FEX Options History — June 2022 In June 2022, FEX traded between $74.27 and $85.38. ATM implied volatility averaged 29.2%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.4% (HV 20d: 28.7%). Max pain ranged from $74.00 to $92.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 6 of 21 days.
Notable Days 2022-06-23 : Highest Volume — 21 contracts2022-06-08 : Largest IV drop — 44.0% change2022-06-30 : Highest IV Rank — 69.8%2022-06-30 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $79.24 $74.27 $85.38 $84.33 $75.98 Max Pain $76.57 $74.00 $92.00 $92.00 $74.00 ATM IV 29.2% 18.7% 40.9% 28.1% 40.9% Expected Move 8.1% 5.4% 11.7% 8.1% 11.7% HV 20d 28.7% 23.6% 31.6% 30.5% 29.7% HV 60d 25.1% 22.7% 27.1% 23.2% 27.1% IV Rank 44.4% 21.4% 69.8% 42.0% 69.8% IV Percentile 82.4% 40.1% 98.0% 84.9% 98.0% Term Structure -1.5% -9.2% 8.2% -3.7% -4.5% VWIV 35.8% 32.7% 37.6% 37.6% 36.0% Skew 25d 7.8% 1.1% 18.0% 1.1% 17.2% Skew 10d 11.8% 1.8% 19.5% 3.5% 12.7% Call IV 25d 25.8% 14.8% 35.8% 26.5% 14.8% Put IV 25d 33.6% 25.2% 40.0% 27.7% 31.9% Bid-Ask Spread % 113.79 95.91 130.38 128.95 112.40 Gamma HHI 0.73 0.50 1.00 0.50 0.66 Net GEX -594 -3.1K 166 -40 -2.3K Net DEX 32.5K -2.0K 137.0K 3.3K 137.0K Net VEX -81 -312 -14 -28 -221 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 7.238 0 21 2 21 Total OI 6.476 1 22 2 22
Daily Data (21 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 2022-06-01 $84.33 $92.00 28.1% 8.1% 30.5% 42.0% 37.6% 1.1% -3.7% -40 3.3K -28 0.00 128.95 N/A N/A 0 2 1 1 2022-06-02 $84.89 $0.00 31.8% 6.8% 28.6% 49.9% 0.0% 11.1% 1.5% -39 3.4K -28 0.00 99.59 N/A N/A 0 2 1 1 2022-06-03 $84.34 $0.00 26.8% 7.4% 26.1% 39.2% 0.0% 7.0% -2.8% 49 4.0K -26 0.00 96.78 N/A N/A 0 2 1 1 2022-06-06 $84.52 $0.00 30.0% 8.2% 26.1% 46.1% 0.0% 8.4% -1.1% -30 3.6K -27 0.00 109.06 N/A N/A 0 2 1 1 2022-06-07 $85.38 $0.00 33.3% 6.3% 23.6% 53.4% 0.0% 4.7% 2.2% -41 3.5K -27 0.00 102.82 N/A N/A 0 2 1 1 2022-06-08 $84.27 $0.00 18.7% 5.4% 24.1% 21.4% 0.0% 2.6% 8.2% 106 4.2K -25 0.00 95.91 N/A N/A 0 2 1 1 2022-06-09 $82.72 $0.00 22.2% 6.4% 25.1% 29.1% 0.0% 13.3% 2.9% 155 4.6K -24 0.00 109.33 N/A N/A 0 2 1 1 2022-06-10 $80.58 $0.00 25.5% 7.3% 26.9% 36.4% 0.0% 5.9% -1.1% 93 4.8K -22 0.00 122.62 N/A N/A 0 2 1 1 2022-06-13 $76.70 $0.00 30.4% 8.7% 30.3% 47.0% 0.0% 11.1% -4.5% 144 5.5K -19 0.00 111.25 N/A N/A 0 2 1 1 2022-06-14 $76.78 $0.00 25.6% 7.3% 30.3% 36.4% 0.0% 9.7% -3.1% 159 -1.9K -17 0.00 110.10 N/A N/A 0 2 1 0 2022-06-15 $77.50 $0.00 27.5% 7.9% 29.4% 40.6% 0.0% 3.7% -0.1% 166 -2.0K -18 0.00 119.03 N/A N/A 0 2 1 0 2022-06-16 $74.27 $0.00 30.1% 8.6% 30.0% 46.3% 0.0% 4.3% 1.9% 133 -1.7K -16 0.00 120.67 N/A N/A 0 2 1 0 2022-06-17 $74.43 $0.00 28.8% 8.3% 30.0% 43.5% 0.0% 9.1% 0.7% 132 -1.5K -14 0.00 120.45 N/A N/A 0 2 1 0 2022-06-21 $76.04 $0.00 27.7% 7.9% 31.3% 41.2% 0.0% 18.0% -1.4% 150 -1.7K -15 0.00 112.72 N/A N/A 0 0 1 0 2022-06-22 $75.70 $0.00 26.5% 7.6% 30.2% 38.6% 0.0% 8.1% -0.9% 145 -1.4K -14 0.00 119.17 N/A N/A 0 0 1 0 2022-06-23 $75.79 $74.00 34.4% 9.9% 30.3% 55.7% 32.7% 5.1% -4.6% -198 1.7K -20 0.00 113.98 N/A N/A 0 21 1 1 2022-06-24 $77.80 $74.00 26.9% 7.7% 31.6% 39.4% 36.9% 9.7% -0.7% -2.7K 130.6K -287 0.00 118.92 N/A N/A 0 21 1 21 2022-06-27 $78.13 $74.00 30.5% 8.8% 30.5% 47.3% 33.6% 4.8% -9.2% -2.9K 128.9K -303 0.00 115.48 N/A N/A 0 21 1 21 2022-06-28 $77.34 $74.00 29.3% 8.4% 29.6% 44.7% 36.3% 4.7% -2.0% -3.1K 125.9K -312 0.00 130.38 N/A N/A 0 21 1 21 2022-06-29 $76.61 $74.00 37.9% 10.9% 29.6% 63.3% 37.4% 5.1% -8.8% -2.6K 132.0K -248 0.00 119.94 N/A N/A 0 21 1 21 2022-06-30 $75.98 $74.00 40.9% 11.7% 29.7% 69.8% 36.0% 17.2% -4.5% -2.3K 137.0K -221 0.00 112.40 N/A N/A 0 21 1 21
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