FEX Options History — December 2023 In December 2023, FEX traded between $85.84 and $90.60. ATM implied volatility averaged 13.0%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.0% (HV 20d: 12.0%). Max pain ranged from $84.00 to $91.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2023-12-28 : Highest Volume — 20 contracts2023-12-12 : Largest IV spike — 48.1% change2023-12-20 : Highest IV Rank — 16.9%2023-12-08 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $88.65 $85.84 $90.60 $86.73 $90.21 Max Pain $89.25 $84.00 $91.00 $84.00 $91.00 ATM IV 13.0% 7.8% 16.9% 14.3% 7.8% Expected Move 4.1% 2.2% 4.9% 4.1% 2.2% HV 20d 12.0% 9.8% 14.3% 14.3% 12.0% HV 60d 15.2% 14.6% 15.6% 15.3% 14.7% IV Rank 9.1% 0.0% 16.9% 11.5% 0.0% IV Percentile 26.9% 0.0% 54.0% 31.7% 0.0% Term Structure -0.5% -6.0% 8.4% -6.0% 4.1% VWIV 10.7% 10.7% 10.7% 10.7% 10.7% Skew 25d 3.3% -3.4% 8.1% -3.4% 4.0% Skew 10d 2.5% 0.2% 4.0% 0.2% 3.0% Call IV 25d 11.3% 4.9% 14.9% 14.0% 13.1% Put IV 25d 14.6% 10.0% 18.7% 10.6% 17.1% Bid-Ask Spread % 131.33 64.61 148.90 109.65 116.09 Gamma HHI 0.98 0.80 1.00 1.00 0.80 Net GEX -1.5K -13.3K 11.8K -6.2K 11.8K Net DEX 280 -32.2K 12.0K 9.9K -32.2K Net VEX -16 -168 0 -34 -168 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 2.1 0 20 0 20 Total OI 6.65 0 21 10 21
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 2023-12-01 $86.73 $84.00 14.3% 4.1% 14.3% 11.5% 0.0% -3.4% -6.0% -6.2K 9.9K -34 0.00 109.65 N/A N/A 0 0 0 10 2023-12-04 $86.53 $0.00 11.0% 4.6% 13.5% 5.0% 0.0% 3.6% -0.7% -4.2K 4.1K -15 0.00 147.03 N/A N/A 0 0 0 10 2023-12-05 $85.89 $0.00 9.5% 4.5% 13.4% 2.1% 0.0% 1.4% -1.6% -13.3K 10.4K -26 0.00 147.25 N/A N/A 0 0 0 10 2023-12-06 $85.84 $0.00 11.3% 4.5% 13.4% 5.6% 0.0% 3.6% 0.7% -9.2K 12.0K -30 0.00 146.62 N/A N/A 0 0 0 10 2023-12-07 $86.26 $0.00 11.9% 4.6% 13.3% 6.8% 0.0% 7.0% -1.2% -6.2K 6.0K -16 0.00 148.04 N/A N/A 0 0 0 10 2023-12-08 $86.79 $0.00 14.6% 4.9% 12.6% 12.2% 0.0% 4.0% -3.4% -3.9K 3.9K -11 0.00 148.90 N/A N/A 0 0 0 10 2023-12-11 $87.44 $0.00 10.4% 4.5% 12.3% 3.9% 0.0% 8.1% -1.4% -103 38 0 0.00 147.74 N/A N/A 0 0 0 10 2023-12-12 $87.58 $0.00 15.5% 4.5% 12.3% 13.9% 0.0% 3.8% -1.4% -111 40 0 0.00 147.85 N/A N/A 0 0 0 10 2023-12-13 $89.06 $0.00 13.5% 3.9% 9.8% 10.0% 0.0% 5.0% -0.5% 0 0 0 0.00 147.21 N/A N/A 0 0 0 10 2023-12-14 $90.20 $0.00 15.1% 4.3% 10.3% 13.2% 0.0% 2.9% 0.5% 0 0 0 0.00 145.43 N/A N/A 0 0 0 10 2023-12-15 $89.53 $0.00 16.0% 4.6% 10.6% 15.1% 0.0% 3.9% -1.5% -412 333 0 0.00 146.53 N/A N/A 0 0 0 10 2023-12-18 $89.92 $0.00 16.3% 4.7% 10.6% 15.6% 0.0% 3.9% -1.3% 0 0 0 0.00 145.84 N/A N/A 0 0 0 0 2023-12-19 $90.53 $0.00 15.4% 4.4% 10.6% 13.9% 0.0% 0.2% -3.5% 0 0 0 0.00 144.54 N/A N/A 0 0 0 0 2023-12-20 $89.38 $0.00 16.9% 4.8% 11.7% 16.9% 0.0% 5.5% -1.3% 0 0 0 0.00 146.38 N/A N/A 0 0 0 0 2023-12-21 $89.91 $0.00 16.9% 4.8% 11.8% 16.8% 0.0% 2.2% -3.7% 0 0 0 0.00 145.22 N/A N/A 0 0 0 0 2023-12-22 $89.87 $0.00 13.1% 3.7% 11.8% 9.1% 0.0% 1.2% 2.7% 0 0 0 0.00 107.37 N/A N/A 0 0 0 0 2023-12-26 $90.48 $0.00 8.6% 2.5% 11.8% 0.1% 10.7% 1.3% 8.4% 0 0 0 0.00 95.12 N/A N/A 2 0 0 0 2023-12-27 $90.28 $91.00 8.9% 2.6% 11.8% 0.8% 0.0% 0.7% 1.2% 1.5K -3.8K -9 0.00 79.22 N/A N/A 0 0 1 0 2023-12-28 $90.60 $91.00 13.2% 3.8% 11.8% 9.3% 0.0% 7.1% -0.8% 1.1K -5.2K -9 0.00 64.61 N/A N/A 20 0 1 0 2023-12-29 $90.21 $91.00 7.8% 2.2% 12.0% 0.0% 0.0% 4.0% 4.1% 11.8K -32.2K -168 0.00 116.09 N/A N/A 20 0 21 0
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