FEX Options History — April 2023 In April 2023, FEX traded between $78.35 and $81.35. ATM implied volatility averaged 17.8%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.6% (HV 20d: 17.1%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days.
Notable Days 2023-04-10 : Largest IV spike — 83.7% change2023-04-11 : Highest IV Rank — 31.1%2023-04-25 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $80.32 $78.35 $81.35 $80.89 $80.31 ATM IV 17.8% 13.0% 26.4% 18.1% 16.4% Expected Move 4.9% 3.7% 7.0% 5.2% 4.7% HV 20d 17.1% 12.0% 23.1% 23.0% 14.9% HV 60d 17.1% 16.6% 17.8% 17.8% 17.0% IV Rank 12.5% 2.1% 31.1% 13.3% 9.5% IV Percentile 12.7% 0.8% 56.0% 7.1% 6.7% Term Structure -1.3% -6.8% 6.6% -4.2% 1.8% Skew 25d 5.0% -2.9% 12.5% 4.4% 7.2% Skew 10d 6.8% -0.0% 14.0% 9.9% 12.1% Call IV 25d 14.7% 9.9% 19.4% 14.3% 10.6% Put IV 25d 19.6% 14.9% 24.2% 18.8% 17.8% Bid-Ask Spread % 116.41 100.05 139.96 125.47 114.43 Gamma HHI 0.77 0.64 0.80 0.79 0.75 Net GEX 3.0K 1.1K 4.2K 3.6K 2.8K Net DEX -12.6K -20.5K -2.2K -16.5K -8.2K Net VEX -79 -112 -20 -104 -50 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 2023-04-03 $80.89 $0.00 18.1% 5.2% 23.0% 13.3% 0.0% 4.4% -4.2% 3.6K -16.5K -104 0.00 125.47 N/A N/A 0 0 11 0 2023-04-04 $79.55 $0.00 21.8% 6.2% 23.1% 21.1% 0.0% -0.6% -4.0% 3.1K -15.5K -99 0.00 137.41 N/A N/A 0 0 11 0 2023-04-05 $79.63 $0.00 15.7% 4.5% 23.1% 8.1% 0.0% -2.9% 0.6% 2.8K -13.1K -90 0.00 127.68 N/A N/A 0 0 11 0 2023-04-06 $79.55 $0.00 13.7% 4.7% 21.7% 3.7% 0.0% 7.3% 1.2% 2.8K -12.9K -89 0.00 110.58 N/A N/A 0 0 11 0 2023-04-10 $80.15 $0.00 25.2% 5.4% 19.8% 28.4% 0.0% 12.5% 4.0% 3.1K -16.5K -104 0.00 121.72 N/A N/A 0 0 11 0 2023-04-11 $80.87 $0.00 26.4% 5.4% 19.6% 31.1% 0.0% 4.8% -0.9% 3.3K -17.1K -108 0.00 139.96 N/A N/A 0 0 11 0 2023-04-12 $80.48 $0.00 18.3% 5.2% 19.7% 13.6% 0.0% 4.7% 4.1% 3.2K -19.5K -112 0.00 123.89 N/A N/A 0 0 11 0 2023-04-13 $81.04 $0.00 15.9% 4.6% 18.2% 8.5% 0.0% 8.2% -3.7% 3.3K -8.8K -67 0.00 125.66 N/A N/A 0 0 11 0 2023-04-14 $80.75 $0.00 18.1% 5.2% 17.3% 13.2% 0.0% 1.2% -4.1% 3.3K -19.5K -107 0.00 118.51 N/A N/A 0 0 11 0 2023-04-17 $80.98 $0.00 16.9% 4.8% 15.6% 10.6% 0.0% 5.5% -0.6% 3.6K -11.3K -74 0.00 114.28 N/A N/A 0 0 11 0 2023-04-18 $81.35 $0.00 13.0% 3.7% 15.1% 2.1% 0.0% 4.3% -2.2% 4.2K -16.1K -100 0.00 104.59 N/A N/A 0 0 11 0 2023-04-19 $81.19 $0.00 14.7% 4.2% 14.2% 6.0% 0.0% 0.9% -2.4% 3.3K -20.5K -105 0.00 100.05 N/A N/A 0 0 11 0 2023-04-20 $80.68 $0.00 13.8% 4.0% 13.0% 4.0% 0.0% 6.9% -3.8% 3.5K -11.8K -72 0.00 106.75 N/A N/A 0 0 11 0 2023-04-21 $80.58 $0.00 16.1% 4.6% 12.0% 8.9% 0.0% 6.2% -5.3% 2.9K -10.4K -70 0.00 109.98 N/A N/A 0 0 11 0 2023-04-24 $80.91 $0.00 15.8% 4.5% 12.0% 8.3% 0.0% 4.1% 0.8% 3.1K -8.5K -54 0.00 102.51 N/A N/A 0 0 11 0 2023-04-25 $79.25 $0.00 24.4% 7.0% 14.2% 26.8% 0.0% 8.9% -6.2% 2.0K -5.5K -39 0.00 101.44 N/A N/A 0 0 11 0 2023-04-26 $78.35 $0.00 16.1% 4.6% 14.8% 8.8% 0.0% 8.7% 6.6% 1.1K -2.2K -20 0.00 113.15 N/A N/A 0 0 11 0 2023-04-27 $79.61 $0.00 17.2% 4.9% 14.6% 11.1% 0.0% 2.5% -6.8% 2.1K -5.3K -37 0.00 113.69 N/A N/A 0 0 11 0 2023-04-28 $80.31 $0.00 16.4% 4.7% 14.9% 9.5% 0.0% 7.2% 1.8% 2.8K -8.2K -50 0.00 114.43 N/A N/A 0 0 11 0
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