FEX Options History — February 2023 In February 2023, FEX traded between $82.27 and $86.14. ATM implied volatility averaged 21.5%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 7.4% (HV 20d: 14.2%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days.
Notable Days 2023-02-10 : Largest IV spike — 57.7% change2023-02-28 : Highest IV Rank — 32.4%2023-02-28 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $84.44 $82.27 $86.14 $86.14 $82.28 ATM IV 21.5% 13.7% 25.8% 21.2% 25.8% Expected Move 5.9% 3.9% 7.4% 6.1% 7.4% HV 20d 14.2% 12.9% 15.7% 15.2% 13.9% HV 60d 17.1% 15.7% 19.4% 19.4% 15.7% IV Rank 22.4% 3.9% 32.4% 21.5% 32.4% IV Percentile 20.3% 0.8% 46.8% 13.5% 46.8% Term Structure -2.1% -7.9% 3.3% -4.0% -5.1% Skew 25d 7.3% 1.3% 14.8% 6.9% 5.3% Skew 10d 9.1% 1.1% 21.0% 2.8% 1.1% Call IV 25d 18.3% 13.0% 24.5% 15.7% 21.0% Put IV 25d 25.6% 20.5% 30.7% 22.6% 26.3% Bid-Ask Spread % 111.81 96.77 134.89 134.89 116.23 Gamma HHI 0.84 0.82 0.86 0.84 0.84 Net GEX 3.7K 3.2K 4.5K 3.6K 4.5K Net DEX -40.3K -48.4K -27.6K -45.0K -30.1K Net VEX -207 -226 -174 -226 -180 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 11 11 11 11 11
Daily Data (19 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 2023-02-01 $86.14 $0.00 21.2% 6.1% 15.2% 21.5% 0.0% 6.9% -4.0% 3.6K -45.0K -226 0.00 134.89 N/A N/A 0 0 11 0 2023-02-02 $86.14 $0.00 19.9% 5.2% 15.2% 18.5% 0.0% 10.6% -1.7% 3.2K -45.1K -224 0.00 114.07 N/A N/A 0 0 11 0 2023-02-03 $85.42 $0.00 23.3% 5.1% 15.7% 26.5% 0.0% 4.9% 2.3% 3.6K -45.1K -225 0.00 112.45 N/A N/A 0 0 11 0 2023-02-06 $84.89 $0.00 23.1% 5.1% 13.4% 26.1% 0.0% 7.4% -2.5% 3.7K -43.5K -220 0.00 97.26 N/A N/A 0 0 11 0 2023-02-07 $85.70 $0.00 23.4% 5.4% 13.7% 26.6% 0.0% 5.3% -1.7% 3.7K -44.6K -220 0.00 115.60 N/A N/A 0 0 11 0 2023-02-08 $84.99 $0.00 21.3% 6.1% 14.1% 21.8% 0.0% 4.6% 0.0% 3.6K -43.2K -217 0.00 100.75 N/A N/A 0 0 11 0 2023-02-09 $84.33 $0.00 13.7% 3.9% 14.2% 3.9% 0.0% 8.1% 2.1% 3.4K -41.6K -217 0.00 104.70 N/A N/A 0 0 11 0 2023-02-10 $84.84 $0.00 21.5% 6.2% 14.2% 22.4% 0.0% 6.9% 3.3% 3.5K -42.1K -214 0.00 112.53 N/A N/A 0 0 11 0 2023-02-13 $85.68 $0.00 22.2% 6.4% 14.5% 23.9% 0.0% 8.1% -7.9% 3.9K -45.2K -216 0.00 96.77 N/A N/A 0 0 11 0 2023-02-14 $85.73 $0.00 18.5% 5.3% 14.4% 15.3% 0.0% 6.3% -1.9% 3.9K -48.4K -216 0.00 108.11 N/A N/A 0 0 11 0 2023-02-15 $85.66 $0.00 17.2% 4.9% 13.1% 12.3% 0.0% 7.9% 0.1% 3.5K -46.4K -214 0.00 106.04 N/A N/A 0 0 11 0 2023-02-16 $85.00 $0.00 19.9% 5.7% 13.2% 18.6% 0.0% 8.1% -0.9% 3.7K -46.0K -212 0.00 123.51 N/A N/A 0 0 11 0 2023-02-17 $84.47 $0.00 20.5% 5.9% 12.9% 20.0% 0.0% 7.5% -6.9% 3.8K -41.6K -206 0.00 109.25 N/A N/A 0 0 11 0 2023-02-21 $82.89 $0.00 22.4% 6.4% 14.0% 24.3% 0.0% 14.8% 1.0% 3.8K -29.1K -184 0.00 117.14 N/A N/A 0 0 11 0 2023-02-22 $82.35 $0.00 25.5% 7.3% 14.2% 31.7% 0.0% 6.2% -6.6% 3.6K -27.6K -174 0.00 109.97 N/A N/A 0 0 11 0 2023-02-23 $83.05 $0.00 22.1% 6.3% 14.5% 23.6% 0.0% 9.5% -5.4% 3.9K -31.9K -186 0.00 115.42 N/A N/A 0 0 11 0 2023-02-24 $82.27 $0.00 24.1% 6.9% 14.4% 28.3% 0.0% 1.3% 0.8% 3.8K -33.1K -185 0.00 114.45 N/A N/A 0 0 11 0 2023-02-27 $82.50 $0.00 23.5% 6.7% 14.3% 27.0% 0.0% 8.5% -4.6% 3.2K -35.4K -193 0.00 115.30 N/A N/A 0 0 11 0 2023-02-28 $82.28 $0.00 25.8% 7.4% 13.9% 32.4% 0.0% 5.3% -5.1% 4.5K -30.1K -180 0.00 116.23 N/A N/A 0 0 11 0
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