FEX Options History — July 2024 In July 2024, FEX traded between $96.41 and $100.78. ATM implied volatility averaged 18.0%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 9.0% (HV 20d: 9.1%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days.
Notable Days 2024-07-10 : Largest IV drop — 27.6% change2024-07-09 : Highest IV Rank — 46.0%2024-07-30 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $98.55 $96.41 $100.78 $96.41 $100.49 ATM IV 18.0% 14.9% 21.1% 18.8% 20.5% Expected Move 5.0% 4.0% 6.0% 5.4% 5.9% HV 20d 9.1% 7.6% 10.9% 8.1% 10.9% HV 60d 9.3% 8.7% 9.8% 9.8% 9.5% IV Rank 35.5% 24.5% 46.0% 38.2% 44.0% IV Percentile 72.5% 47.2% 90.9% 78.6% 87.7% Term Structure -3.1% -5.5% -1.0% -4.1% -5.5% Skew 25d 4.4% -4.4% 10.1% 4.3% -4.4% Skew 10d 4.6% -3.3% 10.3% -0.3% -3.3% Call IV 25d 12.3% 7.7% 23.7% 14.2% 23.7% Put IV 25d 16.8% 14.0% 22.5% 18.6% 19.3% Bid-Ask Spread % 179.27 171.43 186.04 183.48 173.83 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 3.7K 3.1K 4.0K 3.1K 4.0K Net DEX -24.9K -34.0K -17.9K -17.9K -31.8K Net VEX -96 -105 -89 -94 -90 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 (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 2024-07-01 $96.41 $0.00 18.8% 5.4% 8.1% 38.2% 0.0% 4.3% -4.1% 3.1K -17.9K -94 0.00 183.48 N/A N/A 0 0 6 0 2024-07-02 $96.70 $0.00 17.6% 5.1% 8.1% 34.1% 0.0% 2.4% -4.2% 3.3K -18.7K -100 0.00 184.18 N/A N/A 0 0 6 0 2024-07-03 $96.85 $0.00 17.9% 5.1% 8.0% 35.2% 0.0% 1.5% -3.5% 3.3K -19.1K -99 0.00 184.25 N/A N/A 0 0 6 0 2024-07-05 $96.66 $0.00 18.8% 4.0% 7.7% 38.1% 0.0% 6.5% -1.2% 3.2K -18.4K -98 0.00 186.04 N/A N/A 0 0 6 0 2024-07-08 $96.97 $0.00 20.4% 4.2% 7.6% 43.9% 0.0% 6.2% -1.5% 3.4K -19.0K -95 0.00 185.71 N/A N/A 0 0 6 0 2024-07-09 $96.98 $0.00 21.1% 4.2% 7.6% 46.0% 0.0% 6.3% -1.0% 3.4K -19.1K -94 0.00 185.74 N/A N/A 0 0 6 0 2024-07-10 $97.46 $0.00 15.3% 4.4% 7.6% 25.9% 0.0% 6.5% -1.7% 3.5K -20.7K -98 0.00 185.63 N/A N/A 0 0 6 0 2024-07-11 $98.46 $0.00 15.5% 4.4% 8.2% 26.8% 0.0% 2.0% -1.9% 3.7K -24.7K -100 0.00 181.49 N/A N/A 0 0 6 0 2024-07-12 $99.33 $0.00 15.2% 4.4% 8.5% 25.7% 0.0% 0.3% -2.3% 3.9K -28.1K -105 0.00 176.15 N/A N/A 0 0 6 0 2024-07-15 $99.41 $0.00 16.1% 4.6% 8.5% 28.8% 0.0% 1.0% -2.6% 3.9K -28.3K -102 0.00 177.18 N/A N/A 0 0 6 0 2024-07-16 $100.78 $0.00 14.9% 4.3% 8.8% 24.5% 0.0% 0.7% -1.9% 4.0K -34.0K -101 0.00 171.43 N/A N/A 0 0 6 0 2024-07-17 $100.14 $0.00 16.5% 4.7% 8.9% 30.3% 0.0% 1.6% -2.5% 3.9K -31.2K -101 0.00 173.83 N/A N/A 0 0 6 0 2024-07-18 $99.44 $0.00 16.9% 4.8% 9.4% 31.6% 0.0% 4.3% -2.2% 3.9K -28.2K -100 0.00 175.49 N/A N/A 0 0 6 0 2024-07-19 $98.75 $0.00 17.1% 4.9% 9.8% 32.3% 0.0% 7.2% -2.9% 3.6K -25.5K -97 0.00 176.85 N/A N/A 0 0 6 0 2024-07-22 $99.44 $0.00 17.3% 4.9% 9.9% 32.8% 0.0% 8.3% -2.7% 3.9K -27.9K -97 0.00 177.14 N/A N/A 0 0 6 0 2024-07-23 $99.30 $0.00 17.7% 5.1% 9.6% 34.2% 0.0% 7.9% -3.9% 4.0K -27.2K -96 0.00 177.42 N/A N/A 0 0 6 0 2024-07-24 $98.03 $0.00 19.3% 5.5% 10.4% 40.0% 0.0% 7.3% -3.8% 3.4K -22.9K -90 0.00 177.51 N/A N/A 0 0 6 0 2024-07-25 $98.26 $0.00 20.0% 5.7% 10.2% 42.2% 0.0% 3.9% -4.3% 3.5K -23.3K -89 0.00 180.69 N/A N/A 0 0 6 0 2024-07-26 $99.30 $0.00 19.4% 5.6% 10.8% 40.3% 0.0% 9.3% -4.1% 3.8K -27.2K -93 0.00 176.08 N/A N/A 0 0 6 0 2024-07-29 $99.43 $0.00 19.8% 5.7% 10.8% 41.6% 0.0% 10.1% -4.4% 3.9K -27.5K -91 0.00 177.28 N/A N/A 0 0 6 0 2024-07-30 $99.61 $0.00 20.9% 6.0% 10.6% 45.5% 0.0% 3.8% -5.3% 3.8K -27.3K -89 0.00 176.57 N/A N/A 0 0 6 0 2024-07-31 $100.49 $0.00 20.5% 5.9% 10.9% 44.0% 0.0% -4.4% -5.5% 4.0K -31.8K -90 0.00 173.83 N/A N/A 0 0 6 0
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