FEX Options History — December 2022 In December 2022, FEX traded between $79.05 and $84.94. ATM implied volatility averaged 25.9%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.1% (HV 20d: 19.7%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days.
Notable Days 2022-12-13 : Largest IV spike — 63.7% change2022-12-13 : Highest IV Rank — 94.8%2022-12-30 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $81.48 $79.05 $84.94 $84.94 $79.77 ATM IV 25.9% 17.3% 52.5% 24.4% 27.5% Expected Move 6.4% 4.9% 7.9% 7.0% 7.9% HV 20d 19.7% 16.9% 25.1% 23.2% 17.6% HV 60d 23.8% 21.6% 25.4% 25.3% 21.7% IV Rank 32.5% 12.3% 94.8% 29.0% 36.2% IV Percentile 40.9% 4.4% 99.6% 32.1% 57.9% Term Structure 1.2% -7.4% 10.0% -6.3% -7.4% Skew 25d 4.5% -6.6% 10.8% -6.6% 9.4% Skew 10d 6.0% -2.0% 12.5% -2.0% 6.8% Call IV 25d 21.6% 17.2% 28.1% 28.1% 22.8% Put IV 25d 26.1% 20.3% 32.3% 21.5% 32.3% Bid-Ask Spread % 121.02 107.66 136.77 116.06 121.33 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 0 0 0 0 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 2022-12-01 $84.94 $0.00 24.4% 7.0% 23.2% 29.0% 0.0% -6.6% -6.3% 0 0 0 0.00 116.06 N/A N/A 0 0 0 0 2022-12-02 $84.69 $0.00 24.5% 7.0% 23.3% 29.3% 0.0% 5.3% 2.1% 0 0 0 0.00 123.26 N/A N/A 0 0 0 0 2022-12-05 $82.93 $0.00 33.9% 7.4% 24.8% 51.2% 0.0% 10.1% 3.1% 0 0 0 0.00 125.06 N/A N/A 0 0 0 0 2022-12-06 $81.99 $0.00 25.1% 6.5% 25.1% 30.8% 0.0% 1.6% -0.9% 0 0 0 0.00 119.49 N/A N/A 0 0 0 0 2022-12-07 $81.97 $0.00 31.1% 6.8% 25.0% 44.7% 0.0% 1.9% 4.7% 0 0 0 0.00 107.66 N/A N/A 0 0 0 0 2022-12-08 $82.25 $0.00 30.2% 6.8% 23.3% 42.5% 0.0% 5.6% 1.2% 0 0 0 0.00 113.12 N/A N/A 0 0 0 0 2022-12-09 $81.88 $0.00 27.0% 6.3% 17.2% 35.2% 0.0% 2.4% 2.8% 0 0 0 0.00 120.16 N/A N/A 0 0 0 0 2022-12-12 $82.81 $0.00 32.1% 5.6% 16.9% 47.0% 0.0% 5.7% 4.0% 0 0 0 0.00 116.05 N/A N/A 0 0 0 0 2022-12-13 $83.61 $0.00 52.5% 6.3% 17.2% 94.8% 0.0% 7.1% 0.1% 0 0 0 0.00 123.32 N/A N/A 0 0 0 0 2022-12-14 $82.84 $0.00 22.6% 6.5% 17.4% 24.9% 0.0% 5.6% -0.9% 0 0 0 0.00 129.07 N/A N/A 0 0 0 0 2022-12-15 $81.15 $0.00 21.8% 6.3% 18.4% 23.0% 0.0% 4.0% -0.6% 0 0 0 0.00 136.77 N/A N/A 0 0 0 0 2022-12-16 $80.35 $0.00 21.9% 6.3% 18.5% 23.3% 0.0% 10.8% 0.7% 0 0 0 0.00 124.39 N/A N/A 0 0 0 0 2022-12-19 $79.50 $0.00 20.9% 6.0% 18.3% 20.8% 0.0% 4.2% 10.0% 0 0 0 0.00 125.33 N/A N/A 0 0 0 0 2022-12-20 $80.01 $0.00 21.4% 6.1% 18.5% 21.9% 0.0% -0.5% -1.9% 0 0 0 0.00 116.27 N/A N/A 0 0 0 0 2022-12-21 $80.94 $0.00 24.6% 7.1% 18.1% 29.6% 0.0% 6.2% -5.5% 0 0 0 0.00 126.06 N/A N/A 0 0 0 0 2022-12-22 $79.72 $0.00 18.5% 5.3% 18.6% 15.2% 0.0% 4.9% 4.8% 0 0 0 0.00 116.72 N/A N/A 0 0 0 0 2022-12-23 $80.09 $0.00 17.3% 4.9% 18.7% 12.3% 0.0% 2.6% 6.8% 0 0 0 0.00 123.93 N/A N/A 0 0 0 0 2022-12-27 $80.38 $0.00 19.5% 5.6% 17.8% 17.6% 0.0% 5.0% 0.6% 0 0 0 0.00 117.69 N/A N/A 0 0 0 0 2022-12-28 $79.05 $0.00 21.7% 6.2% 18.4% 22.6% 0.0% 4.4% -0.5% 0 0 0 0.00 119.70 N/A N/A 0 0 0 0 2022-12-29 $80.23 $0.00 24.8% 7.1% 17.7% 30.0% 0.0% 4.2% 8.1% 0 0 0 0.00 119.95 N/A N/A 0 0 0 0 2022-12-30 $79.77 $0.00 27.5% 7.9% 17.6% 36.2% 0.0% 9.4% -7.4% 0 0 0 0.00 121.33 N/A N/A 0 0 0 0
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