FEX Options History — March 2022

In March 2022, FEX traded between $82.98 and $90.10. ATM implied volatility averaged 28.0%, placing in the 54.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.1% (HV 20d: 22.8%). Max pain ranged from $87.00 to $94.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 4.50.

Notable Days

2022-03-01: Highest Volume — 11 contracts
2022-03-07: Largest IV spike — 46.9% change
2022-03-07: Highest IV Rank — 100.0%
2022-03-07: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.33	$82.98	$90.10	$84.32	$88.64
Max Pain	$91.25	$87.00	$94.00	$93.00	$94.00
ATM IV	28.0%	20.2%	44.7%	33.4%	24.7%
Expected Move	7.6%	5.0%	12.8%	9.6%	5.0%
HV 20d	22.8%	18.6%	25.2%	20.6%	18.6%
HV 60d	18.8%	17.4%	19.3%	17.4%	19.3%
IV Rank	54.8%	31.5%	100.0%	78.2%	44.2%
IV Percentile	84.8%	56.3%	100.0%	98.4%	76.6%
Term Structure	-4.1%	-11.1%	4.4%	-3.5%	-10.2%
VWIV	29.6%	14.7%	43.6%	28.9%	17.4%
Skew 25d	9.2%	5.0%	15.1%	11.0%	8.4%
Skew 10d	14.1%	1.8%	26.3%	13.5%	3.8%
Call IV 25d	23.3%	15.8%	30.0%	28.7%	17.3%
Put IV 25d	32.5%	23.3%	41.2%	39.8%	25.6%
Bid-Ask Spread %	110.71	73.95	130.07	118.62	107.82
Gamma HHI	0.34	0.19	0.50	0.21	0.50
Net GEX	-1.1K	-1.8K	-648	-1.6K	-860
Net DEX	23.6K	11.4K	52.5K	48.1K	11.4K
Net VEX	-39	-73	-27	-68	-30
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	7.478	2	11	11	2
Total OI	5.304	2	10	10	2

Daily Data (23 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
2022-03-01	$84.32	$93.00	33.4%	9.6%	20.6%	78.2%	28.9%	11.0%	-3.5%	-1.6K	48.1K	-68	4.50	118.62	N/A	N/A	2	9	2	8
2022-03-02	$86.77	$93.00	32.2%	9.2%	22.8%	74.3%	27.3%	7.4%	-2.7%	-1.8K	46.2K	-73	4.50	112.26	N/A	N/A	2	9	2	8
2022-03-03	$86.04	$93.00	28.4%	8.1%	22.6%	62.4%	28.2%	7.8%	-1.3%	-1.7K	46.1K	-70	4.50	123.52	N/A	N/A	2	9	2	8
2022-03-04	$85.36	$93.00	30.5%	8.7%	22.3%	68.9%	31.7%	6.8%	-3.3%	-1.6K	52.5K	-55	4.50	113.28	N/A	N/A	2	9	2	8
2022-03-07	$83.42	$93.00	44.7%	12.8%	23.5%	100.0%	41.4%	7.0%	4.4%	-1.4K	51.6K	-53	4.50	124.18	N/A	N/A	2	9	2	8
2022-03-08	$83.00	$87.00	34.3%	8.1%	23.5%	70.9%	32.5%	13.9%	0.8%	-799	21.5K	-42	4.50	112.96	N/A	N/A	2	9	2	4
2022-03-09	$84.83	$87.00	29.6%	10.8%	24.8%	58.0%	38.2%	9.4%	-1.1%	-756	19.8K	-45	4.50	122.84	N/A	N/A	2	9	2	4
2022-03-10	$84.14	$87.00	33.0%	10.9%	24.1%	67.2%	27.6%	13.2%	-8.3%	-998	23.4K	-35	4.50	116.41	N/A	N/A	2	9	2	4
2022-03-11	$83.53	$87.00	25.8%	12.4%	23.6%	47.3%	43.6%	14.2%	0.4%	-920	20.4K	-42	4.50	130.07	N/A	N/A	2	9	2	4
2022-03-14	$82.98	$94.00	27.4%	7.7%	23.4%	51.8%	23.5%	7.1%	-0.2%	-985	23.3K	-33	4.50	97.11	N/A	N/A	2	9	2	4
2022-03-15	$84.21	$94.00	31.5%	7.3%	24.1%	63.2%	14.7%	7.8%	-5.1%	-1.2K	23.9K	-29	4.50	81.50	N/A	N/A	2	9	2	4
2022-03-16	$85.29	$94.00	24.6%	7.1%	24.3%	43.8%	17.4%	5.0%	1.0%	-1.4K	21.8K	-33	4.50	106.28	N/A	N/A	2	9	2	4
2022-03-17	$86.89	$0.00	26.7%	6.5%	25.2%	49.9%	0.0%	10.6%	-10.1%	-1.8K	19.2K	-30	4.50	126.06	N/A	N/A	2	9	2	4
2022-03-18	$87.69	$0.00	23.2%	6.6%	24.4%	40.0%	0.0%	7.6%	-1.2%	-1.7K	15.3K	-29	4.50	97.76	N/A	N/A	2	9	2	4
2022-03-21	$87.47	$0.00	24.9%	6.0%	24.4%	44.9%	0.0%	8.2%	-4.2%	-696	12.9K	-27	0.00	113.15	N/A	N/A	0	2	0	2
2022-03-22	$88.36	$0.00	20.2%	5.6%	24.2%	31.5%	0.0%	10.0%	-0.6%	-695	12.7K	-29	0.00	76.26	N/A	N/A	0	2	0	2
2022-03-23	$87.64	$0.00	26.6%	5.5%	23.5%	49.5%	0.0%	15.1%	-9.9%	-679	11.8K	-30	0.00	117.03	N/A	N/A	0	2	0	2
2022-03-24	$88.30	$0.00	24.9%	5.2%	23.5%	44.7%	0.0%	7.1%	-7.8%	-648	12.0K	-30	0.00	119.01	N/A	N/A	0	2	0	2
2022-03-25	$88.56	$0.00	26.2%	5.2%	21.4%	48.5%	0.0%	10.9%	-10.6%	-779	12.1K	-30	0.00	119.39	N/A	N/A	0	2	0	2
2022-03-28	$88.77	$0.00	26.7%	5.0%	21.1%	49.8%	0.0%	9.9%	-11.1%	-802	12.2K	-30	0.00	118.90	N/A	N/A	0	2	0	2
2022-03-29	$90.10	$0.00	20.3%	5.0%	20.6%	31.9%	0.0%	6.4%	-4.8%	-882	11.6K	-32	0.00	117.86	N/A	N/A	0	2	0	2
2022-03-30	$89.31	$0.00	23.1%	5.8%	18.7%	39.7%	0.0%	6.9%	-5.5%	-769	11.9K	-30	0.00	73.95	N/A	N/A	0	2	0	2
2022-03-31	$88.64	$0.00	24.7%	5.0%	18.6%	44.2%	0.0%	8.4%	-10.2%	-860	11.4K	-30	0.00	107.82	N/A	N/A	0	2	0	2