FEX Options History — August 2023

In August 2023, FEX traded between $82.67 and $87.33. ATM implied volatility averaged 14.1%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 4.0% (HV 20d: 10.1%). Max pain ranged from $70.00 to $88.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2023-08-17: Highest Volume — 2 contracts
  • 2023-08-16: Largest IV spike — 98.6% change
  • 2023-08-16: Highest IV Rank — 28.4%
  • 2023-08-16: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.54$82.67$87.33$87.33$84.89
Max Pain$78.57$70.00$88.00$88.00$70.00
ATM IV14.1%9.2%22.7%10.4%15.2%
Expected Move4.0%2.6%6.5%3.0%4.4%
HV 20d10.1%8.7%11.8%10.1%11.3%
HV 60d11.7%11.0%12.0%12.0%11.0%
IV Rank11.3%1.4%28.4%3.7%13.4%
IV Percentile18.4%2.0%56.7%4.8%24.6%
Term Structure0.4%-7.8%10.5%10.5%-2.9%
VWIV16.4%16.4%16.4%16.4%16.4%
Skew 25d4.8%-1.3%12.3%0.6%5.7%
Skew 10d7.6%-1.0%17.7%4.1%-1.0%
Call IV 25d11.1%5.9%15.8%10.1%10.8%
Put IV 25d15.9%10.3%21.7%10.7%16.5%
Bid-Ask Spread %104.9861.55139.7161.55120.30
Gamma HHI0.960.671.000.991.00
Net GEX-9.2K-23.9K2.3K-22.0K1.9K
Net DEX92.2K-12.4K232.9K127.4K-10.8K
Net VEX-145-372-4-372-13
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.0870200
Total OI36.52220505022

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$87.33$0.0010.4%3.0%10.1%3.7%0.0%0.6%10.5%-22.0K127.4K-3720.0061.55N/AN/A00050
2023-08-02$86.38$0.0014.5%4.2%10.8%12.1%0.0%11.7%3.1%-23.9K153.1K-3510.0078.88N/AN/A00050
2023-08-03$86.08$88.0012.5%5.5%9.9%8.0%0.0%7.3%-6.5%-21.3K156.5K-3470.0077.75N/AN/A00050
2023-08-04$85.52$88.0014.4%2.6%10.2%11.8%0.0%8.4%3.9%-21.8K183.3K-2900.0089.93N/AN/A00050
2023-08-07$86.17$88.0015.8%2.7%10.3%14.7%0.0%6.0%8.1%-18.9K191.7K-2680.0099.18N/AN/A00050
2023-08-08$85.75$88.0018.1%4.9%9.7%19.3%0.0%7.0%0.9%-18.9K165.9K-3090.00106.70N/AN/A00050
2023-08-09$85.44$88.0013.5%3.9%9.7%10.0%0.0%3.4%3.9%-19.3K189.5K-2720.0099.95N/AN/A00050
2023-08-10$85.03$88.0012.8%3.7%9.4%8.6%0.0%10.0%2.4%-19.3K192.4K-2520.0093.12N/AN/A00050
2023-08-11$85.19$88.0010.9%3.1%9.0%4.7%0.0%3.4%2.3%-18.2K214.5K-1910.0098.96N/AN/A00050
2023-08-14$85.14$88.0013.3%3.8%8.7%9.7%0.0%3.4%5.0%-23.2K187.0K-2410.0099.69N/AN/A00050
2023-08-15$83.88$88.0011.4%3.3%9.5%5.8%0.0%0.2%5.7%-13.2K209.8K-1930.0090.65N/AN/A00050
2023-08-16$83.47$88.0022.7%6.5%9.4%28.4%0.0%8.6%-7.8%-10.1K232.9K-980.0096.30N/AN/A00050
2023-08-17$82.67$70.0014.6%4.2%9.7%12.2%16.4%3.8%-0.6%-187483-40.00104.33N/AN/A20020
2023-08-18$83.03$70.0011.9%3.4%9.9%6.9%0.0%1.6%-0.2%992-6.6K-190.00110.14N/AN/A00220
2023-08-21$83.18$70.0014.6%4.2%9.8%12.2%0.0%2.3%-3.6%1.8K-7.3K-180.00138.62N/AN/A00220
2023-08-22$82.69$70.0019.3%5.5%9.6%21.7%0.0%-1.3%-0.3%1.2K-6.1K-160.00129.66N/AN/A00220
2023-08-23$83.46$70.0010.9%3.1%10.5%4.8%0.0%4.4%0.5%1.9K-7.8K-170.00137.71N/AN/A00220
2023-08-24$82.67$70.0019.1%5.5%10.5%21.1%0.0%0.7%-4.6%1.1K-6.2K-200.00139.71N/AN/A00220
2023-08-25$83.19$70.0013.5%3.9%10.5%10.1%0.0%12.3%-2.6%2.3K-6.9K-160.00113.86N/AN/A00220
2023-08-28$83.56$70.0014.9%4.3%10.5%12.8%0.0%5.4%-6.8%2.2K-8.4K-150.00114.46N/AN/A00220
2023-08-29$84.67$70.009.2%2.6%11.8%1.4%0.0%3.4%-0.3%2.3K-12.1K-120.00112.09N/AN/A00220
2023-08-30$84.95$70.0011.7%3.3%11.4%6.3%0.0%1.9%-1.2%2.1K-12.4K-120.00101.01N/AN/A00220
2023-08-31$84.89$70.0015.2%4.4%11.3%13.4%0.0%5.7%-2.9%1.9K-10.8K-130.00120.30N/AN/A00220