FEX Options History — June 2023 In June 2023, FEX traded between $78.44 and $84.11. ATM implied volatility averaged 15.7%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 2.1% (HV 20d: 13.6%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 12 of 21 days.
Notable Days 2023-06-16 : Highest Volume — 10 contracts2023-06-16 : Largest IV spike — 78.2% change2023-06-13 : Highest IV Rank — 45.9%2023-06-01 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $81.83 $78.44 $84.11 $78.44 $84.11 Max Pain $85.00 $85.00 $85.00 $85.00 $85.00 ATM IV 15.7% 8.5% 32.4% 18.9% 11.7% Expected Move 3.4% 2.3% 5.4% 5.4% 3.4% HV 20d 13.6% 12.7% 15.2% 13.7% 13.0% HV 60d 15.3% 13.7% 17.9% 17.2% 13.7% IV Rank 12.6% 0.0% 45.9% 15.7% 6.4% IV Percentile 17.1% 0.0% 89.3% 22.2% 2.8% Term Structure -0.0% -9.8% 5.5% -9.8% 0.1% Skew 25d 3.3% -2.8% 10.5% 8.4% 4.1% Skew 10d 5.3% -1.2% 11.8% 8.9% 3.5% Call IV 25d 10.2% 6.2% 15.7% 8.0% 6.2% Put IV 25d 13.5% 10.3% 17.8% 16.5% 10.3% Bid-Ask Spread % 104.03 67.99 145.67 106.32 76.80 Gamma HHI 0.69 0.36 0.99 0.81 0.84 Net GEX 16 -1.5K 3.5K -606 -132 Net DEX 2.0K -4.8K 12.4K 4.9K 854 Net VEX -25 -102 -2 -48 -4 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.476 0 10 0 0 Total OI 20.571 20 21 21 20
Daily Data (21 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 2023-06-01 $78.44 $85.00 18.9% 5.4% 13.7% 15.7% 0.0% 8.4% -9.8% -606 4.9K -48 0.00 106.32 N/A N/A 0 0 11 10 2023-06-02 $80.28 $85.00 12.9% 3.7% 15.2% 2.8% 0.0% -1.6% -0.9% -76 975 -8 0.00 115.68 N/A N/A 0 0 11 10 2023-06-05 $79.94 $0.00 15.9% 2.9% 13.8% 9.2% 0.0% 4.5% -2.7% -276 2.5K -29 0.00 96.06 N/A N/A 0 0 11 10 2023-06-06 $80.50 $0.00 14.2% 2.4% 13.9% 5.5% 0.0% 3.3% 5.5% -59 1.2K -16 0.00 88.09 N/A N/A 0 0 11 10 2023-06-07 $81.12 $0.00 10.3% 2.5% 14.1% 0.0% 0.0% 3.7% 2.6% -317 2.1K -23 0.00 96.35 N/A N/A 0 0 11 10 2023-06-08 $81.22 $0.00 15.8% 2.3% 14.0% 11.6% 0.0% 1.3% 4.8% 594 35 -8 0.00 101.44 N/A N/A 0 0 11 10 2023-06-09 $81.11 $0.00 28.0% 2.8% 13.7% 36.9% 0.0% 3.3% 2.6% 2.4K -4.8K -36 0.00 93.11 N/A N/A 0 0 11 10 2023-06-12 $81.72 $0.00 26.5% 2.7% 13.8% 33.7% 0.0% 4.5% 3.8% 278 287 -5 0.00 104.37 N/A N/A 0 0 11 10 2023-06-13 $82.50 $0.00 32.4% 2.6% 13.9% 45.9% 0.0% 1.9% 1.3% 3.5K -4.6K -14 0.00 99.29 N/A N/A 0 0 11 10 2023-06-14 $82.34 $0.00 9.0% 2.6% 13.2% 0.0% 0.0% 4.4% 0.3% -55 782 -3 0.00 103.63 N/A N/A 0 0 11 10 2023-06-15 $83.44 $0.00 8.5% 2.4% 13.3% 0.0% 0.0% 4.2% -1.2% 806 -61 -2 0.00 106.62 N/A N/A 0 0 11 10 2023-06-16 $83.17 $0.00 15.2% 4.4% 13.2% 13.4% 0.0% -2.8% -0.9% 587 676 -12 0.00 112.22 N/A N/A 0 10 11 10 2023-06-20 $82.44 $0.00 11.3% 3.3% 13.7% 5.7% 0.0% 2.2% 0.5% -680 3.5K -30 0.00 104.50 N/A N/A 0 0 0 20 2023-06-21 $82.38 $0.00 18.1% 5.2% 13.7% 19.2% 0.0% 4.7% -1.9% -584 2.7K -26 0.00 141.78 N/A N/A 0 0 0 20 2023-06-22 $81.97 $0.00 18.0% 5.1% 13.5% 18.9% 0.0% 4.5% -2.1% -1.5K 12.4K -102 0.00 145.67 N/A N/A 0 0 0 20 2023-06-23 $81.40 $0.00 15.0% 4.3% 12.9% 13.0% 0.0% 10.5% 1.1% -685 3.0K -30 0.00 115.61 N/A N/A 0 0 0 20 2023-06-26 $81.94 $0.00 16.8% 4.8% 13.0% 16.7% 0.0% 1.0% -6.9% -1.3K 8.9K -77 0.00 135.44 N/A N/A 0 0 0 20 2023-06-27 $82.85 $0.00 8.8% 2.5% 13.2% 0.6% 0.0% 1.0% 1.5% -643 3.1K -28 0.00 97.98 N/A N/A 0 0 0 20 2023-06-28 $82.55 $0.00 11.9% 3.4% 13.3% 6.7% 0.0% 2.9% 4.2% -606 2.6K -27 0.00 67.99 N/A N/A 0 0 0 20 2023-06-29 $83.11 $0.00 9.9% 2.8% 12.7% 2.8% 0.0% 2.6% -2.1% -208 575 -7 0.00 75.70 N/A N/A 0 0 0 20 2023-06-30 $84.11 $0.00 11.7% 3.4% 13.0% 6.4% 0.0% 4.1% 0.1% -132 854 -4 0.00 76.80 N/A N/A 0 0 0 20
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