FEX Options History — July 2022 In July 2022, FEX traded between $75.29 and $81.92. ATM implied volatility averaged 28.6%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.1% (HV 20d: 23.6%). Max pain ranged from $74.00 to $74.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days.
Notable Days 2022-07-01 : Highest Volume — 21 contracts2022-07-13 : Largest IV drop — 47.4% change2022-07-12 : Highest IV Rank — 88.4%2022-07-01 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $77.98 $75.29 $81.92 $77.09 $81.92 Max Pain $74.00 $74.00 $74.00 $74.00 $74.00 ATM IV 28.6% 17.2% 49.4% 32.4% 18.2% Expected Move 6.8% 4.9% 9.3% 9.3% 5.2% HV 20d 23.6% 17.5% 30.7% 30.2% 18.1% HV 60d 27.3% 26.9% 27.8% 27.3% 26.9% IV Rank 43.1% 18.3% 88.4% 51.4% 20.4% IV Percentile 67.6% 24.2% 99.2% 94.0% 28.2% Term Structure 0.1% -8.5% 10.5% -8.5% -0.1% VWIV 34.9% 34.9% 34.9% 34.9% 34.9% Skew 25d 8.5% 0.6% 15.2% 3.9% 13.3% Skew 10d 12.5% 3.5% 21.0% 11.7% 13.1% Call IV 25d 22.4% 15.6% 32.2% 32.2% 15.6% Put IV 25d 30.9% 23.7% 39.8% 36.0% 29.0% Bid-Ask Spread % 113.50 96.74 126.45 120.50 112.35 Gamma HHI 0.76 0.50 0.90 0.65 0.90 Net GEX -2.7K -4.0K -2.2K -2.5K -4.0K Net DEX 132.4K 125.1K 140.5K 136.0K 126.8K Net VEX -244 -313 -159 -223 -313 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 20.5 20 21 21 20 Total OI 21.5 21 22 22 21
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 2022-07-01 $77.09 $74.00 32.4% 9.3% 30.2% 51.4% 34.9% 3.9% -8.5% -2.5K 136.0K -223 0.00 120.50 N/A N/A 0 21 1 21 2022-07-05 $76.22 $0.00 36.6% 7.8% 30.3% 60.5% 0.0% 7.0% -2.9% -2.5K 132.8K -243 0.00 112.86 N/A N/A 0 21 1 21 2022-07-06 $76.91 $0.00 33.4% 6.8% 30.6% 53.5% 0.0% 3.7% 1.9% -2.5K 134.0K -243 0.00 121.51 N/A N/A 0 21 1 21 2022-07-07 $77.79 $0.00 29.8% 6.9% 30.7% 45.7% 0.0% 7.9% 6.2% -2.4K 140.0K -202 0.00 101.67 N/A N/A 0 21 1 21 2022-07-08 $77.80 $0.00 37.2% 5.7% 30.6% 61.8% 0.0% 10.2% 10.5% -3.0K 125.1K -296 0.00 108.26 N/A N/A 0 21 1 21 2022-07-11 $76.86 $0.00 47.6% 6.6% 30.2% 84.5% 0.0% 15.2% 1.8% -2.4K 140.5K -190 0.00 97.19 N/A N/A 0 21 1 21 2022-07-12 $76.22 $0.00 49.4% 5.7% 29.1% 88.4% 0.0% 11.8% 4.0% -2.5K 133.9K -229 0.00 96.74 N/A N/A 0 21 1 21 2022-07-13 $76.09 $0.00 26.0% 7.4% 23.4% 37.4% 0.0% 7.4% -2.2% -2.3K 139.8K -162 0.00 100.02 N/A N/A 0 21 1 21 2022-07-14 $75.29 $0.00 25.4% 7.3% 23.6% 36.2% 0.0% 14.8% 7.5% -2.7K 139.3K -159 0.00 112.68 N/A N/A 0 21 1 21 2022-07-15 $76.59 $0.00 26.3% 7.5% 24.2% 38.1% 0.0% 8.3% -2.1% -2.5K 137.3K -211 0.00 120.28 N/A N/A 0 21 1 21 2022-07-18 $76.44 $0.00 24.2% 6.9% 18.5% 33.4% 0.0% 14.5% 2.8% -2.2K 128.1K -255 0.00 123.40 N/A N/A 0 20 1 20 2022-07-19 $78.59 $0.00 24.5% 7.0% 20.7% 34.2% 0.0% 10.3% 1.0% -2.5K 128.1K -285 0.00 123.24 N/A N/A 0 20 1 20 2022-07-20 $79.00 $0.00 24.9% 7.1% 19.6% 34.9% 0.0% 8.3% -7.1% -2.8K 129.8K -279 0.00 120.30 N/A N/A 0 20 1 20 2022-07-21 $79.06 $0.00 25.1% 7.2% 19.4% 35.4% 0.0% 11.3% -6.1% -2.7K 126.6K -290 0.00 121.29 N/A N/A 0 20 1 20 2022-07-22 $78.61 $0.00 17.2% 4.9% 19.6% 18.3% 0.0% 6.5% -0.9% -2.8K 134.2K -225 0.00 114.57 N/A N/A 0 20 1 20 2022-07-25 $79.15 $0.00 24.5% 7.0% 17.5% 34.1% 0.0% 0.6% 0.9% -3.0K 128.4K -265 0.00 113.14 N/A N/A 0 20 1 20 2022-07-26 $78.66 $0.00 26.8% 7.7% 17.7% 39.2% 0.0% 3.1% -3.6% -2.8K 131.6K -236 0.00 108.43 N/A N/A 0 20 1 20 2022-07-27 $80.32 $0.00 24.0% 6.9% 18.6% 33.0% 0.0% 7.1% -3.2% -3.0K 130.9K -279 0.00 126.45 N/A N/A 0 20 1 20 2022-07-28 $80.89 $0.00 18.8% 5.4% 18.2% 21.6% 0.0% 4.4% 1.8% -3.3K 125.6K -294 0.00 115.04 N/A N/A 0 20 1 20 2022-07-29 $81.92 $0.00 18.2% 5.2% 18.1% 20.4% 0.0% 13.3% -0.1% -4.0K 126.8K -313 0.00 112.35 N/A N/A 0 20 1 20
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