FEX Options History — January 2024 In January 2024, FEX traded between $88.31 and $91.92. ATM implied volatility averaged 13.2%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.0% (HV 20d: 10.2%). Max pain ranged from $91.00 to $94.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2024-01-04 : Highest Volume — 20 contracts2024-01-09 : Largest IV spike — 105.8% change2024-01-09 : Highest IV Rank — 37.5%2024-01-16 : Largest Expected Move — 4.4%Monthly Statistics Metric Avg Min Max Open Close Price $89.89 $88.31 $91.92 $89.64 $90.73 Max Pain $93.71 $91.00 $94.00 $91.00 $94.00 ATM IV 13.2% 9.2% 26.8% 9.2% 12.2% Expected Move 3.4% 2.6% 4.4% 2.6% 3.5% HV 20d 10.2% 8.8% 12.0% 11.6% 10.0% HV 60d 13.5% 12.1% 14.8% 14.8% 12.1% IV Rank 10.8% 2.7% 37.5% 2.7% 8.6% IV Percentile 29.7% 4.0% 98.0% 4.0% 26.2% Term Structure 0.1% -5.4% 9.1% 9.1% 0.0% VWIV 10.2% 10.2% 10.2% 10.2% 10.2% Skew 25d 2.3% -0.4% 7.2% 0.4% 1.1% Skew 10d 4.8% -0.9% 10.8% -0.9% 2.6% Call IV 25d 10.8% 7.5% 13.0% 11.0% 12.6% Put IV 25d 13.1% 11.4% 18.4% 11.4% 13.7% Bid-Ask Spread % 97.64 74.58 111.71 110.67 111.71 Gamma HHI 0.58 0.44 0.68 0.44 0.61 Net GEX 29.3K 11.2K 52.3K 18.9K 37.0K Net DEX -76.0K -210.4K -16.7K -41.7K -157.9K Net VEX -294 -573 -109 -236 -247 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 1.429 0 20 0 0 Total OI 58.714 41 70 41 70
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 2024-01-02 $89.64 $91.00 9.2% 2.6% 11.6% 2.7% 0.0% 0.4% 9.1% 18.9K -41.7K -236 0.00 110.67 N/A N/A 0 0 41 0 2024-01-03 $88.94 $91.00 13.9% 4.0% 12.0% 12.1% 0.0% 7.2% 2.1% 12.2K -22.1K -149 0.00 106.60 N/A N/A 0 0 41 0 2024-01-04 $88.97 $94.00 16.0% 3.2% 11.5% 16.1% 10.2% 2.6% -0.5% 16.5K -78.0K -365 0.00 85.24 N/A N/A 20 0 41 0 2024-01-05 $89.10 $94.00 21.1% 3.2% 11.5% 26.4% 0.0% 4.5% 2.2% 39.8K -127.7K -573 0.00 98.36 N/A N/A 0 0 61 0 2024-01-08 $89.99 $94.00 13.0% 4.2% 11.8% 10.3% 0.0% 1.1% -1.5% 35.0K -119.2K -515 0.00 97.69 N/A N/A 0 0 61 0 2024-01-09 $89.65 $94.00 26.8% 2.7% 11.9% 37.5% 0.0% -0.4% -1.6% 29.3K -80.4K -390 0.00 83.42 N/A N/A 0 0 61 0 2024-01-10 $89.81 $94.00 11.5% 3.3% 11.7% 7.2% 0.0% 1.9% -0.2% 29.3K -54.3K -309 0.00 96.52 N/A N/A 0 0 61 0 2024-01-11 $89.58 $94.00 10.5% 3.0% 11.8% 5.4% 0.0% 1.5% 0.6% 24.6K -47.5K -263 0.00 99.63 N/A N/A 0 0 61 0 2024-01-12 $89.50 $94.00 10.8% 3.1% 10.2% 5.8% 0.0% 0.9% 1.5% 26.3K -49.5K -261 0.00 74.58 N/A N/A 0 0 61 0 2024-01-16 $88.86 $94.00 15.3% 4.4% 9.4% 14.9% 0.0% 1.6% -5.4% 22.3K -48.3K -249 0.00 78.18 N/A N/A 0 0 61 0 2024-01-17 $88.31 $94.00 12.8% 3.7% 9.3% 9.9% 0.0% 1.9% 0.0% 11.2K -16.7K -109 0.00 92.49 N/A N/A 0 0 61 0 2024-01-18 $88.89 $94.00 11.8% 3.4% 9.5% 7.9% 0.0% 3.5% 0.0% 13.5K -19.3K -123 0.00 86.99 N/A N/A 0 0 61 0 2024-01-19 $89.85 $94.00 11.3% 3.2% 10.0% 6.9% 0.0% 1.9% 0.3% 27.0K -49.7K -247 0.00 90.00 N/A N/A 0 0 61 0 2024-01-22 $90.44 $94.00 13.1% 3.8% 9.1% 10.5% 0.0% 2.0% -4.2% 34.1K -69.8K -303 0.00 106.25 N/A N/A 0 0 60 0 2024-01-23 $90.38 $94.00 10.5% 3.0% 8.9% 5.3% 0.0% 6.2% 3.7% 37.9K -100.3K -373 0.00 109.97 N/A N/A 0 0 60 0 2024-01-24 $90.19 $94.00 10.4% 3.0% 9.0% 5.0% 0.0% 0.6% 0.9% 25.8K -36.4K -175 0.00 107.43 N/A N/A 0 0 60 0 2024-01-25 $90.72 $94.00 13.2% 3.8% 8.9% 10.7% 0.0% 3.4% -3.0% 36.7K -87.1K -337 0.00 89.81 N/A N/A 0 0 60 0 2024-01-26 $90.83 $94.00 11.3% 3.2% 8.8% 6.9% 0.0% 1.8% -1.1% 39.2K -77.0K -291 0.00 106.90 N/A N/A 0 0 60 0 2024-01-29 $91.47 $94.00 11.9% 3.4% 9.1% 8.2% 0.0% 1.5% -0.2% 46.0K -102.2K -325 0.00 108.96 N/A N/A 10 0 60 0 2024-01-30 $91.92 $94.00 11.5% 3.3% 9.0% 7.2% 0.0% 2.1% -0.4% 52.3K -210.4K -340 0.00 109.10 N/A N/A 0 0 70 0 2024-01-31 $90.73 $94.00 12.2% 3.5% 10.0% 8.6% 0.0% 1.1% 0.0% 37.0K -157.9K -247 0.00 111.71 N/A N/A 0 0 70 0
« Dec 2023 | All History | Feb 2024 » Home FEX History January 2024