FEX Options History — November 2023 In November 2023, FEX traded between $78.77 and $85.47. ATM implied volatility averaged 13.0%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 4.4% (HV 20d: 17.4%). Max pain ranged from $84.00 to $84.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days.
Notable Days 2023-11-29 : Highest Volume — 10 contracts2023-11-08 : Largest IV spike — 97.2% change2023-11-01 : Highest IV Rank — 26.1%2023-11-01 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $83.02 $78.77 $85.47 $78.77 $85.47 Max Pain $84.00 $84.00 $84.00 $84.00 $84.00 ATM IV 13.0% 9.0% 21.5% 21.5% 16.3% Expected Move 3.6% 2.6% 6.2% 6.2% 4.7% HV 20d 17.4% 15.2% 20.2% 16.2% 15.2% HV 60d 14.8% 13.2% 15.5% 13.2% 15.1% IV Rank 9.0% 0.9% 26.1% 26.1% 15.5% IV Percentile 21.4% 1.6% 65.1% 65.1% 45.2% Term Structure -1.4% -14.0% 4.6% -14.0% -11.5% VWIV 12.2% 12.2% 12.2% 12.2% 12.2% Skew 25d 3.8% 0.1% 9.3% 5.8% 7.0% Skew 10d 5.9% -3.2% 13.0% 9.7% -3.2% Call IV 25d 9.9% 6.1% 13.2% 13.2% 6.1% Put IV 25d 13.7% 11.0% 19.0% 19.0% 13.1% Bid-Ask Spread % 85.59 65.46 124.84 124.84 111.40 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -371 -7.8K 0 0 -7.8K Net DEX 1.0K 0 21.8K 0 21.8K Net VEX -3 -57 0 0 -57 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.476 0 10 0 0 Total OI 0.476 0 10 0 10
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 2023-11-01 $78.77 $0.00 21.5% 6.2% 16.2% 26.1% 0.0% 5.8% -14.0% 0 0 0 0.00 124.84 N/A N/A 0 0 0 0 2023-11-02 $80.52 $0.00 13.5% 4.4% 18.0% 9.9% 0.0% 7.9% 4.3% 0 0 0 0.00 85.36 N/A N/A 0 0 0 0 2023-11-03 $81.93 $0.00 18.3% 2.6% 18.5% 19.6% 0.0% 3.5% 4.6% 0 0 0 0.00 85.84 N/A N/A 0 0 0 0 2023-11-06 $81.27 $0.00 19.0% 3.8% 18.7% 21.0% 0.0% 3.6% -1.1% 0 0 0 0.00 66.71 N/A N/A 0 0 0 0 2023-11-07 $81.46 $0.00 10.2% 3.6% 18.3% 3.5% 0.0% 3.7% -4.6% 0 0 0 0.00 88.04 N/A N/A 0 0 0 0 2023-11-08 $81.24 $0.00 20.2% 5.8% 18.3% 23.4% 0.0% 4.9% -4.5% 0 0 0 0.00 97.89 N/A N/A 0 0 0 0 2023-11-09 $80.55 $0.00 12.4% 3.6% 18.0% 7.8% 0.0% 6.3% 1.1% 0 0 0 0.00 82.28 N/A N/A 0 0 0 0 2023-11-10 $81.56 $0.00 13.0% 3.7% 18.4% 9.0% 0.0% 2.9% 0.9% 0 0 0 0.00 88.56 N/A N/A 0 0 0 0 2023-11-13 $81.58 $0.00 11.9% 3.4% 17.7% 6.9% 0.0% 3.1% 1.6% 0 0 0 0.00 79.72 N/A N/A 0 0 0 0 2023-11-14 $83.87 $0.00 9.6% 2.7% 20.2% 2.1% 0.0% 0.1% 2.4% 0 0 0 0.00 77.75 N/A N/A 0 0 0 0 2023-11-15 $84.06 $0.00 10.1% 2.9% 19.0% 3.2% 0.0% 4.6% 0.9% 0 0 0 0.00 79.63 N/A N/A 0 0 0 0 2023-11-16 $83.64 $0.00 11.1% 3.2% 18.3% 5.3% 0.0% 1.6% -0.6% 0 0 0 0.00 79.59 N/A N/A 0 0 0 0 2023-11-17 $84.21 $0.00 14.1% 4.1% 17.5% 11.3% 0.0% 9.3% -8.7% 0 0 0 0.00 77.49 N/A N/A 0 0 0 0 2023-11-20 $84.77 $0.00 9.0% 2.6% 17.3% 1.1% 0.0% 2.3% -1.4% 0 0 0 0.00 89.69 N/A N/A 0 0 0 0 2023-11-21 $84.37 $0.00 9.0% 2.6% 17.5% 0.9% 0.0% 2.1% 4.2% 0 0 0 0.00 97.49 N/A N/A 0 0 0 0 2023-11-22 $84.72 $0.00 9.8% 2.8% 16.4% 2.6% 0.0% 2.1% 0.3% 0 0 0 0.00 65.46 N/A N/A 0 0 0 0 2023-11-24 $84.91 $0.00 13.0% 3.7% 16.3% 9.0% 0.0% 1.6% -8.7% 0 0 0 0.00 77.54 N/A N/A 0 0 0 0 2023-11-27 $84.86 $0.00 9.8% 2.8% 15.3% 2.7% 0.0% 3.4% 2.3% 0 0 0 0.00 72.16 N/A N/A 0 0 0 0 2023-11-28 $84.67 $0.00 10.1% 2.9% 15.3% 3.2% 0.0% 1.4% 0.4% 0 0 0 0.00 71.04 N/A N/A 0 0 0 0 2023-11-29 $84.89 $0.00 11.2% 3.2% 15.3% 5.4% 12.2% 1.9% 3.3% 0 0 0 0.00 98.85 N/A N/A 0 10 0 0 2023-11-30 $85.47 $84.00 16.3% 4.7% 15.2% 15.5% 0.0% 7.0% -11.5% -7.8K 21.8K -57 0.00 111.40 N/A N/A 0 0 0 10
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