FEX Options History — June 2024 In June 2024, FEX traded between $96.00 and $97.84. ATM implied volatility averaged 17.9%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 8.6% (HV 20d: 9.2%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days.
Notable Days 2024-06-12 : Largest IV drop — 33.7% change2024-06-11 : Highest IV Rank — 50.5%2024-06-05 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $96.76 $96.00 $97.84 $96.41 $96.85 ATM IV 17.9% 14.8% 22.3% 19.0% 17.2% Expected Move 4.7% 4.2% 5.6% 5.4% 4.9% HV 20d 9.2% 8.3% 9.9% 9.6% 8.3% HV 60d 10.3% 10.0% 10.5% 10.4% 10.0% IV Rank 35.0% 24.4% 50.5% 38.7% 32.6% IV Percentile 73.4% 52.0% 93.3% 81.3% 70.6% Term Structure -2.9% -5.3% -1.2% -4.9% -3.2% Skew 25d 3.5% 2.5% 5.0% 5.0% 3.0% Skew 10d 2.3% -0.2% 8.1% 2.3% 6.8% Call IV 25d 12.4% 11.3% 14.4% 14.4% 12.7% Put IV 25d 16.0% 14.6% 19.4% 19.4% 15.7% Bid-Ask Spread % 177.79 139.61 185.70 140.16 183.80 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 3.0K 2.8K 3.2K 2.8K 3.2K Net DEX -20.1K -23.3K -17.6K -20.0K -19.9K Net VEX -110 -120 -101 -114 -101 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 6 6 6 6 6
Daily Data (19 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 2024-06-03 $96.41 $0.00 19.0% 5.4% 9.6% 38.7% 0.0% 5.0% -4.9% 2.8K -20.0K -114 0.00 140.16 N/A N/A 0 0 6 0 2024-06-04 $96.09 $0.00 19.3% 5.5% 9.0% 39.9% 0.0% 3.3% -4.9% 2.8K -18.7K -115 0.00 140.71 N/A N/A 0 0 6 0 2024-06-05 $96.75 $0.00 19.4% 5.6% 9.3% 40.3% 0.0% 3.0% -5.3% 3.0K -20.7K -120 0.00 139.61 N/A N/A 0 0 6 0 2024-06-06 $96.43 $0.00 21.1% 4.3% 9.4% 46.2% 0.0% 3.2% -1.2% 2.9K -19.7K -113 0.00 184.78 N/A N/A 0 0 6 0 2024-06-07 $96.34 $0.00 21.2% 4.3% 9.0% 46.5% 0.0% 3.5% -1.8% 2.9K -19.2K -113 0.00 185.46 N/A N/A 0 0 6 0 2024-06-10 $96.78 $0.00 21.6% 4.4% 9.2% 47.8% 0.0% 4.2% -1.6% 3.0K -20.6K -117 0.00 185.37 N/A N/A 0 0 6 0 2024-06-11 $96.33 $0.00 22.3% 4.5% 9.3% 50.5% 0.0% 3.8% -2.0% 2.9K -18.9K -111 0.00 184.70 N/A N/A 0 0 6 0 2024-06-12 $96.77 $0.00 14.8% 4.3% 9.3% 24.4% 0.0% 2.8% -1.8% 3.0K -20.1K -109 0.00 185.32 N/A N/A 0 0 6 0 2024-06-13 $96.81 $0.00 14.8% 4.2% 8.7% 24.4% 0.0% 3.3% -3.1% 3.1K -20.0K -109 0.00 185.40 N/A N/A 0 0 6 0 2024-06-14 $96.00 $0.00 15.4% 4.4% 9.1% 26.3% 0.0% 3.4% -1.9% 2.8K -17.6K -102 0.00 183.53 N/A N/A 0 0 6 0 2024-06-17 $96.94 $0.00 15.7% 4.5% 9.9% 27.5% 0.0% 3.7% -4.1% 3.1K -20.4K -112 0.00 185.08 N/A N/A 0 0 6 0 2024-06-18 $97.21 $0.00 15.9% 4.6% 9.9% 28.2% 0.0% 3.4% -2.6% 3.1K -21.3K -111 0.00 185.70 N/A N/A 0 0 6 0 2024-06-20 $97.29 $0.00 16.5% 4.7% 9.9% 30.0% 0.0% 3.9% -2.7% 3.1K -21.6K -109 0.00 185.20 N/A N/A 0 0 6 0 2024-06-21 $97.01 $0.00 16.6% 4.8% 9.7% 30.5% 0.0% 3.8% -2.4% 3.1K -20.6K -109 0.00 185.04 N/A N/A 0 0 6 0 2024-06-24 $97.84 $0.00 16.9% 4.8% 9.2% 31.5% 0.0% 4.9% -2.4% 3.2K -23.3K -111 0.00 184.43 N/A N/A 0 0 6 0 2024-06-25 $97.18 $0.00 17.4% 5.0% 9.1% 33.2% 0.0% 3.2% -2.7% 3.1K -20.8K -107 0.00 185.22 N/A N/A 0 0 6 0 2024-06-26 $96.67 $0.00 17.8% 5.1% 9.1% 34.7% 0.0% 3.7% -3.2% 3.0K -19.0K -101 0.00 185.06 N/A N/A 0 0 6 0 2024-06-27 $96.73 $0.00 16.8% 4.8% 8.3% 31.3% 0.0% 2.5% -2.7% 3.2K -19.4K -103 0.00 183.46 N/A N/A 0 0 6 0 2024-06-28 $96.85 $0.00 17.2% 4.9% 8.3% 32.6% 0.0% 3.0% -3.2% 3.2K -19.9K -101 0.00 183.80 N/A N/A 0 0 6 0
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