4.2%	0.9%	1.4K	-10.6K	-123	1.00	105.33	N/A	N/A	4	4	4	4
2021-11-18	$92.34	$87.00	14.7%	4.2%	9.2%	16.7%	16.4%	3.3%	-0.6%	1.3K	-10.3K	-119	1.00	117.87	N/A	N/A	4	4	4	4
2021-11-19	$91.92	$87.00	14.6%	4.2%	9.3%	16.4%	14.9%	2.3%	0.4%	1.3K	-9.3K	-121	1.00	111.04	N/A	N/A	4	4	4	4
2021-11-22	$92.40	$87.00	12.2%	3.5%	9.4%	9.7%	15.6%	1.4%	3.3%	1.8K	-10.8K	-112	1.00	118.52	N/A	N/A	4	4	4	4
2021-11-23	$91.84	$87.00	15.4%	4.4%	9.7%	18.6%	16.9%	7.5%	-1.5%	1.5K	-7.5K	-119	1.00	119.00	N/A	N/A	4	4	4	4
2021-11-24	$92.19	$87.00	24.6%	7.1%	7.8%	45.1%	18.9%	8.9%	-9.8%	1.1K	-8.2K	-118	1.00	128.91	N/A	N/A	4	4	4	4
2021-11-26	$90.90	$87.00	25.3%	7.3%	9.3%	47.0%	20.3%	14.7%	-9.7%	1.1K	-2.5K	-118	1.00	125.47	N/A	N/A	4	4	4	4
2021-11-29	$91.42	$87.00	23.4%	6.7%	9.4%	41.5%	20.5%	10.2%	-5.8%	1.5K	-4.5K	-113	1.00	111.83	N/A	N/A	4	4	4	4
2021-11-30	$89.00	$87.00	23.8%	6.8%	13.3%	42.5%	22.8%	4.8%	-3.5%	1.3K	291	-110	1.00	114.27	N/A	N/A	4	4	4	4