FEX Options History — March 2024

In March 2024, FEX traded between $95.41 and $99.36. ATM implied volatility averaged 14.7%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.7% (HV 20d: 12.0%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 2 of 20 days.

Notable Days

  • 2024-03-04: Largest IV spike — 22.4% change
  • 2024-03-28: Highest IV Rank — 39.1%
  • 2024-03-28: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.11$95.41$99.36$95.77$99.36
Max Pain$80.00$80.00$80.00$80.00$80.00
ATM IV14.7%10.4%17.4%10.4%17.4%
Expected Move4.4%3.0%5.0%3.0%5.0%
HV 20d12.0%9.4%14.5%13.8%9.9%
HV 60d11.6%11.2%12.1%11.8%11.4%
IV Rank22.7%5.1%39.1%5.1%39.1%
IV Percentile55.7%12.3%79.0%12.3%79.0%
Term Structure-1.6%-3.8%4.3%4.3%-3.8%
Skew 25d2.4%-0.3%4.5%2.6%2.1%
Skew 10d2.5%0.9%5.0%2.2%2.9%
Call IV 25d12.4%7.1%17.2%7.1%12.8%
Put IV 25d14.9%9.8%18.0%9.8%14.9%
Bid-Ask Spread %146.79125.03152.57125.03148.25
Gamma HHI1.001.001.001.001.00
Net GEX00400
Net DEX-53.0K-97.2K0-95.7K0
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI5.5010100

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$95.77$80.0010.4%3.0%13.8%5.1%0.0%2.6%4.3%0-95.7K00.00125.03N/AN/A00100
2024-03-04$96.33$0.0012.7%4.2%13.8%9.7%0.0%1.6%-0.8%4-96.2K00.00146.03N/AN/A00100
2024-03-05$95.41$0.0013.0%4.4%13.9%10.3%0.0%2.1%-2.6%0-95.3K00.00144.76N/AN/A00100
2024-03-06$96.33$0.0012.9%4.3%14.2%10.0%0.0%1.7%-1.5%0-96.3K00.00144.81N/AN/A00100
2024-03-07$97.09$0.0012.4%4.3%14.2%9.1%0.0%2.9%-1.0%0-97.0K00.00145.71N/AN/A00100
2024-03-08$96.72$0.0012.1%4.1%14.4%8.5%0.0%1.4%0.1%0-96.7K00.00144.20N/AN/A00100
2024-03-11$96.58$0.0013.8%4.4%14.5%11.8%0.0%4.5%-1.3%0-96.6K00.00145.53N/AN/A00100
2024-03-12$97.03$0.0013.8%4.3%14.4%11.8%0.0%3.4%-1.6%0-97.0K00.00146.12N/AN/A00100
2024-03-13$97.18$0.0015.0%4.3%12.0%14.3%0.0%2.9%-2.1%0-97.2K00.00146.97N/AN/A00100
2024-03-14$96.03$0.0014.4%4.1%12.3%13.0%0.0%-0.3%-2.2%0-96.0K00.00146.08N/AN/A00100
2024-03-15$96.03$0.0016.3%4.7%11.6%34.5%0.0%3.3%-2.2%0-96.0K00.00147.36N/AN/A00100
2024-03-18$96.44$0.0016.5%4.7%11.3%35.5%0.0%3.5%-1.8%0000.00152.57N/AN/A0000
2024-03-19$96.69$0.0016.5%4.7%10.8%35.3%0.0%3.6%-1.7%0000.00152.16N/AN/A0000
2024-03-20$97.82$0.0016.3%4.7%11.3%34.8%0.0%3.1%-1.9%0000.00151.19N/AN/A0000
2024-03-21$98.58$0.0015.9%4.6%9.4%33.0%0.0%0.8%-1.9%0000.00149.49N/AN/A0000
2024-03-22$98.06$0.0016.1%4.6%9.8%33.8%0.0%2.5%-2.1%0000.00149.90N/AN/A0000
2024-03-25$98.02$0.0016.6%4.7%9.7%35.7%0.0%2.6%-2.9%0000.00149.76N/AN/A0000
2024-03-26$97.98$0.0016.4%4.7%9.8%35.0%0.0%1.7%-2.3%0000.00149.61N/AN/A0000
2024-03-27$98.80$0.0016.4%4.7%10.0%34.8%0.0%2.6%-2.1%0000.00150.22N/AN/A0000
2024-03-28$99.36$0.0017.4%5.0%9.9%39.1%0.0%2.1%-3.8%0000.00148.25N/AN/A0000