FEX Options History — May 2024 In May 2024, FEX traded between $94.60 and $98.63. ATM implied volatility averaged 20.2%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 10.4% (HV 20d: 9.8%). Max pain ranged from $93.00 to $93.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2024-05-06 : Highest Volume — 6 contracts2024-05-15 : Largest IV drop — 61.0% change2024-05-13 : Highest IV Rank — 100.0%2024-05-02 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $97.08 $94.60 $98.63 $94.60 $96.76 Max Pain $93.00 $93.00 $93.00 $93.00 $93.00 ATM IV 20.2% 14.3% 36.6% 20.5% 18.0% Expected Move 4.7% 4.1% 6.0% 5.9% 5.2% HV 20d 9.8% 7.5% 12.0% 11.9% 9.8% HV 60d 11.1% 10.2% 12.3% 12.2% 10.5% IV Rank 46.6% 22.5% 100.0% 51.6% 35.5% IV Percentile 77.8% 50.8% 100.0% 90.1% 75.4% Term Structure -2.9% -5.3% -1.5% -4.7% -3.9% Skew 25d 2.8% 1.2% 5.4% 3.1% 3.6% Skew 10d 3.0% -1.9% 5.3% -1.2% 3.1% Call IV 25d 13.2% 11.2% 16.0% 15.8% 13.1% Put IV 25d 16.0% 13.8% 18.9% 18.9% 16.7% Bid-Ask Spread % 143.96 137.19 177.56 175.60 139.81 Gamma HHI 0.82 0.48 1.00 1.00 1.00 Net GEX 2.4K -749 3.6K -749 2.9K Net DEX -21.5K -35.4K 3.1K 3.1K -21.2K Net VEX -111 -147 -4 -7 -122 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 0.364 0 6 0 0 Total OI 5.864 1 8 1 6
Daily Data (22 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 2024-05-01 $94.60 $93.00 20.5% 5.9% 11.9% 51.6% 0.0% 3.1% -4.7% -749 3.1K -7 0.00 175.60 N/A N/A 0 0 0 1 2024-05-02 $94.76 $93.00 20.8% 6.0% 11.4% 53.0% 0.0% 2.9% -5.3% -727 3.0K -7 0.00 176.98 N/A N/A 0 0 0 1 2024-05-03 $95.52 $93.00 20.2% 5.8% 11.4% 50.3% 0.0% 2.5% -5.3% -699 2.3K -6 0.00 177.56 N/A N/A 0 0 0 1 2024-05-06 $96.44 $0.00 23.5% 4.3% 12.0% 64.0% 0.0% 2.8% -1.5% -600 1.7K -4 0.00 139.50 N/A N/A 6 0 0 1 2024-05-07 $96.69 $0.00 22.2% 4.3% 12.0% 58.7% 0.0% 3.0% -1.9% 2.2K -21.4K -138 0.00 139.11 N/A N/A 1 0 6 1 2024-05-08 $96.72 $0.00 23.2% 4.3% 11.3% 62.8% 0.0% 2.8% -2.0% 3.1K -26.9K -144 0.00 139.55 N/A N/A 0 0 7 1 2024-05-09 $97.38 $0.00 25.6% 4.2% 11.6% 72.4% 0.0% 1.2% -2.1% 3.2K -29.7K -147 0.00 138.76 N/A N/A 0 0 7 1 2024-05-10 $97.56 $0.00 25.1% 4.2% 9.6% 70.5% 0.0% 3.3% -1.9% 3.3K -30.9K -145 0.00 138.43 N/A N/A 0 0 7 1 2024-05-13 $97.36 $0.00 35.6% 4.4% 8.6% 100.0% 0.0% 1.2% -1.7% 3.1K -29.6K -142 0.00 138.87 N/A N/A 0 0 7 1 2024-05-14 $97.70 $0.00 36.6% 4.3% 8.6% 100.0% 0.0% 1.4% -2.2% 3.3K -31.1K -140 0.00 138.39 N/A N/A 0 0 7 1 2024-05-15 $98.58 $0.00 14.3% 4.1% 8.7% 22.5% 0.0% 2.0% -2.1% 3.6K -35.4K -141 0.00 137.37 N/A N/A 0 0 7 1 2024-05-16 $98.44 $0.00 15.7% 4.5% 8.7% 27.5% 0.0% 1.4% -3.8% 3.5K -34.6K -140 0.00 137.56 N/A N/A 0 0 7 1 2024-05-17 $98.50 $0.00 15.5% 4.4% 8.6% 26.8% 0.0% 2.5% -3.1% 3.6K -34.7K -137 0.00 137.55 N/A N/A 1 0 7 1 2024-05-20 $98.61 $0.00 15.2% 4.3% 8.0% 25.5% 0.0% 2.5% -2.5% 3.1K -27.9K -135 0.00 137.19 N/A N/A 0 0 6 0 2024-05-21 $98.63 $0.00 14.7% 4.2% 7.5% 24.1% 0.0% 2.5% -1.8% 3.2K -27.9K -135 0.00 137.72 N/A N/A 0 0 6 0 2024-05-22 $97.98 $0.00 15.6% 4.5% 8.1% 26.9% 0.0% 2.7% -2.1% 3.1K -25.7K -133 0.00 138.37 N/A N/A 0 0 6 0 2024-05-23 $96.81 $0.00 15.8% 4.5% 9.3% 27.7% 0.0% 3.5% -2.6% 2.8K -22.1K -126 0.00 139.59 N/A N/A 0 0 6 0 2024-05-24 $97.60 $0.00 15.4% 4.4% 9.6% 26.5% 0.0% 2.9% -2.5% 3.0K -24.4K -131 0.00 138.94 N/A N/A 0 0 6 0 2024-05-28 $97.05 $0.00 16.3% 4.7% 9.9% 29.5% 0.0% 3.6% -2.7% 3.0K -22.3K -124 0.00 139.54 N/A N/A 0 0 6 0 2024-05-29 $96.09 $0.00 17.6% 5.1% 9.6% 34.1% 0.0% 3.8% -3.3% 2.8K -19.1K -118 0.00 140.36 N/A N/A 0 0 6 0 2024-05-30 $96.09 $0.00 18.0% 5.2% 9.6% 35.5% 0.0% 5.4% -3.9% 2.8K -19.3K -117 0.00 140.43 N/A N/A 0 0 6 0 2024-05-31 $96.76 $0.00 18.0% 5.2% 9.8% 35.5% 0.0% 3.6% -3.9% 2.9K -21.2K -122 0.00 139.81 N/A N/A 0 0 6 0
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