FEX Options History — September 2023 In September 2023, FEX traded between $80.44 and $85.14. ATM implied volatility averaged 16.8%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 6.0% (HV 20d: 10.8%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2023-09-01 : Highest Volume — 2 contracts2023-09-11 : Largest IV spike — 69.2% change2023-09-07 : Highest IV Rank — 37.0%2023-09-28 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $83.07 $80.44 $85.14 $85.14 $81.02 Max Pain $70.00 $70.00 $70.00 $70.00 $70.00 ATM IV 16.8% 9.9% 26.9% 14.4% 16.5% Expected Move 4.3% 2.8% 5.9% 4.1% 4.7% HV 20d 10.8% 9.8% 11.5% 11.2% 10.9% HV 60d 10.9% 10.5% 11.1% 10.9% 10.9% IV Rank 16.6% 2.8% 37.0% 11.8% 15.9% IV Percentile 33.4% 4.0% 77.0% 20.6% 35.3% Term Structure -0.7% -9.9% 8.6% 0.0% -0.6% VWIV 23.5% 23.5% 23.5% 23.5% 23.5% Skew 25d 4.1% -1.0% 10.4% 2.7% -1.0% Skew 10d 6.2% -1.4% 13.4% 2.0% 2.2% Call IV 25d 10.9% 7.6% 14.6% 9.0% 13.7% Put IV 25d 15.0% 9.3% 20.0% 11.6% 12.7% Bid-Ask Spread % 110.25 91.03 140.84 108.42 100.11 Gamma HHI 1.00 0.99 1.00 1.00 1.00 Net GEX 90 -48 1.9K 1.9K 0 Net DEX -606 -12.3K 85 -12.3K 0 Net VEX -1 -11 0 -11 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.1 0 2 2 0 Total OI 10.1 0 22 22 0
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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-09-01 $85.14 $70.00 14.4% 4.1% 11.2% 11.8% 23.5% 2.7% 0.0% 1.9K -12.3K -11 0.00 108.42 N/A N/A 2 0 2 20 2023-09-05 $84.50 $0.00 20.9% 4.9% 11.1% 24.9% 0.0% 7.6% 2.3% 0 41 0 0.00 91.03 N/A N/A 0 0 0 20 2023-09-06 $84.09 $0.00 24.9% 3.9% 11.1% 32.8% 0.0% 7.1% 8.6% -21 32 0 0.00 140.84 N/A N/A 0 0 0 20 2023-09-07 $83.86 $0.00 26.9% 4.9% 11.1% 37.0% 0.0% 5.3% -1.8% -48 85 0 0.00 139.33 N/A N/A 0 0 0 20 2023-09-08 $83.94 $0.00 11.3% 3.3% 11.0% 5.5% 0.0% 2.5% 0.5% 0 0 0 0.00 135.93 N/A N/A 0 0 0 20 2023-09-11 $84.25 $0.00 19.1% 4.0% 11.1% 21.2% 0.0% 1.5% 4.7% 0 0 0 0.00 136.42 N/A N/A 0 0 0 20 2023-09-12 $84.14 $0.00 20.9% 5.3% 11.1% 24.9% 0.0% 4.9% -0.2% 0 0 0 0.00 93.60 N/A N/A 0 0 0 20 2023-09-13 $83.75 $0.00 9.9% 2.8% 9.8% 2.8% 0.0% 2.9% 5.3% 0 0 0 0.00 97.54 N/A N/A 0 0 0 20 2023-09-14 $84.70 $0.00 14.6% 4.2% 10.4% 12.2% 0.0% 6.5% -3.0% 0 0 0 0.00 98.62 N/A N/A 0 0 0 20 2023-09-15 $83.80 $0.00 16.6% 4.8% 10.6% 16.2% 0.0% 5.7% -8.0% -1 1 0 0.00 105.56 N/A N/A 0 0 0 20 2023-09-18 $83.83 $0.00 12.4% 3.6% 10.5% 7.8% 0.0% 0.0% -3.7% 0 0 0 0.00 107.06 N/A N/A 0 0 0 0 2023-09-19 $83.68 $0.00 13.6% 3.9% 10.5% 10.2% 0.0% 0.4% -9.9% 0 0 0 0.00 105.46 N/A N/A 0 0 0 0 2023-09-20 $83.26 $0.00 12.0% 3.4% 10.4% 7.0% 0.0% 6.7% -5.4% 0 0 0 0.00 105.18 N/A N/A 0 0 0 0 2023-09-21 $82.00 $0.00 13.5% 3.9% 11.3% 9.9% 0.0% 3.8% -2.7% 0 0 0 0.00 104.59 N/A N/A 0 0 0 0 2023-09-22 $81.48 $0.00 15.8% 4.5% 11.0% 14.6% 0.0% 3.2% -1.1% 0 0 0 0.00 106.50 N/A N/A 0 0 0 0 2023-09-25 $81.58 $0.00 15.5% 4.4% 10.7% 14.0% 0.0% 3.6% 2.5% 0 0 0 0.00 105.57 N/A N/A 0 0 0 0 2023-09-26 $80.44 $0.00 17.3% 5.0% 11.5% 17.7% 0.0% 10.4% 4.3% 0 0 0 0.00 109.79 N/A N/A 0 0 0 0 2023-09-27 $80.58 $0.00 19.0% 5.5% 10.1% 21.1% 0.0% 4.5% -4.5% 0 0 0 0.00 101.32 N/A N/A 0 0 0 0 2023-09-28 $81.38 $0.00 20.6% 5.9% 10.8% 24.2% 0.0% 3.4% -1.8% 0 0 0 0.00 112.11 N/A N/A 0 0 0 0 2023-09-29 $81.02 $0.00 16.5% 4.7% 10.9% 15.9% 0.0% -1.0% -0.6% 0 0 0 0.00 100.11 N/A N/A 0 0 0 0
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