FEX Options History — April 2022 In April 2022, FEX traded between $83.21 and $89.64. ATM implied volatility averaged 26.0%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 10.3% (HV 20d: 15.8%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days.
Notable Days 2022-04-01 : Highest Volume — 2 contracts2022-04-11 : Largest IV spike — 62.6% change2022-04-12 : Highest IV Rank — 100.0%2022-04-27 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $87.00 $83.21 $89.64 $88.06 $83.21 ATM IV 26.0% 17.3% 54.7% 22.9% 20.6% Expected Move 6.1% 4.9% 8.0% 5.6% 5.9% HV 20d 15.8% 12.7% 20.2% 18.6% 20.2% HV 60d 19.3% 18.8% 20.4% 19.0% 20.4% IV Rank 41.8% 18.4% 100.0% 39.2% 25.7% IV Percentile 72.1% 37.7% 100.0% 69.0% 56.7% Term Structure -0.4% -5.3% 9.1% -1.4% 9.1% Skew 25d 9.8% 4.8% 19.2% 7.8% 4.8% Skew 10d 19.3% 4.4% 34.0% 4.4% 24.9% Call IV 25d 19.4% 13.0% 26.2% 18.3% 26.0% Put IV 25d 29.1% 24.1% 39.2% 26.1% 30.7% Bid-Ask Spread % 115.08 98.52 124.77 109.68 114.77 Gamma HHI 0.51 0.50 0.54 0.50 0.54 Net GEX -694 -991 -356 -795 -356 Net DEX 13.4K 12.0K 15.2K 12.9K 15.1K Net VEX -21 -27 -10 -27 -10 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 1.9 0 2 2 2 Total OI 2 2 2 2 2
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 2022-04-01 $88.06 $0.00 22.9% 5.6% 18.6% 39.2% 0.0% 7.8% -1.4% -795 12.9K -27 0.00 109.68 N/A N/A 0 2 0 2 2022-04-04 $88.41 $0.00 27.2% 5.7% 16.1% 51.0% 0.0% 9.8% -2.1% -862 12.6K -27 0.00 115.59 N/A N/A 0 2 0 2 2022-04-05 $87.44 $0.00 31.4% 6.7% 16.7% 63.0% 0.0% 8.7% -1.9% -834 12.2K -27 0.00 116.78 N/A N/A 0 2 0 2 2022-04-06 $87.07 $0.00 32.9% 6.2% 15.2% 66.9% 0.0% 7.4% -1.0% -738 13.0K -24 0.00 121.13 N/A N/A 0 2 0 2 2022-04-07 $87.82 $0.00 24.3% 5.4% 15.0% 43.1% 0.0% 10.2% -3.0% -754 13.6K -23 0.00 119.99 N/A N/A 0 2 0 2 2022-04-08 $88.26 $0.00 25.2% 5.4% 14.6% 45.5% 0.0% 7.3% -0.3% -787 12.9K -26 0.00 105.37 N/A N/A 0 2 0 2 2022-04-11 $87.30 $0.00 40.9% 6.6% 15.0% 89.3% 0.0% 9.6% -0.6% -717 13.6K -22 0.00 98.52 N/A N/A 0 2 0 2 2022-04-12 $87.03 $0.00 54.7% 6.0% 14.4% 100.0% 0.0% 8.5% 4.0% -720 12.9K -24 0.00 122.73 N/A N/A 0 2 0 2 2022-04-13 $88.09 $0.00 20.9% 6.0% 14.3% 26.3% 0.0% 9.8% -3.4% -796 12.8K -25 0.00 116.47 N/A N/A 0 2 0 2 2022-04-14 $87.73 $0.00 21.1% 6.1% 13.0% 26.8% 0.0% 12.1% -5.3% -818 12.8K -24 0.00 117.05 N/A N/A 0 2 0 2 2022-04-18 $87.33 $0.00 18.4% 5.3% 12.7% 21.0% 0.0% 10.4% 5.6% -659 12.9K -23 0.00 110.42 N/A N/A 0 2 0 2 2022-04-19 $88.90 $0.00 18.6% 5.3% 14.2% 21.3% 0.0% 8.5% -3.6% -796 12.8K -24 0.00 110.33 N/A N/A 0 2 0 2 2022-04-20 $89.64 $0.00 17.3% 4.9% 14.0% 18.4% 0.0% 13.9% 4.2% -921 12.5K -25 0.00 111.22 N/A N/A 0 2 0 2 2022-04-21 $88.11 $0.00 18.9% 5.4% 15.1% 21.8% 0.0% 8.0% 0.2% -991 12.0K -24 0.00 114.87 N/A N/A 0 2 0 2 2022-04-22 $86.03 $0.00 22.6% 6.5% 17.1% 30.0% 0.0% 8.9% 0.7% -562 14.0K -18 0.00 113.87 N/A N/A 0 2 0 2 2022-04-25 $85.57 $0.00 24.2% 6.9% 17.1% 33.5% 0.0% 11.4% 1.0% -473 15.2K -12 0.00 123.35 N/A N/A 0 2 0 2 2022-04-26 $84.11 $0.00 27.7% 7.9% 17.8% 41.1% 0.0% 19.2% -2.5% -420 14.8K -12 0.00 115.07 N/A N/A 0 2 0 2 2022-04-27 $84.27 $0.00 27.8% 8.0% 16.7% 41.3% 0.0% 13.1% -4.0% -399 15.0K -11 0.00 124.77 N/A N/A 0 0 0 2 2022-04-28 $85.65 $0.00 23.3% 6.7% 17.9% 31.6% 0.0% 6.0% -3.1% -478 14.9K -13 0.00 119.55 N/A N/A 0 2 0 2 2022-04-29 $83.21 $0.00 20.6% 5.9% 20.2% 25.7% 0.0% 4.8% 9.1% -356 15.1K -10 0.00 114.77 N/A N/A 0 2 0 2
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