FEX Options History — August 2022

In August 2022, FEX traded between $80.06 and $85.56. ATM implied volatility averaged 22.5%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.4% (HV 20d: 16.1%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days.

Notable Days

  • 2022-08-01: Highest Volume — 20 contracts
  • 2022-08-05: Largest IV spike — 63.8% change
  • 2022-08-30: Highest IV Rank — 49.5%
  • 2022-08-30: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.83$80.06$85.56$81.63$80.06
ATM IV22.5%12.0%31.6%27.4%26.3%
Expected Move6.3%3.4%9.0%7.8%7.5%
HV 20d16.1%13.1%18.2%17.8%18.0%
HV 60d23.6%22.1%26.2%26.2%23.0%
IV Rank29.7%6.9%49.5%40.4%38.0%
IV Percentile46.3%2.8%89.3%73.8%63.5%
Term Structure0.4%-12.6%10.8%-7.3%-1.3%
Skew 25d7.4%-0.3%16.9%10.3%13.4%
Skew 10d12.7%1.3%23.1%2.1%15.1%
Call IV 25d20.7%12.0%30.9%21.0%25.4%
Put IV 25d28.1%21.0%38.7%31.2%38.7%
Bid-Ask Spread %114.22100.80129.49124.77118.98
Gamma HHI0.890.870.910.880.88
Net GEX-4.3K-5.7K-3.0K-3.7K-3.3K
Net DEX122.7K109.4K136.8K120.2K131.3K
Net VEX-309-379-208-332-226
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume6.0870202020
Total OI2121212121

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$81.63$0.0027.4%7.8%17.8%40.4%0.0%10.3%-7.3%-3.7K120.2K-3320.00124.77N/AN/A020120
2022-08-02$81.26$0.0023.2%6.6%17.2%31.2%0.0%6.1%4.1%-3.6K130.0K-2710.00114.56N/AN/A020120
2022-08-03$81.87$0.0016.0%4.6%17.1%15.7%0.0%10.8%5.7%-3.7K127.7K-2880.00123.09N/AN/A020120
2022-08-04$81.42$0.0017.8%4.3%17.1%19.5%0.0%6.4%10.7%-3.7K123.6K-3250.00100.80N/AN/A020120
2022-08-05$81.40$0.0029.1%6.4%17.1%44.2%0.0%12.2%5.0%-3.6K127.9K-2910.00114.51N/AN/A020120
2022-08-08$81.85$0.0019.7%6.0%16.3%23.7%0.0%9.8%5.0%-3.8K125.6K-2930.00107.12N/AN/A020120
2022-08-09$81.55$0.0026.7%6.3%15.9%39.0%0.0%8.7%0.7%-3.8K123.6K-2960.00109.77N/AN/A00120
2022-08-10$83.30$0.0021.5%6.2%17.0%27.6%0.0%6.5%-0.4%-4.1K114.2K-3670.00110.94N/AN/A00120
2022-08-11$83.75$0.0022.5%6.5%16.0%29.8%0.0%7.3%-1.3%-5.0K120.6K-3310.00114.84N/AN/A00120
2022-08-12$84.93$0.0012.0%3.4%15.7%6.9%0.0%9.0%8.5%-5.0K119.4K-3510.00111.02N/AN/A00120
2022-08-15$85.16$0.0016.9%4.8%15.6%17.6%0.0%4.4%4.8%-5.2K113.2K-3590.00107.10N/AN/A00120
2022-08-16$85.56$0.0019.1%5.5%13.1%22.3%0.0%6.5%2.2%-5.2K109.4K-3790.00114.84N/AN/A00120
2022-08-17$85.17$0.0023.8%6.8%13.5%32.6%0.0%9.4%-2.6%-5.1K115.5K-3490.00129.49N/AN/A00120
2022-08-18$85.22$0.0016.3%4.7%13.5%16.2%0.0%1.7%3.0%-5.7K117.0K-3600.00113.68N/AN/A00120
2022-08-19$84.23$0.0019.4%5.6%14.2%23.1%0.0%9.3%10.8%-5.3K122.1K-3170.00106.82N/AN/A00120
2022-08-22$82.54$0.0022.4%6.4%16.4%29.6%0.0%4.1%-5.0%-4.3K123.0K-3140.00109.18N/AN/A00120
2022-08-23$82.84$0.0030.9%8.9%16.1%48.0%0.0%16.9%-11.7%-4.1K119.8K-3220.00120.17N/AN/A00120
2022-08-24$83.18$0.0022.6%6.5%14.6%30.1%0.0%2.5%-2.8%-4.4K129.2K-2710.00111.94N/AN/A00120
2022-08-25$84.12$0.0018.6%5.3%14.9%21.4%0.0%-0.3%-0.8%-4.3K119.9K-3240.00111.66N/AN/A00120
2022-08-26$81.94$0.0023.0%6.6%17.4%31.0%0.0%6.0%6.0%-4.2K121.9K-2920.00116.96N/AN/A00120
2022-08-29$81.72$0.0030.3%8.7%17.4%46.7%0.0%7.6%-12.6%-3.8K130.1K-2460.00117.93N/AN/A00120
2022-08-30$80.42$0.0031.6%9.0%18.2%49.5%0.0%1.8%-10.7%-3.0K136.8K-2080.00116.86N/AN/A00120
2022-08-31$80.06$0.0026.3%7.5%18.0%38.0%0.0%13.4%-1.3%-3.3K131.3K-2260.00118.98N/AN/A020120