FEX Options History — December 2021

In December 2021, FEX traded between $87.95 and $92.60. ATM implied volatility averaged 22.5%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.0% (HV 20d: 17.5%). Max pain ranged from $87.00 to $87.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.31.

Notable Days

2021-12-15: Highest Volume — 15 contracts
2021-12-15: Largest IV drop — 55.4% change
2021-12-14: Highest IV Rank — 89.4%
2021-12-03: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.56	$87.95	$92.60	$87.95	$92.58
Max Pain	$87.00	$87.00	$87.00	$87.00	$87.00
ATM IV	22.5%	12.3%	40.2%	26.7%	16.2%
Expected Move	5.6%	3.5%	8.3%	7.6%	4.6%
HV 20d	17.5%	13.7%	20.4%	13.7%	15.5%
HV 60d	14.0%	13.2%	14.7%	13.2%	13.9%
IV Rank	38.9%	9.8%	89.4%	50.8%	20.9%
IV Percentile	64.8%	9.5%	99.6%	89.3%	32.5%
Term Structure	-1.5%	-9.2%	2.0%	-3.9%	-3.7%
VWIV	24.3%	23.6%	25.2%	24.2%	25.2%
Skew 25d	7.2%	3.5%	11.3%	8.2%	5.9%
Skew 10d	12.4%	4.6%	24.4%	17.7%	10.2%
Call IV 25d	16.7%	12.9%	27.3%	22.8%	15.1%
Put IV 25d	23.8%	18.4%	38.7%	31.0%	20.9%
Bid-Ask Spread %	123.65	107.22	139.33	111.21	113.31
Gamma HHI	0.30	0.24	0.41	0.29	0.36
Net GEX	745	-2.8K	6.1K	1.1K	-2.8K
Net DEX	1.7K	-25.9K	25.1K	2.8K	25.1K
Net VEX	-110	-192	-86	-107	-192
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.36	4.50	1.00	2.00
Total Volume	9.5	6	15	8	6
Total OI	7.636	6	13	8	11

Daily Data (22 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
2021-12-01	$87.95	$87.00	26.7%	7.6%	13.7%	50.8%	24.2%	8.2%	-3.9%	1.1K	2.8K	-107	1.00	111.21	N/A	N/A	4	4	4	4
2021-12-02	$89.44	$87.00	25.4%	7.3%	15.1%	47.2%	23.6%	7.9%	-6.1%	1.1K	2.7K	-107	1.00	124.56	N/A	N/A	4	4	4	4
2021-12-03	$88.40	$87.00	28.8%	8.3%	15.5%	57.0%	25.2%	11.3%	-3.8%	1.1K	4.0K	-107	1.00	119.20	N/A	N/A	4	4	4	4
2021-12-06	$89.23	$0.00	29.0%	6.5%	15.9%	57.5%	0.0%	7.9%	0.2%	1.1K	2.6K	-104	1.00	114.11	N/A	N/A	4	4	4	4
2021-12-07	$90.87	$0.00	21.0%	5.4%	17.2%	34.6%	0.0%	4.4%	-1.9%	1.7K	-3.6K	-100	1.00	107.22	N/A	N/A	4	4	4	4
2021-12-08	$91.38	$0.00	26.4%	5.0%	17.4%	49.9%	0.0%	7.7%	0.2%	1.7K	-5.4K	-101	0.44	118.80	N/A	N/A	9	4	4	4
2021-12-09	$90.73	$0.00	26.8%	5.3%	17.4%	51.1%	0.0%	10.5%	-1.8%	6.1K	-25.9K	-127	0.44	118.60	N/A	N/A	9	4	9	4
2021-12-10	$90.85	$0.00	26.6%	4.8%	17.3%	50.5%	0.0%	7.3%	0.4%	1.7K	-4.4K	-96	0.44	119.74	N/A	N/A	9	4	4	4
2021-12-13	$90.57	$0.00	28.6%	4.9%	17.1%	56.4%	0.0%	7.1%	0.1%	1.6K	-3.3K	-91	0.44	116.77	N/A	N/A	9	4	4	4
2021-12-14	$89.66	$0.00	40.2%	5.3%	17.4%	89.4%	0.0%	5.4%	0.0%	1.3K	637	-91	0.44	135.73	N/A	N/A	9	4	4	4
2021-12-15	$90.70	$0.00	17.9%	5.1%	17.8%	25.9%	0.0%	7.8%	1.2%	1.4K	-3.6K	-86	0.36	135.03	N/A	N/A	11	4	4	4
2021-12-16	$90.54	$0.00	17.3%	5.0%	17.6%	24.1%	0.0%	3.5%	0.6%	1.3K	2.7K	-120	0.36	134.11	N/A	N/A	11	4	4	4
2021-12-17	$89.94	$0.00	18.9%	5.4%	17.7%	28.6%	0.0%	4.9%	0.3%	913	4.9K	-117	0.36	137.93	N/A	N/A	11	4	4	4
2021-12-20	$88.22	$0.00	21.5%	6.2%	18.8%	36.2%	0.0%	5.2%	-0.5%	-420	10.9K	-111	2.00	133.05	N/A	N/A	2	4	2	4
2021-12-21	$89.91	$0.00	19.6%	5.6%	20.1%	30.6%	0.0%	8.6%	0.3%	-443	8.1K	-113	2.00	137.97	N/A	N/A	2	4	2	4
2021-12-22	$90.62	$0.00	16.8%	4.8%	20.3%	22.7%	0.0%	6.2%	-0.2%	-424	6.3K	-112	2.00	139.33	N/A	N/A	2	4	2	4
2021-12-23	$91.28	$0.00	20.5%	5.9%	20.4%	33.2%	0.0%	6.2%	-9.2%	-336	3.7K	-112	2.00	118.91	N/A	N/A	2	4	2	4
2021-12-27	$92.04	$0.00	21.1%	6.1%	20.0%	35.0%	0.0%	10.9%	-4.0%	-474	3.5K	-111	2.00	129.29	N/A	N/A	2	4	2	4
2021-12-28	$92.28	$0.00	15.8%	4.5%	19.9%	19.9%	0.0%	4.4%	-1.3%	-338	2.0K	-110	2.00	120.25	N/A	N/A	2	4	2	4
2021-12-29	$92.47	$0.00	12.3%	3.5%	17.1%	9.8%	0.0%	7.5%	2.0%	-284	1.5K	-107	2.00	119.82	N/A	N/A	2	4	2	4
2021-12-30	$92.60	$0.00	17.8%	5.1%	16.3%	25.4%	0.0%	9.3%	-2.1%	-257	1.0K	-106	4.50	115.39	N/A	N/A	2	9	2	4
2021-12-31	$92.58	$0.00	16.2%	4.6%	15.5%	20.9%	0.0%	5.9%	-3.7%	-2.8K	25.1K	-192	2.00	113.31	N/A	N/A	2	4	2	9