FEX Options History — January 2023 In January 2023, FEX traded between $79.39 and $84.89. ATM implied volatility averaged 22.5%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.4% (HV 20d: 17.1%). Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2023-01-26 : Highest Volume — 1 contracts2023-01-18 : Largest IV spike — 89.1% change2023-01-04 : Highest IV Rank — 40.4%2023-01-04 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $82.78 $79.39 $84.89 $79.39 $84.79 ATM IV 22.5% 12.5% 29.3% 29.0% 23.0% Expected Move 6.3% 3.6% 8.4% 8.3% 6.6% HV 20d 17.1% 14.7% 19.1% 17.6% 14.9% HV 60d 20.2% 19.2% 21.5% 21.5% 19.2% IV Rank 24.7% 1.2% 40.4% 39.9% 25.8% IV Percentile 25.5% 0.4% 68.7% 66.3% 23.4% Term Structure -2.7% -11.4% 5.5% -4.7% 0.3% Skew 25d 7.1% -0.1% 13.5% 7.9% 13.5% Skew 10d 5.6% 0.1% 14.4% 5.5% 4.9% Call IV 25d 17.7% 9.3% 22.4% 21.5% 9.3% Put IV 25d 24.7% 12.1% 32.3% 29.4% 22.8% Bid-Ask Spread % 122.53 105.46 141.67 122.84 124.15 Gamma HHI 0.96 0.84 1.00 1.00 0.84 Net GEX 2.0K 0 4.0K 0 3.6K Net DEX -23.4K -44.7K 0 0 -39.6K Net VEX -136 -230 0 0 -221 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.05 0 1 0 0 Total OI 6.65 0 11 0 11
Daily Data (20 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 2023-01-03 $79.39 $0.00 29.0% 8.3% 17.6% 39.9% 0.0% 7.9% -4.7% 0 0 0 0.00 122.84 N/A N/A 0 0 0 0 2023-01-04 $80.06 $0.00 29.3% 8.4% 16.7% 40.4% 0.0% 9.9% -2.4% 0 0 0 0.00 130.99 N/A N/A 0 0 0 0 2023-01-05 $79.94 $0.00 27.7% 5.2% 16.3% 36.8% 0.0% 5.9% -0.6% 0 0 0 0.00 114.26 N/A N/A 0 0 0 0 2023-01-06 $82.08 $0.00 24.9% 5.4% 19.1% 30.3% 0.0% 8.5% 5.5% 0 0 0 0.00 107.13 N/A N/A 0 0 0 0 2023-01-09 $82.00 $0.00 20.3% 6.7% 19.0% 19.4% 0.0% 5.1% -3.2% 0 0 0 0.00 108.68 N/A N/A 0 0 0 0 2023-01-10 $82.32 $0.00 19.8% 5.7% 19.0% 18.2% 0.0% 4.7% -5.1% 0 0 0 0.00 110.55 N/A N/A 0 0 0 0 2023-01-11 $83.11 $0.00 22.0% 6.3% 18.9% 23.5% 0.0% 3.1% -1.6% 0 0 0 0.00 108.90 N/A N/A 0 0 0 0 2023-01-12 $83.56 $0.00 21.5% 6.2% 18.6% 22.2% 0.0% 11.9% 0.2% 2.7K -36.1K -212 0.00 125.87 N/A N/A 0 0 10 0 2023-01-13 $83.85 $0.00 16.4% 4.7% 18.4% 10.2% 0.0% 3.5% -5.4% 2.6K -33.0K -209 0.00 135.38 N/A N/A 0 0 10 0 2023-01-17 $83.50 $0.00 12.5% 3.6% 16.7% 1.2% 0.0% 1.2% 4.7% 3.1K -36.6K -213 0.00 128.83 N/A N/A 0 0 10 0 2023-01-18 $82.26 $0.00 23.6% 6.8% 17.2% 27.3% 0.0% 1.7% 0.4% 2.9K -34.9K -200 0.00 141.67 N/A N/A 0 0 10 0 2023-01-19 $81.67 $0.00 24.3% 7.0% 17.0% 28.8% 0.0% -0.1% -1.8% 2.7K -28.5K -193 0.00 139.12 N/A N/A 0 0 10 0 2023-01-20 $82.64 $0.00 23.6% 6.8% 17.3% 27.3% 0.0% 6.4% -6.9% 2.7K -32.5K -200 0.00 140.90 N/A N/A 0 0 10 0 2023-01-23 $83.70 $0.00 22.7% 6.5% 17.4% 25.0% 0.0% 10.6% -3.0% 3.2K -35.3K -208 0.00 130.16 N/A N/A 0 0 10 0 2023-01-24 $83.56 $0.00 21.9% 6.3% 16.3% 23.2% 0.0% 12.4% 2.5% 3.1K -35.8K -207 0.00 122.07 N/A N/A 0 0 10 0 2023-01-25 $83.77 $0.00 22.3% 6.4% 16.2% 24.2% 0.0% 5.9% -2.6% 3.0K -36.1K -205 0.00 120.02 N/A N/A 0 0 10 0 2023-01-26 $84.48 $0.00 23.4% 6.7% 16.4% 26.8% 0.0% 5.7% -10.1% 3.3K -35.7K -206 0.00 114.43 N/A N/A 1 0 10 0 2023-01-27 $84.89 $0.00 18.2% 5.2% 14.7% 14.5% 0.0% 11.5% -9.7% 4.0K -44.7K -230 0.00 119.26 N/A N/A 0 0 11 0 2023-01-30 $83.98 $0.00 24.6% 7.1% 15.0% 29.5% 0.0% 11.9% -11.4% 3.3K -39.5K -218 0.00 105.46 N/A N/A 0 0 11 0 2023-01-31 $84.79 $0.00 23.0% 6.6% 14.9% 25.8% 0.0% 13.5% 0.3% 3.6K -39.6K -221 0.00 124.15 N/A N/A 0 0 11 0
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