FEX Options History — March 2023

In March 2023, FEX traded between $76.62 and $83.84. ATM implied volatility averaged 23.6%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.6% (HV 20d: 18.1%). Max pain ranged from $77.00 to $77.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days.

Notable Days

  • 2023-03-16: Highest Volume — 2 contracts
  • 2023-03-13: Largest IV spike — 134.2% change
  • 2023-03-14: Highest IV Rank — 100.0%
  • 2023-03-01: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.35$76.62$83.84$82.28$80.22
Max Pain$77.00$77.00$77.00$77.00$77.00
ATM IV23.6%15.0%58.4%26.2%15.7%
Expected Move5.9%4.3%7.5%7.5%4.5%
HV 20d18.1%12.2%22.9%13.3%22.7%
HV 60d16.8%15.1%17.7%15.7%17.7%
IV Rank26.1%6.5%100.0%33.3%8.1%
IV Percentile25.6%1.2%100.0%48.4%1.6%
Term Structure-0.5%-10.8%7.7%-8.5%-0.9%
VWIV24.2%20.5%28.0%20.5%28.0%
Skew 25d5.7%-2.6%12.9%5.4%-2.6%
Skew 10d7.0%-0.2%17.1%2.9%9.1%
Call IV 25d17.8%14.0%24.8%24.8%14.9%
Put IV 25d23.5%12.3%31.8%30.2%12.3%
Bid-Ask Spread %121.47103.79137.86115.78137.60
Gamma HHI0.670.480.840.840.75
Net GEX2.3K9734.2K3.8K2.9K
Net DEX-16.2K-35.5K-3.4K-29.1K-8.5K
Net VEX-122-190-69-177-72
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume0.1740200
Total OI11.52211121111

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$82.28$0.0026.2%7.5%13.3%33.3%0.0%5.4%-8.5%3.8K-29.1K-1770.00115.78N/AN/A00110
2023-03-02$82.91$0.0024.8%7.1%12.2%30.1%0.0%5.2%-10.6%3.7K-32.4K-1800.00117.82N/AN/A00110
2023-03-03$83.84$0.0024.8%7.1%13.0%30.0%0.0%9.3%-5.1%3.7K-35.5K-1900.00121.57N/AN/A00110
2023-03-06$83.52$0.0019.7%4.5%12.8%18.0%0.0%0.9%1.2%4.2K-31.4K-1740.00106.33N/AN/A00110
2023-03-07$82.19$0.0021.3%5.5%13.8%21.8%0.0%6.0%0.1%4.2K-30.1K-1710.00115.78N/AN/A00110
2023-03-08$82.19$0.0021.6%5.3%13.2%22.5%0.0%6.7%-0.6%3.4K-28.1K-1620.00103.79N/AN/A00110
2023-03-09$80.36$0.0019.6%6.1%14.9%17.9%0.0%8.8%-1.6%2.8K-24.6K-1540.00119.13N/AN/A00110
2023-03-10$78.34$0.0021.9%5.7%16.9%23.2%0.0%5.9%6.6%2.6K-20.7K-1380.00118.35N/AN/A01110
2023-03-13$77.64$0.0051.3%7.5%16.6%92.0%0.0%12.9%-4.2%1.4K-11.5K-1180.00120.27N/AN/A00111
2023-03-14$78.09$0.0058.4%6.8%16.2%100.0%0.0%6.8%-0.1%1.5K-14.2K-1270.00133.89N/AN/A00111
2023-03-15$76.62$0.0019.8%5.7%16.8%16.8%0.0%7.8%7.7%973-10.7K-1130.00129.55N/AN/A00111
2023-03-16$78.05$0.0019.3%5.5%18.8%15.7%20.5%4.4%1.9%1.2K-11.5K-1040.00130.81N/AN/A02111
2023-03-17$76.63$77.0022.4%6.4%19.4%22.4%0.0%5.6%-2.2%1.3K-6.7K-990.00131.40N/AN/A00111
2023-03-20$77.72$77.0015.0%4.3%20.6%6.5%0.0%5.8%3.1%1.5K-8.6K-1070.00129.96N/AN/A00111
2023-03-21$79.00$77.0018.0%5.2%21.0%12.9%0.0%4.6%1.6%1.8K-7.7K-890.00106.76N/AN/A00111
2023-03-22$77.78$77.0020.9%6.0%21.5%19.2%0.0%2.5%1.3%1.9K-11.5K-1190.00133.22N/AN/A00111
2023-03-23$76.83$77.0021.1%6.1%21.3%19.7%0.0%3.7%1.7%1.2K-5.2K-860.00131.48N/AN/A00111
2023-03-24$76.94$77.0025.8%7.4%21.3%29.7%0.0%12.1%-10.8%1.1K-3.4K-690.00115.80N/AN/A00111
2023-03-27$77.75$77.0018.1%5.2%21.8%13.1%0.0%11.4%3.6%1.7K-9.5K-1000.00115.00N/AN/A00111
2023-03-28$77.69$77.0016.9%4.8%21.8%10.5%28.0%1.9%6.6%1.6K-5.4K-780.00111.50N/AN/A01111
2023-03-29$79.06$0.0018.5%5.3%22.9%14.1%0.0%1.3%0.8%2.6K-10.7K-820.00110.20N/AN/A00110
2023-03-30$79.34$0.0022.5%6.4%22.7%22.7%0.0%4.0%-3.6%2.7K-15.1K-1020.00137.86N/AN/A00110
2023-03-31$80.22$0.0015.7%4.5%22.7%8.1%0.0%-2.6%-0.9%2.9K-8.5K-720.00137.60N/AN/A00110