FEX Options History — May 2023 In May 2023, FEX traded between $77.64 and $80.38. ATM implied volatility averaged 17.0%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.4% (HV 20d: 15.6%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 10 of 22 days.
Notable Days 2023-05-02 : Highest Volume — 10 contracts2023-05-02 : Largest IV spike — 50.0% change2023-05-09 : Highest IV Rank — 28.2%2023-05-03 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $78.72 $77.64 $80.38 $80.38 $77.96 Max Pain $85.00 $85.00 $85.00 $85.00 $85.00 ATM IV 17.0% 11.6% 25.1% 14.4% 13.5% Expected Move 4.7% 3.3% 6.4% 4.1% 3.9% HV 20d 15.6% 13.6% 17.1% 14.4% 13.6% HV 60d 17.5% 17.0% 17.7% 17.0% 17.5% IV Rank 11.1% 0.0% 28.2% 5.3% 4.2% IV Percentile 12.4% 0.0% 51.2% 2.4% 1.6% Term Structure -0.8% -7.1% 6.3% 6.3% -1.1% Skew 25d 7.2% -1.8% 16.3% 13.8% 5.5% Skew 10d 10.2% 2.9% 18.2% 2.9% 12.2% Call IV 25d 12.5% 7.1% 21.2% 10.1% 14.5% Put IV 25d 19.7% 11.6% 25.0% 23.9% 20.0% Bid-Ask Spread % 106.63 68.80 138.67 118.75 84.82 Gamma HHI 0.57 0.40 1.00 0.78 0.70 Net GEX 301 -752 3.1K 3.1K -438 Net DEX 2.6K -11.3K 8.2K -11.3K 3.1K Net VEX -69 -118 -14 -63 -37 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.455 0 10 0 0 Total OI 20.091 11 21 11 21
Daily Data (22 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 2023-05-01 $80.38 $0.00 14.4% 4.1% 14.4% 5.3% 0.0% 13.8% 6.3% 3.1K -11.3K -63 0.00 118.75 N/A N/A 0 0 11 0 2023-05-02 $79.06 $0.00 21.7% 6.2% 15.2% 20.9% 0.0% 10.0% -1.9% 851 -1.5K -14 0.00 116.01 N/A N/A 0 10 11 0 2023-05-03 $78.66 $0.00 22.2% 6.4% 14.1% 21.9% 0.0% 8.7% -7.1% 876 3.8K -112 0.00 118.54 N/A N/A 0 0 11 10 2023-05-04 $77.64 $85.00 21.1% 5.8% 14.8% 19.6% 0.0% 7.6% 0.1% 69 7.9K -118 0.00 111.67 N/A N/A 0 0 11 10 2023-05-05 $79.16 $85.00 18.3% 5.4% 16.5% 13.6% 0.0% 14.3% -0.1% 1.7K -2.5K -118 0.00 113.43 N/A N/A 0 0 11 10 2023-05-08 $79.08 $85.00 22.6% 5.0% 16.2% 22.8% 0.0% 2.4% -1.6% 1.0K 114 -69 0.00 138.67 N/A N/A 0 0 11 10 2023-05-09 $78.84 $85.00 25.1% 5.2% 15.8% 28.2% 0.0% 8.9% -4.5% 559 -1.3K -80 0.00 134.50 N/A N/A 0 0 11 10 2023-05-10 $78.74 $85.00 17.0% 4.9% 15.8% 10.8% 0.0% 10.5% 3.4% 383 4.3K -98 0.00 125.47 N/A N/A 0 0 11 10 2023-05-11 $78.15 $85.00 13.6% 3.9% 15.6% 3.4% 0.0% 5.6% 0.5% 125 2.7K -60 0.00 121.44 N/A N/A 0 0 11 10 2023-05-12 $78.13 $85.00 18.6% 5.3% 15.6% 14.3% 0.0% 5.3% -3.7% 536 903 -57 0.00 138.34 N/A N/A 0 0 11 10 2023-05-15 $78.69 $85.00 14.8% 4.2% 15.9% 6.0% 0.0% 4.8% 1.4% -382 5.9K -71 0.00 91.25 N/A N/A 0 0 11 10 2023-05-16 $77.86 $85.00 19.2% 5.5% 16.0% 15.6% 0.0% 13.2% 1.1% -653 8.2K -84 0.00 95.17 N/A N/A 0 0 11 10 2023-05-17 $78.83 $85.00 16.9% 4.9% 16.8% 10.6% 0.0% 16.3% -2.1% 230 4.7K -78 0.00 103.34 N/A N/A 0 0 11 10 2023-05-18 $79.53 $85.00 13.9% 4.0% 17.1% 4.2% 0.0% 4.9% -4.5% 985 195 -53 0.00 105.96 N/A N/A 0 0 11 10 2023-05-19 $79.33 $85.00 11.6% 3.3% 17.1% 0.0% 0.0% 5.9% 5.4% -425 3.7K -42 0.00 79.32 N/A N/A 0 0 11 10 2023-05-22 $79.47 $85.00 13.8% 3.9% 17.1% 4.7% 0.0% 7.3% 0.5% 692 3.1K -78 0.00 97.81 N/A N/A 0 0 11 10 2023-05-23 $78.81 $85.00 15.5% 4.5% 15.7% 8.4% 0.0% 6.1% -0.8% -491 5.6K -59 0.00 68.80 N/A N/A 0 0 11 10 2023-05-24 $77.88 $85.00 15.4% 4.4% 15.7% 8.1% 0.0% 5.5% 1.4% 66 2.8K -52 0.00 91.64 N/A N/A 0 0 11 10 2023-05-25 $78.17 $85.00 15.8% 4.5% 14.6% 9.0% 0.0% -1.8% 0.0% -752 5.9K -63 0.00 95.56 N/A N/A 0 0 11 10 2023-05-26 $78.78 $85.00 13.5% 3.9% 14.5% 4.2% 0.0% 4.3% -3.4% -681 5.3K -56 0.00 95.32 N/A N/A 0 0 11 10 2023-05-30 $78.67 $85.00 15.4% 4.4% 14.5% 8.1% 0.0% -1.4% -5.9% -640 5.7K -61 0.00 99.98 N/A N/A 0 0 11 10 2023-05-31 $77.96 $85.00 13.5% 3.9% 13.6% 4.2% 0.0% 5.5% -1.1% -438 3.1K -37 0.00 84.82 N/A N/A 0 0 11 10
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