FEX Options History — February 2024 In February 2024, FEX traded between $91.45 and $95.36. ATM implied volatility averaged 12.5%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.0% (HV 20d: 12.5%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 15 of 20 days.
Notable Days 2024-02-02 : Largest IV drop — 56.4% change2024-02-01 : Highest IV Rank — 27.6%2024-02-20 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $93.20 $91.45 $95.36 $91.64 $95.36 Max Pain $80.00 $80.00 $80.00 $80.00 $80.00 ATM IV 12.5% 9.5% 21.7% 21.7% 10.8% Expected Move 3.5% 3.0% 5.8% 4.9% 3.1% HV 20d 12.5% 10.0% 15.1% 10.0% 14.0% HV 60d 11.6% 10.1% 12.2% 11.7% 11.8% IV Rank 9.3% 3.3% 27.6% 27.6% 5.9% IV Percentile 28.6% 5.2% 85.7% 85.7% 16.3% Term Structure 0.9% -4.9% 4.2% -4.9% 3.7% Skew 25d 2.5% -0.1% 5.1% 5.1% 4.2% Skew 10d 7.2% 1.2% 11.4% 9.1% 1.6% Call IV 25d 10.8% 7.5% 19.9% 15.4% 7.6% Put IV 25d 13.3% 8.6% 23.3% 20.6% 11.9% Bid-Ask Spread % 104.49 63.21 128.70 112.85 127.24 Gamma HHI 0.74 0.55 1.00 0.55 1.00 Net GEX 47.9K 0 190.4K 38.0K 0 Net DEX -161.3K -332.0K -91.0K -234.3K -95.2K Net VEX -106 -381 0 -381 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 46 10 70 70 10
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 2024-02-01 $91.64 $80.00 21.7% 4.9% 10.0% 27.6% 0.0% 5.1% -4.9% 38.0K -234.3K -381 0.00 112.85 N/A N/A 0 0 70 0 2024-02-02 $92.19 $80.00 9.5% 3.4% 10.1% 3.3% 0.0% 4.1% 0.4% 57.9K -197.1K -300 0.00 97.11 N/A N/A 0 0 70 0 2024-02-05 $91.45 $80.00 12.8% 3.4% 10.7% 10.0% 0.0% 1.9% 0.7% 42.0K -144.4K -158 0.00 98.96 N/A N/A 0 0 70 0 2024-02-06 $91.67 $80.00 11.1% 3.2% 10.2% 6.5% 0.0% 1.4% 0.9% 43.3K -146.3K -158 0.00 94.63 N/A N/A 0 0 70 0 2024-02-07 $92.31 $80.00 11.0% 3.2% 10.3% 6.4% 0.0% 1.5% 1.5% 64.9K -191.3K -221 0.00 63.21 N/A N/A 0 0 70 0 2024-02-08 $92.49 $80.00 12.2% 3.5% 10.3% 8.7% 0.0% 1.8% -0.4% 70.8K -176.6K -181 0.00 96.23 N/A N/A 0 0 70 0 2024-02-09 $92.80 $80.00 10.7% 3.1% 10.2% 5.8% 0.0% 2.0% 0.9% 89.2K -190.3K -188 0.00 95.89 N/A N/A 0 0 70 0 2024-02-12 $93.40 $80.00 11.3% 3.2% 10.3% 6.9% 0.0% 1.7% 2.2% 120.1K -260.9K -195 0.00 96.73 N/A N/A 0 0 70 0 2024-02-13 $91.59 $80.00 12.3% 3.5% 12.5% 9.0% 0.0% 3.6% 1.9% 50.2K -180.9K -127 0.00 79.44 N/A N/A 0 0 70 0 2024-02-14 $92.91 $80.00 11.8% 3.4% 12.9% 7.9% 0.0% 2.3% 1.2% 85.3K -152.5K -71 0.00 98.28 N/A N/A 0 0 70 0 2024-02-15 $94.07 $80.00 11.8% 3.4% 13.3% 7.8% 0.0% 3.6% 3.3% 190.4K -332.0K -105 0.00 96.84 N/A N/A 0 0 70 0 2024-02-16 $93.44 $80.00 13.1% 3.7% 13.4% 10.4% 0.0% 1.5% -0.9% 105.6K -267.4K -22 0.00 100.75 N/A N/A 0 0 70 0 2024-02-20 $92.78 $80.00 20.1% 5.8% 13.6% 24.4% 0.0% 3.5% -4.5% 569 -91.0K -12 0.00 121.54 N/A N/A 0 0 10 0 2024-02-21 $92.70 $80.00 11.8% 3.4% 13.6% 7.9% 0.0% 3.2% 2.7% 11 -92.7K 0 0.00 102.33 N/A N/A 0 0 10 0 2024-02-22 $94.59 $80.00 14.8% 4.2% 15.1% 13.8% 0.0% 2.7% -4.3% 0 -94.6K 0 0.00 105.52 N/A N/A 0 0 10 0 2024-02-23 $94.67 $80.00 10.9% 3.1% 15.1% 6.1% 0.0% -0.1% 4.2% 0 -94.6K 0 0.00 121.84 N/A N/A 0 0 10 0 2024-02-26 $94.55 $80.00 11.1% 3.2% 15.1% 6.5% 0.0% 2.7% 2.5% 0 -94.5K 0 0.00 128.70 N/A N/A 0 0 10 0 2024-02-27 $94.73 $80.00 10.7% 3.1% 15.0% 5.8% 0.0% 2.1% 3.5% 0 -94.7K 0 0.00 125.05 N/A N/A 0 0 10 0 2024-02-28 $94.71 $80.00 10.5% 3.0% 15.0% 5.3% 0.0% 0.7% 2.5% 0 -94.7K 0 0.00 126.64 N/A N/A 0 0 10 0 2024-02-29 $95.36 $80.00 10.8% 3.1% 14.0% 5.9% 0.0% 4.2% 3.7% 0 -95.2K 0 0.00 127.24 N/A N/A 0 0 10 0
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