FEX Options History — January 2022

Name: FEX Options Analytics - January 2022
Creator: Options Analysis Suite

In January 2022, FEX traded between $84.40 and $92.32. ATM implied volatility averaged 22.8%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 8.3% (HV 20d: 14.5%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.50.

Notable Days

2022-01-26: Highest Volume — 11 contracts
2022-01-12: Largest IV drop — 35.4% change
2022-01-27: Highest IV Rank — 69.2%
2022-01-25: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.51	$84.40	$92.32	$91.85	$86.65
ATM IV	22.8%	16.6%	31.1%	19.0%	24.2%
Expected Move	6.2%	4.7%	8.9%	5.5%	6.9%
HV 20d	14.5%	12.8%	15.8%	15.1%	15.6%
HV 60d	14.5%	13.8%	15.5%	13.8%	15.5%
IV Rank	40.7%	22.1%	69.2%	29.0%	48.8%
IV Percentile	71.5%	33.7%	97.2%	52.4%	82.9%
Term Structure	-1.3%	-10.6%	2.9%	-1.4%	-2.2%
Skew 25d	7.2%	-0.4%	16.4%	5.8%	3.9%
Skew 10d	11.3%	3.7%	23.7%	3.7%	5.1%
Call IV 25d	19.1%	11.6%	30.3%	13.6%	21.6%
Put IV 25d	26.3%	17.3%	46.7%	19.5%	25.5%
Bid-Ask Spread %	127.18	116.93	143.24	140.97	135.65
Gamma HHI	0.30	0.22	0.36	0.35	0.23
Net GEX	-2.4K	-3.0K	-1.4K	-2.8K	-1.8K
Net DEX	38.9K	26.4K	54.8K	27.0K	43.7K
Net VEX	-154	-186	-110	-186	-113
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.50	2.00	4.50	2.00	4.50
Total Volume	7	6	11	6	11
Total OI	10.85	10	11	11	10

Daily Data (20 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
2022-01-03	$91.85	$0.00	19.0%	5.5%	15.1%	29.0%	0.0%	5.8%	-1.4%	-2.8K	27.0K	-186	2.00	140.97	N/A	N/A	2	4	2	9
2022-01-04	$92.32	$0.00	18.9%	5.4%	14.9%	28.6%	0.0%	5.3%	-2.6%	-3.0K	26.4K	-182	2.00	143.24	N/A	N/A	2	4	2	9
2022-01-05	$90.67	$0.00	20.5%	5.9%	15.1%	33.3%	0.0%	1.1%	-4.8%	-2.8K	28.7K	-182	2.00	139.31	N/A	N/A	2	4	2	9
2022-01-06	$90.73	$0.00	20.5%	4.9%	15.0%	33.4%	0.0%	5.8%	0.9%	-2.7K	33.2K	-180	2.00	136.09	N/A	N/A	2	4	2	9
2022-01-07	$90.51	$0.00	22.4%	5.0%	14.8%	38.6%	0.0%	10.0%	-1.1%	-2.7K	32.7K	-183	2.00	120.69	N/A	N/A	2	4	2	9
2022-01-10	$89.70	$0.00	25.5%	5.1%	15.1%	47.4%	0.0%	10.5%	0.7%	-2.6K	36.9K	-173	2.00	117.15	N/A	N/A	2	4	2	9
2022-01-11	$90.91	$0.00	25.7%	4.7%	15.8%	48.0%	0.0%	8.4%	1.8%	-3.0K	33.4K	-174	2.00	120.67	N/A	N/A	2	4	2	9
2022-01-12	$91.09	$0.00	16.6%	4.8%	15.4%	22.1%	0.0%	8.1%	0.9%	-2.9K	32.5K	-175	2.00	124.48	N/A	N/A	2	4	2	9
2022-01-13	$90.67	$0.00	17.0%	4.9%	14.9%	23.3%	0.0%	9.1%	-1.6%	-2.9K	29.5K	-176	2.00	128.53	N/A	N/A	2	4	2	9
2022-01-14	$90.25	$0.00	17.3%	5.0%	15.0%	24.1%	0.0%	5.9%	0.4%	-2.9K	37.5K	-168	2.00	117.19	N/A	N/A	2	4	2	9
2022-01-18	$88.95	$0.00	19.6%	5.6%	15.7%	30.6%	0.0%	2.6%	-0.7%	-2.6K	38.8K	-160	2.00	123.71	N/A	N/A	2	4	2	9
2022-01-19	$88.32	$0.00	20.7%	5.9%	14.3%	33.7%	0.0%	5.1%	-0.1%	-2.7K	37.9K	-161	2.00	123.61	N/A	N/A	2	4	2	9
2022-01-20	$87.16	$0.00	21.1%	6.1%	13.2%	35.0%	0.0%	10.4%	2.9%	-2.7K	39.8K	-157	2.00	117.65	N/A	N/A	2	4	2	9
2022-01-21	$85.57	$0.00	22.2%	6.4%	14.0%	38.0%	0.0%	5.3%	-0.3%	-2.0K	48.9K	-135	2.00	122.42	N/A	N/A	2	4	2	9
2022-01-24	$85.40	$0.00	27.0%	7.7%	13.5%	51.8%	0.0%	7.9%	-3.0%	-1.6K	54.8K	-114	2.00	116.93	N/A	N/A	2	4	2	9
2022-01-25	$85.51	$0.00	31.1%	8.9%	12.9%	63.5%	0.0%	11.7%	-4.3%	-1.7K	52.1K	-123	2.00	126.12	N/A	N/A	2	4	2	9
2022-01-26	$84.54	$0.00	28.0%	8.0%	12.9%	54.5%	0.0%	16.4%	-0.6%	-1.9K	52.5K	-120	4.50	134.54	N/A	N/A	2	9	2	9
2022-01-27	$84.40	$0.00	30.6%	8.8%	12.8%	69.2%	0.0%	-0.4%	-10.6%	-1.4K	45.1K	-112	4.50	120.38	N/A	N/A	2	9	2	8
2022-01-28	$85.01	$0.00	28.0%	8.0%	13.3%	61.0%	0.0%	10.7%	0.7%	-1.5K	46.5K	-110	4.50	134.35	N/A	N/A	2	9	2	8
2022-01-31	$86.65	$0.00	24.2%	6.9%	15.6%	48.8%	0.0%	3.9%	-2.2%	-1.8K	43.7K	-113	4.50	135.65	N/A	N/A	2	9	2	8