FEX Options History — February 2022 In February 2022, FEX traded between $83.52 and $89.55. ATM implied volatility averaged 25.4%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 7.6% (HV 20d: 17.7%). Max pain ranged from $93.00 to $93.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 4.50.
Notable Days 2022-02-01 : Highest Volume — 11 contracts2022-02-22 : Largest IV spike — 37.2% change2022-02-23 : Highest IV Rank — 73.8%2022-02-23 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $86.82 $83.52 $89.55 $87.70 $85.57 Max Pain $93.00 $93.00 $93.00 $93.00 $93.00 ATM IV 25.4% 18.8% 32.0% 26.1% 29.3% Expected Move 7.0% 5.2% 9.2% 7.5% 8.4% HV 20d 17.7% 16.3% 21.2% 16.4% 21.2% HV 60d 16.7% 15.7% 17.6% 15.7% 17.5% IV Rank 52.7% 31.7% 73.8% 54.9% 65.1% IV Percentile 83.3% 51.2% 98.0% 88.5% 96.0% Term Structure -0.7% -6.6% 2.8% -2.8% -1.1% VWIV 22.2% 16.5% 28.1% 18.6% 24.7% Skew 25d 8.8% 1.9% 16.4% 9.6% 16.4% Skew 10d 17.2% 5.3% 26.5% 6.0% 11.9% Call IV 25d 20.5% 12.7% 26.8% 19.1% 22.5% Put IV 25d 29.4% 20.3% 38.9% 28.7% 38.9% Bid-Ask Spread % 119.41 106.65 143.35 140.85 120.20 Gamma HHI 0.24 0.19 0.28 0.23 0.21 Net GEX -1.9K -2.4K -1.2K -1.9K -1.7K Net DEX 42.4K 30.2K 55.5K 42.1K 47.5K Net VEX -99 -126 -53 -115 -69 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.50 4.50 4.50 4.50 4.50 Total Volume 11 11 11 11 11 Total OI 10 10 10 10 10
Daily Data (19 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 2022-02-01 $87.70 $0.00 26.1% 7.5% 16.4% 54.9% 0.0% 9.6% -2.8% -1.9K 42.1K -115 4.50 140.85 N/A N/A 2 9 2 8 2022-02-02 $88.58 $0.00 25.2% 7.2% 16.8% 52.2% 0.0% 8.4% -3.9% -2.1K 36.7K -126 4.50 143.35 N/A N/A 2 9 2 8 2022-02-03 $87.38 $93.00 26.3% 6.6% 16.3% 55.5% 18.6% 8.1% -0.6% -2.1K 38.4K -122 4.50 121.07 N/A N/A 2 9 2 8 2022-02-04 $87.70 $93.00 26.0% 6.0% 16.4% 54.8% 21.4% 7.8% 1.0% -2.1K 39.6K -117 4.50 123.38 N/A N/A 2 9 2 8 2022-02-07 $87.58 $93.00 25.7% 5.5% 16.4% 53.8% 16.5% 7.8% 2.4% -2.1K 41.5K -111 4.50 118.25 N/A N/A 2 9 2 8 2022-02-08 $88.21 $93.00 24.9% 5.2% 16.4% 51.0% 19.3% 7.8% 1.2% -2.2K 41.0K -108 4.50 118.33 N/A N/A 2 9 2 8 2022-02-09 $89.55 $93.00 18.8% 5.4% 16.7% 31.7% 18.4% 7.6% -1.0% -2.4K 34.4K -118 4.50 128.29 N/A N/A 2 9 2 8 2022-02-10 $88.09 $93.00 20.8% 6.0% 17.5% 38.2% 19.4% 9.9% 1.6% -2.2K 30.2K -123 4.50 118.43 N/A N/A 2 9 2 8 2022-02-11 $86.98 $93.00 26.5% 7.6% 17.9% 56.1% 22.6% 6.0% -0.7% -1.9K 39.8K -110 4.50 118.44 N/A N/A 2 9 2 8 2022-02-14 $86.45 $93.00 24.4% 7.0% 18.0% 49.6% 23.7% 7.3% -0.2% -1.9K 44.5K -96 4.50 118.18 N/A N/A 2 9 2 8 2022-02-15 $87.29 $93.00 26.4% 7.6% 17.8% 55.8% 20.3% 6.3% 0.5% -1.9K 41.9K -102 4.50 109.87 N/A N/A 2 9 2 8 2022-02-16 $87.85 $93.00 21.8% 6.2% 17.8% 41.2% 23.2% 7.4% -1.7% -2.1K 40.8K -100 4.50 121.70 N/A N/A 2 9 2 8 2022-02-17 $86.21 $93.00 22.9% 6.6% 18.5% 44.7% 23.3% 14.1% 2.6% -1.8K 42.7K -95 4.50 114.88 N/A N/A 2 9 2 8 2022-02-18 $85.81 $93.00 21.2% 6.1% 17.3% 39.5% 22.4% 13.3% 2.8% -1.7K 47.0K -83 4.50 111.90 N/A N/A 2 9 2 8 2022-02-22 $84.97 $93.00 29.1% 8.4% 17.7% 64.6% 28.1% 8.2% -3.7% -1.5K 48.9K -74 4.50 113.92 N/A N/A 2 9 2 8 2022-02-23 $83.52 $93.00 32.0% 9.2% 18.6% 73.8% 24.8% 8.6% -6.6% -1.4K 50.3K -68 4.50 109.27 N/A N/A 2 9 2 8 2022-02-24 $83.84 $93.00 31.6% 9.0% 18.3% 72.3% 24.2% 11.7% -3.5% -1.2K 55.5K -53 4.50 111.72 N/A N/A 2 9 2 8 2022-02-25 $86.30 $93.00 23.4% 6.7% 21.0% 46.4% 26.3% 1.9% 0.5% -1.9K 43.2K -86 4.50 106.65 N/A N/A 2 9 2 8 2022-02-28 $85.57 $93.00 29.3% 8.4% 21.2% 65.1% 24.7% 16.4% -1.1% -1.7K 47.5K -69 4.50 120.20 N/A N/A 2 9 2 8
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