FEX Options History — October 2022 In October 2022, FEX traded between $73.46 and $80.17. ATM implied volatility averaged 30.5%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.5% (HV 20d: 28.0%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days.
Notable Days 2022-10-03 : Highest Volume — 21 contracts2022-10-10 : Largest IV spike — 25.4% change2022-10-11 : Highest IV Rank — 66.9%2022-10-03 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $76.06 $73.46 $80.17 $74.52 $80.17 Max Pain $70.00 $70.00 $70.00 $70.00 $70.00 ATM IV 30.5% 25.5% 40.1% 34.0% 32.4% Expected Move 8.4% 7.3% 9.8% 9.8% 9.3% HV 20d 28.0% 23.8% 30.2% 27.9% 23.8% HV 60d 22.8% 21.6% 23.7% 21.6% 23.7% IV Rank 44.2% 31.6% 66.9% 53.0% 47.7% IV Percentile 76.5% 46.4% 96.0% 92.9% 88.1% Term Structure -1.8% -10.4% 8.4% -4.3% -10.4% VWIV 23.7% 18.6% 32.4% 32.4% 20.0% Skew 25d 7.7% 1.7% 18.4% 9.0% 8.5% Skew 10d 8.9% -3.7% 23.1% 3.9% 5.2% Call IV 25d 28.1% 18.4% 32.1% 25.0% 30.7% Put IV 25d 35.8% 27.0% 42.6% 34.0% 39.1% Bid-Ask Spread % 114.11 96.92 129.38 121.43 113.08 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -165 -431 0 -204 0 Net DEX 731 0 2.3K 2.3K 0 Net VEX -2 -6 0 -6 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 20.714 20 21 21 20 Total OI 0.714 0 1 1 0
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 2022-10-03 $74.52 $70.00 34.0% 9.8% 27.9% 53.0% 32.4% 9.0% -4.3% -204 2.3K -6 0.00 121.43 N/A N/A 0 21 0 1 2022-10-04 $76.73 $70.00 30.3% 8.7% 30.2% 44.6% 18.6% 9.6% -8.0% -212 1.5K -5 0.00 122.96 N/A N/A 0 21 0 1 2022-10-05 $76.94 $70.00 29.2% 8.4% 29.2% 42.0% 20.0% 9.9% -2.9% -232 581 -2 0.00 115.43 N/A N/A 0 21 0 1 2022-10-06 $75.94 $0.00 34.6% 7.8% 29.3% 54.3% 0.0% 5.1% -2.5% -211 1.3K -4 0.00 129.38 N/A N/A 0 21 0 1 2022-10-07 $74.11 $0.00 29.0% 7.5% 29.1% 41.6% 0.0% 3.3% 0.6% -249 1.4K -4 0.00 98.77 N/A N/A 0 21 0 1 2022-10-10 $74.00 $0.00 36.3% 9.6% 28.8% 58.3% 0.0% 6.2% -4.5% -305 913 -3 0.00 96.92 N/A N/A 0 21 0 1 2022-10-11 $73.48 $0.00 40.1% 8.7% 26.8% 66.9% 0.0% 5.3% 0.9% -258 1.5K -3 0.00 116.73 N/A N/A 0 21 0 1 2022-10-12 $73.46 $0.00 31.1% 8.9% 26.8% 46.3% 0.0% 6.6% -2.2% -261 1.6K -3 0.00 125.10 N/A N/A 0 21 0 1 2022-10-13 $75.09 $0.00 29.3% 8.4% 28.4% 42.2% 0.0% 18.4% -1.7% -431 377 -1 0.00 116.44 N/A N/A 0 21 0 1 2022-10-14 $73.51 $0.00 25.9% 7.4% 28.8% 34.7% 0.0% 8.1% 8.4% -250 1.2K -3 0.00 115.83 N/A N/A 0 21 0 1 2022-10-17 $74.92 $0.00 29.7% 8.5% 29.6% 41.5% 0.0% 1.7% -2.1% -226 631 -1 0.00 97.73 N/A N/A 0 21 0 1 2022-10-18 $75.71 $0.00 29.0% 8.3% 29.8% 39.9% 0.0% 9.0% -4.0% -216 1.1K -2 0.00 124.53 N/A N/A 0 21 0 1 2022-10-19 $75.00 $0.00 33.1% 9.5% 29.4% 49.5% 0.0% 5.9% 0.1% -212 601 -1 0.00 106.69 N/A N/A 0 21 0 1 2022-10-20 $74.33 $0.00 27.9% 8.0% 29.4% 37.1% 0.0% 13.4% 2.4% -191 414 0 0.00 119.53 N/A N/A 0 21 0 1 2022-10-21 $76.26 $0.00 30.2% 8.6% 28.4% 42.5% 0.0% 1.8% -2.4% 0 0 0 0.00 106.04 N/A N/A 0 21 0 1 2022-10-24 $77.16 $0.00 29.9% 8.6% 28.0% 42.0% 0.0% 8.4% -1.9% 0 0 0 0.00 117.26 N/A N/A 0 20 0 0 2022-10-25 $78.31 $0.00 29.3% 8.4% 28.2% 40.5% 0.0% 8.6% -4.3% 0 0 0 0.00 114.42 N/A N/A 0 20 0 0 2022-10-26 $78.63 $0.00 25.5% 7.3% 26.7% 31.6% 0.0% 2.1% -0.1% 0 0 0 0.00 110.46 N/A N/A 0 20 0 0 2022-10-27 $78.82 $0.00 28.8% 8.3% 25.3% 39.4% 0.0% 10.2% 4.2% 0 0 0 0.00 108.28 N/A N/A 0 20 0 0 2022-10-28 $80.11 $0.00 25.9% 7.4% 25.3% 32.5% 0.0% 10.2% -3.1% 0 0 0 0.00 119.26 N/A N/A 0 20 0 0 2022-10-31 $80.17 $0.00 32.4% 9.3% 23.8% 47.7% 0.0% 8.5% -10.4% 0 0 0 0.00 113.08 N/A N/A 0 20 0 0
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