FEX Options History — September 2022

In September 2022, FEX traded between $72.50 and $82.86. ATM implied volatility averaged 30.5%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 9.2% (HV 20d: 21.3%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 10.00.

Notable Days

2022-09-13: Highest Volume — 22 contracts
2022-09-06: Largest IV spike — 50.1% change
2022-09-06: Highest IV Rank — 74.1%
2022-09-29: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.69	$72.50	$82.86	$79.40	$72.50
Max Pain	$70.00	$70.00	$70.00	$70.00	$70.00
ATM IV	30.5%	21.9%	43.3%	29.0%	32.3%
Expected Move	7.6%	5.9%	9.4%	8.3%	9.3%
HV 20d	21.3%	18.0%	25.5%	18.2%	25.5%
HV 60d	20.2%	18.6%	22.9%	22.9%	20.7%
IV Rank	45.1%	25.5%	74.1%	41.7%	49.1%
IV Percentile	78.4%	33.3%	98.0%	79.8%	89.7%
Term Structure	-2.5%	-11.3%	5.2%	-11.3%	-6.1%
VWIV	28.6%	24.9%	32.3%	32.3%	24.9%
Skew 25d	6.5%	-2.2%	14.9%	3.4%	-2.2%
Skew 10d	12.8%	4.8%	28.5%	11.7%	5.3%
Call IV 25d	24.0%	17.7%	29.1%	25.5%	29.1%
Put IV 25d	30.5%	21.7%	39.2%	29.0%	26.9%
Bid-Ask Spread %	116.69	104.16	135.94	118.45	128.87
Gamma HHI	0.85	0.66	1.00	0.86	1.00
Net GEX	-2.0K	-4.4K	99	-2.5K	-335
Net DEX	103.4K	-646	142.6K	140.2K	2.2K
Net VEX	-136	-257	0	-175	-6
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	10.00	0.00	20.00	0.00	20.00
Total Volume	9	0	22	0	21
Total OI	16.333	0	22	21	1

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
2022-09-01	$79.40	$0.00	29.0%	8.3%	18.2%	41.7%	0.0%	3.4%	-11.3%	-2.5K	140.2K	-175	0.00	118.45	N/A	N/A	0	0	1	20
2022-09-02	$79.04	$0.00	28.9%	8.3%	18.2%	41.3%	0.0%	11.5%	-4.2%	-2.8K	122.5K	-257	0.00	120.75	N/A	N/A	0	0	1	20
2022-09-06	$78.80	$0.00	43.3%	6.6%	18.0%	74.1%	0.0%	5.9%	1.9%	-2.7K	133.9K	-188	0.00	109.82	N/A	N/A	0	20	1	20
2022-09-07	$80.40	$0.00	28.5%	6.3%	19.6%	40.5%	0.0%	6.6%	-2.2%	-3.2K	136.0K	-211	0.00	104.16	N/A	N/A	0	20	1	20
2022-09-08	$80.84	$0.00	31.6%	6.5%	18.0%	47.5%	0.0%	6.6%	0.0%	-3.4K	131.3K	-233	0.00	111.75	N/A	N/A	0	0	1	20
2022-09-09	$82.31	$0.00	36.6%	6.1%	19.2%	58.9%	0.0%	5.4%	-1.7%	-4.1K	133.4K	-233	0.00	115.56	N/A	N/A	0	0	1	20
2022-09-12	$82.86	$0.00	37.8%	5.9%	18.6%	61.5%	0.0%	0.9%	5.0%	-4.4K	136.2K	-231	0.00	105.90	N/A	N/A	2	0	1	20
2022-09-13	$80.09	$0.00	36.6%	6.9%	21.8%	58.8%	0.0%	2.3%	0.8%	-2.6K	134.9K	-182	10.00	110.16	N/A	N/A	2	20	2	20
2022-09-14	$79.78	$0.00	26.8%	7.7%	21.6%	36.6%	0.0%	4.4%	-5.6%	-2.5K	131.9K	-204	0.00	135.94	N/A	N/A	0	0	2	20
2022-09-15	$79.66	$0.00	29.0%	8.3%	21.6%	41.6%	0.0%	4.0%	-6.9%	-2.5K	131.3K	-201	0.00	123.35	N/A	N/A	0	0	2	20
2022-09-16	$78.48	$0.00	26.9%	7.7%	22.0%	36.8%	0.0%	9.4%	5.2%	-2.6K	130.5K	-194	10.00	113.49	N/A	N/A	2	20	2	20
2022-09-19	$79.13	$0.00	29.4%	8.4%	22.2%	42.4%	0.0%	0.7%	-4.9%	-2.4K	142.6K	-137	0.00	124.57	N/A	N/A	0	0	1	20
2022-09-20	$78.21	$0.00	26.5%	7.6%	21.5%	35.9%	0.0%	7.7%	-1.7%	-2.1K	142.3K	-117	0.00	131.90	N/A	N/A	0	0	1	20
2022-09-21	$76.96	$0.00	28.4%	8.2%	21.9%	40.3%	0.0%	5.2%	-8.0%	-1.8K	139.7K	-116	0.00	121.03	N/A	N/A	0	0	1	20
2022-09-22	$76.28	$0.00	27.3%	7.8%	21.7%	37.7%	0.0%	5.6%	-0.2%	-1.7K	140.3K	-112	0.00	113.55	N/A	N/A	0	0	1	20
2022-09-23	$73.79	$0.00	21.9%	6.3%	23.2%	25.5%	0.0%	14.9%	1.9%	-789	142.6K	-56	0.00	119.10	N/A	N/A	0	0	1	20
2022-09-26	$72.84	$0.00	29.4%	8.4%	22.2%	42.5%	0.0%	7.8%	-8.7%	99	-646	-5	0.00	109.98	N/A	N/A	0	20	1	0
2022-09-27	$72.50	$0.00	27.5%	7.9%	22.1%	38.3%	0.0%	11.8%	2.2%	83	-459	-4	20.00	105.69	N/A	N/A	1	20	1	0
2022-09-28	$74.56	$0.00	30.5%	8.7%	24.8%	45.0%	0.0%	13.7%	3.0%	0	0	0	0.00	116.32	N/A	N/A	0	20	0	0
2022-09-29	$73.04	$0.00	32.9%	9.4%	25.5%	50.4%	32.3%	11.3%	-10.8%	0	0	0	0.00	110.14	N/A	N/A	0	21	0	0
2022-09-30	$72.50	$70.00	32.3%	9.3%	25.5%	49.1%	24.9%	-2.2%	-6.1%	-335	2.2K	-6	0.00	128.87	N/A	N/A	0	21	0	1