FEX Options History — November 2022 In November 2022, FEX traded between $78.64 and $84.70. ATM implied volatility averaged 27.0%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.8% (HV 20d: 23.2%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days.
Notable Days 2022-11-01 : Highest Volume — 20 contracts2022-11-25 : Largest IV spike — 54.3% change2022-11-02 : Highest IV Rank — 51.6%2022-11-02 : Largest Expected Move — 9.8%Monthly Statistics Metric Avg Min Max Open Close Price $81.95 $78.64 $84.70 $80.27 $84.70 ATM IV 27.0% 16.5% 34.0% 31.9% 26.2% Expected Move 7.5% 4.7% 9.8% 9.1% 7.5% HV 20d 23.2% 20.2% 26.1% 21.9% 24.8% HV 60d 24.9% 23.5% 25.9% 23.7% 25.6% IV Rank 35.1% 10.6% 51.6% 46.6% 33.3% IV Percentile 53.6% 2.8% 91.7% 86.1% 45.2% Term Structure -3.0% -9.0% 3.4% -7.3% -5.8% VWIV 25.3% 19.5% 31.9% 26.5% 26.8% Skew 25d 5.8% 0.8% 11.2% 8.5% 3.6% Skew 10d 8.1% -0.0% 15.0% 6.9% -0.0% Call IV 25d 25.7% 18.2% 32.6% 31.0% 23.4% Put IV 25d 31.5% 24.2% 40.3% 39.6% 26.9% Bid-Ask Spread % 115.58 103.18 132.93 119.96 124.87 Net GEX 0 0 0 0 0 Net DEX 0 0 0 0 0 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 16.19 0 20 20 0 Total OI 0 0 0 0 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 2022-11-01 $80.27 $0.00 31.9% 9.1% 21.9% 46.6% 0.0% 8.5% -7.3% 0 0 0 0.00 119.96 N/A N/A 0 20 0 0 2022-11-02 $78.64 $0.00 34.0% 9.8% 23.3% 51.6% 0.0% 7.7% -4.5% 0 0 0 0.00 131.72 N/A N/A 0 20 0 0 2022-11-03 $78.68 $0.00 32.5% 7.3% 22.7% 48.1% 26.5% 6.2% 0.3% 0 0 0 0.00 107.13 N/A N/A 0 20 0 0 2022-11-04 $79.24 $0.00 27.1% 5.8% 20.5% 35.5% 28.8% 5.7% 3.4% 0 0 0 0.00 103.18 N/A N/A 0 20 0 0 2022-11-07 $80.11 $0.00 33.5% 9.3% 20.6% 50.3% 30.5% 6.9% -6.3% 0 0 0 0.00 105.55 N/A N/A 0 20 0 0 2022-11-08 $80.73 $0.00 29.8% 7.0% 20.2% 41.6% 28.0% 6.3% -0.4% 0 0 0 0.00 111.89 N/A N/A 0 20 0 0 2022-11-09 $78.87 $0.00 27.2% 7.8% 22.5% 35.6% 28.7% 4.0% 1.9% 0 0 0 0.00 109.26 N/A N/A 0 20 0 0 2022-11-10 $82.45 $0.00 24.6% 7.1% 26.1% 29.6% 20.4% 3.4% -0.5% 0 0 0 0.00 105.74 N/A N/A 0 20 0 0 2022-11-11 $83.59 $0.00 23.8% 6.8% 24.3% 27.7% 19.5% 4.9% 1.9% 0 0 0 0.00 104.64 N/A N/A 0 20 0 0 2022-11-14 $83.14 $0.00 27.6% 7.9% 24.2% 36.6% 24.8% 0.8% -8.7% 0 0 0 0.00 111.23 N/A N/A 0 20 0 0 2022-11-15 $83.52 $0.00 27.5% 7.9% 24.1% 36.3% 23.4% 1.4% -3.0% 0 0 0 0.00 113.21 N/A N/A 0 20 0 0 2022-11-16 $82.54 $0.00 24.1% 6.9% 24.3% 28.4% 26.6% 5.2% -1.0% 0 0 0 0.00 113.09 N/A N/A 0 20 0 0 2022-11-17 $81.82 $0.00 26.2% 7.5% 24.3% 33.3% 21.7% 4.0% -4.8% 0 0 0 0.00 112.24 N/A N/A 0 20 0 0 2022-11-18 $82.68 $0.00 24.7% 7.1% 23.2% 29.8% 31.9% 8.0% -3.2% 0 0 0 0.00 124.91 N/A N/A 0 20 0 0 2022-11-21 $82.40 $0.00 27.4% 7.8% 23.1% 36.0% 19.7% 5.8% -5.5% 0 0 0 0.00 118.51 N/A N/A 0 20 0 0 2022-11-22 $83.69 $0.00 22.5% 6.4% 23.2% 24.6% 22.6% 6.8% -3.5% 0 0 0 0.00 114.55 N/A N/A 0 20 0 0 2022-11-23 $83.92 $0.00 16.5% 4.7% 23.2% 10.6% 26.8% 5.3% 1.2% 0 0 0 0.00 119.41 N/A N/A 0 20 0 0 2022-11-25 $84.24 $0.00 25.5% 7.3% 23.2% 31.6% 0.0% 6.2% -8.6% 0 0 0 0.00 126.98 N/A N/A 0 0 0 0 2022-11-28 $82.67 $0.00 24.1% 6.9% 23.9% 28.3% 0.0% 8.9% -0.2% 0 0 0 0.00 116.18 N/A N/A 0 0 0 0 2022-11-29 $83.03 $0.00 29.9% 8.6% 23.9% 42.0% 0.0% 11.2% -9.0% 0 0 0 0.00 132.93 N/A N/A 0 0 0 0 2022-11-30 $84.70 $0.00 26.2% 7.5% 24.8% 33.3% 0.0% 3.6% -5.8% 0 0 0 0.00 124.87 N/A N/A 0 0 0 0
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