FEX Options History — July 2023

Name: FEX Options Analytics - July 2023
Creator: Options Analysis Suite

In July 2023, FEX traded between $82.92 and $87.33. ATM implied volatility averaged 11.4%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.1% (HV 20d: 11.3%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days.

Notable Days

2023-07-24: Highest Volume — 30 contracts
2023-07-21: Largest IV spike — 74.8% change
2023-07-21: Highest IV Rank — 16.8%
2023-07-21: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.74	$82.92	$87.33	$84.31	$87.33
ATM IV	11.4%	8.8%	16.9%	9.8%	10.6%
Expected Move	3.3%	2.5%	4.8%	2.8%	3.0%
HV 20d	11.3%	10.1%	12.4%	10.7%	10.1%
HV 60d	13.6%	12.4%	14.2%	13.7%	12.4%
IV Rank	5.8%	0.5%	16.8%	2.7%	4.2%
IV Percentile	5.4%	0.4%	23.8%	1.2%	5.2%
Term Structure	0.2%	-6.9%	7.7%	1.8%	4.5%
Skew 25d	3.4%	-3.8%	10.8%	1.5%	4.8%
Skew 10d	7.4%	-3.5%	14.8%	4.5%	2.7%
Call IV 25d	9.4%	5.3%	12.1%	9.0%	7.7%
Put IV 25d	12.8%	7.5%	21.0%	10.5%	12.4%
Bid-Ask Spread %	88.45	55.70	115.23	97.69	80.76
Gamma HHI	0.91	0.70	1.00	0.95	1.00
Net GEX	-6.5K	-28.4K	-1	-173	-23.6K
Net DEX	35.5K	1	164.9K	479	138.3K
Net VEX	-99	-391	0	-6	-372
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
Total Volume	1.5	0	30	0	0
Total OI	27.5	20	50	20	50

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Put Vol	Put OI
2023-07-03	$84.31	$0.00	9.8%	2.8%	10.7%	2.7%	0.0%	1.5%	1.8%	-173	479	-6	97.69	N/A	N/A	0	20
2023-07-05	$83.85	$0.00	15.5%	4.4%	10.9%	14.0%	0.0%	0.6%	1.7%	-548	2.7K	-23	115.23	N/A	N/A	0	20
2023-07-06	$82.92	$0.00	11.3%	3.6%	11.7%	5.6%	0.0%	4.3%	1.7%	-662	3.7K	-29	68.81	N/A	N/A	0	20
2023-07-07	$83.44	$0.00	12.0%	2.9%	11.6%	7.1%	0.0%	6.6%	-0.3%	-341	2.1K	-12	86.08	N/A	N/A	0	20
2023-07-10	$84.02	$0.00	10.5%	3.4%	11.8%	3.9%	0.0%	4.0%	-4.9%	-312	996	-12	55.70	N/A	N/A	0	20
2023-07-11	$84.99	$0.00	14.0%	4.6%	12.2%	10.9%	0.0%	3.9%	-6.1%	-9	15	0	92.42	N/A	N/A	0	20
2023-07-12	$85.40	$0.00	12.6%	3.6%	12.1%	8.1%	0.0%	3.4%	7.7%	-1	1	0	91.91	N/A	N/A	0	20
2023-07-13	$86.08	$0.00	9.3%	2.7%	12.0%	1.6%	0.0%	-3.8%	5.6%	-91	231	-3	82.64	N/A	N/A	0	20
2023-07-14	$85.41	$0.00	9.9%	2.8%	12.4%	2.8%	0.0%	4.8%	1.9%	-128	505	-4	69.32	N/A	N/A	0	20
2023-07-17	$85.94	$0.00	8.8%	2.5%	11.8%	0.5%	0.0%	-3.0%	-3.7%	-32	236	-1	85.47	N/A	N/A	0	20
2023-07-18	$86.61	$0.00	9.7%	2.8%	11.9%	2.5%	0.0%	3.5%	5.3%	-13	24	0	71.29	N/A	N/A	0	20
2023-07-19	$86.91	$0.00	12.5%	3.6%	11.2%	7.9%	0.0%	0.6%	-6.2%	-52	121	-2	76.36	N/A	N/A	0	20
2023-07-20	$86.45	$0.00	9.7%	2.8%	11.5%	2.3%	0.0%	2.5%	3.7%	-58	137	-2	101.62	N/A	N/A	0	20
2023-07-21	$86.64	$0.00	16.9%	4.8%	11.1%	16.8%	0.0%	10.8%	-6.9%	-369	263	-3	106.49	N/A	N/A	0	20
2023-07-24	$86.86	$0.00	12.2%	3.5%	10.5%	7.4%	0.0%	4.3%	-4.4%	-30	63	-1	103.42	N/A	N/A	30	20
2023-07-25	$87.22	$0.00	11.2%	3.2%	10.4%	5.3%	0.0%	1.5%	-1.5%	-28.0K	141.4K	-391	76.02	N/A	N/A	0	50
2023-07-26	$87.14	$0.00	11.9%	3.4%	10.1%	6.7%	0.0%	2.5%	-0.0%	-28.4K	104.8K	-381	107.15	N/A	N/A	0	50
2023-07-27	$86.36	$0.00	10.6%	3.1%	10.7%	4.3%	0.0%	6.5%	3.7%	-20.5K	164.9K	-368	92.86	N/A	N/A	0	50
2023-07-28	$86.95	$0.00	9.1%	2.6%	10.7%	1.2%	0.0%	8.4%	0.2%	-26.9K	149.4K	-371	107.87	N/A	N/A	0	50
2023-07-31	$87.33	$0.00	10.6%	3.0%	10.1%	4.2%	0.0%	4.8%	4.5%	-23.6K	138.3K	-372	80.76	N/A	N/A	0	50