FEX Options History — October 2023 In October 2023, FEX traded between $76.69 and $82.03. ATM implied volatility averaged 16.5%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.1% (HV 20d: 14.5%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days.
Notable Days 2023-10-19 : Largest IV spike — 106.8% change2023-10-23 : Highest IV Rank — 28.2%2023-10-23 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $79.64 $76.69 $82.03 $80.08 $78.08 ATM IV 16.5% 9.6% 22.6% 12.7% 17.8% Expected Move 4.9% 3.1% 6.5% 3.6% 5.1% HV 20d 14.5% 11.1% 16.4% 11.1% 16.0% HV 60d 11.9% 10.9% 13.0% 11.1% 13.0% IV Rank 16.1% 2.1% 28.2% 8.4% 18.7% IV Percentile 37.8% 2.8% 70.6% 15.5% 44.8% Term Structure -1.0% -10.5% 10.8% -3.4% 4.4% Skew 25d 5.3% -0.6% 11.7% 2.7% 7.7% Skew 10d 7.0% -8.4% 14.7% 9.3% -8.4% Call IV 25d 15.7% 11.9% 20.5% 14.1% 14.1% Put IV 25d 20.9% 15.6% 28.6% 16.8% 21.8% Bid-Ask Spread % 100.61 85.22 114.26 111.67 106.34 Net GEX 0 0 0 0 0 Net DEX 0 0 0 0 0 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
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 2023-10-02 $80.08 $0.00 12.7% 3.6% 11.1% 8.4% 0.0% 2.7% -3.4% 0 0 0 0.00 111.67 N/A N/A 0 0 0 0 2023-10-03 $79.03 $0.00 11.3% 3.3% 11.6% 5.7% 0.0% 1.9% 10.8% 0 0 0 0.00 107.95 N/A N/A 0 0 0 0 2023-10-04 $79.48 $0.00 15.9% 4.6% 12.0% 14.8% 0.0% 2.1% -2.8% 0 0 0 0.00 114.26 N/A N/A 0 0 0 0 2023-10-05 $79.47 $0.00 12.8% 4.9% 12.1% 8.6% 0.0% -0.5% -4.8% 0 0 0 0.00 89.67 N/A N/A 0 0 0 0 2023-10-06 $80.52 $0.00 15.4% 5.9% 13.3% 13.8% 0.0% 0.3% -6.7% 0 0 0 0.00 85.22 N/A N/A 0 0 0 0 2023-10-09 $80.98 $0.00 9.6% 4.5% 13.4% 2.1% 0.0% 5.7% -2.9% 0 0 0 0.00 87.62 N/A N/A 0 0 0 0 2023-10-10 $81.83 $0.00 19.4% 4.5% 14.1% 21.8% 0.0% 2.6% -0.7% 0 0 0 0.00 102.93 N/A N/A 0 0 0 0 2023-10-11 $82.02 $0.00 14.0% 4.0% 14.1% 10.9% 0.0% 5.9% 4.9% 0 0 0 0.00 97.47 N/A N/A 0 0 0 0 2023-10-12 $81.05 $0.00 18.0% 5.2% 13.8% 19.0% 0.0% 4.1% -5.0% 0 0 0 0.00 106.49 N/A N/A 0 0 0 0 2023-10-13 $80.53 $0.00 19.3% 5.5% 13.6% 21.6% 0.0% 8.6% 0.6% 0 0 0 0.00 103.24 N/A N/A 0 0 0 0 2023-10-16 $81.69 $0.00 14.3% 4.1% 14.7% 11.5% 0.0% 8.3% 1.5% 0 0 0 0.00 99.77 N/A N/A 0 0 0 0 2023-10-17 $82.03 $0.00 18.0% 5.2% 14.9% 19.0% 0.0% 9.3% 0.4% 0 0 0 0.00 99.57 N/A N/A 0 0 0 0 2023-10-18 $80.61 $0.00 10.8% 3.1% 15.9% 4.6% 0.0% 9.9% 1.0% 0 0 0 0.00 106.56 N/A N/A 0 0 0 0 2023-10-19 $79.55 $0.00 22.4% 6.4% 15.7% 27.8% 0.0% 7.7% -10.5% 0 0 0 0.00 101.71 N/A N/A 0 0 0 0 2023-10-20 $78.53 $0.00 16.2% 4.7% 16.1% 15.5% 0.0% 8.0% 3.0% 0 0 0 0.00 96.42 N/A N/A 0 0 0 0 2023-10-23 $78.22 $0.00 22.6% 6.5% 16.1% 28.2% 0.0% 4.0% -5.9% 0 0 0 0.00 101.11 N/A N/A 0 0 0 0 2023-10-24 $78.73 $0.00 16.2% 4.6% 15.7% 15.3% 0.0% 6.2% 4.6% 0 0 0 0.00 99.91 N/A N/A 0 0 0 0 2023-10-25 $77.73 $0.00 20.6% 5.9% 16.2% 24.2% 0.0% 11.7% -0.4% 0 0 0 0.00 95.91 N/A N/A 0 0 0 0 2023-10-26 $77.58 $0.00 19.1% 5.5% 15.6% 21.2% 0.0% 4.0% -5.2% 0 0 0 0.00 95.52 N/A N/A 0 0 0 0 2023-10-27 $76.69 $0.00 18.5% 5.3% 16.0% 20.0% 0.0% 7.0% -8.8% 0 0 0 0.00 97.17 N/A N/A 0 0 0 0 2023-10-30 $77.58 $0.00 19.3% 5.5% 16.4% 21.6% 0.0% -0.6% 3.5% 0 0 0 0.00 106.86 N/A N/A 0 0 0 0 2023-10-31 $78.08 $0.00 17.8% 5.1% 16.0% 18.7% 0.0% 7.7% 4.4% 0 0 0 0.00 106.34 N/A N/A 0 0 0 0
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