FEX Options History — August 2024

In August 2024, FEX traded between $94.16 and $102.19. ATM implied volatility averaged 23.3%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.8% (HV 20d: 18.5%). Max pain ranged from $101.00 to $101.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2024-08-01: Highest Volume — 4 contracts
2024-08-14: Largest IV drop — 57.2% change
2024-08-05: Highest IV Rank — 100.0%
2024-08-02: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$98.93	$94.16	$102.19	$98.65	$102.19
Max Pain	$101.00	$101.00	$101.00	$101.00	$101.00
ATM IV	23.3%	15.6%	38.4%	22.2%	17.8%
Expected Move	5.2%	4.5%	7.2%	6.4%	5.1%
HV 20d	18.5%	13.1%	19.7%	13.1%	15.1%
HV 60d	13.0%	10.1%	13.7%	10.1%	13.2%
IV Rank	51.4%	25.3%	100.0%	49.8%	32.8%
IV Percentile	74.8%	46.0%	100.0%	93.7%	66.7%
Term Structure	-2.2%	-7.2%	4.6%	-6.2%	-3.6%
VWIV	25.3%	25.3%	25.3%	25.3%	25.3%
Skew 25d	4.6%	1.9%	7.8%	6.6%	4.2%
Skew 10d	5.4%	1.9%	12.4%	11.2%	5.4%
Call IV 25d	15.0%	12.6%	21.3%	17.7%	12.6%
Put IV 25d	19.6%	15.4%	27.8%	24.3%	16.8%
Bid-Ask Spread %	146.38	138.70	177.38	177.38	139.34
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	4.0K	2.0K	5.2K	3.8K	5.2K
Net DEX	-25.6K	-39.2K	-14.1K	-24.3K	-39.2K
Net VEX	-67	-87	-55	-87	-55
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	0.182	0	4	4	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	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2024-08-01	$98.65	$0.00	22.2%	6.4%	13.1%	49.8%	25.3%	6.6%	-6.2%	3.8K	-24.3K	-87	177.38	N/A	N/A	4	6
2024-08-02	$96.40	$0.00	25.2%	7.2%	15.6%	60.4%	0.0%	6.4%	-7.2%	2.9K	-17.2K	-74	174.48	N/A	N/A	0	6
2024-08-05	$94.16	$101.00	36.8%	6.7%	17.6%	100.0%	0.0%	6.7%	-3.9%	2.0K	-14.3K	-66	151.32	N/A	N/A	0	6
2024-08-06	$95.96	$101.00	37.9%	5.1%	19.0%	100.0%	0.0%	7.8%	4.6%	2.5K	-17.9K	-70	165.19	N/A	N/A	0	6
2024-08-07	$95.25	$101.00	30.1%	5.8%	19.1%	74.3%	0.0%	5.4%	0.2%	2.5K	-14.1K	-61	139.22	N/A	N/A	0	6
2024-08-08	$96.84	$101.00	38.4%	5.2%	19.7%	100.0%	0.0%	6.8%	2.4%	2.8K	-19.2K	-73	155.18	N/A	N/A	0	6
2024-08-09	$97.13	$101.00	28.6%	5.1%	19.4%	68.0%	0.0%	3.5%	-0.6%	3.3K	-16.6K	-67	142.46	N/A	N/A	0	6
2024-08-12	$96.63	$101.00	36.4%	5.1%	19.4%	93.3%	0.0%	4.4%	-1.0%	3.2K	-15.6K	-62	142.87	N/A	N/A	0	6
2024-08-13	$97.67	$101.00	38.4%	4.8%	19.2%	99.9%	0.0%	4.7%	-0.9%	3.8K	-18.6K	-70	143.14	N/A	N/A	0	6
2024-08-14	$98.09	$101.00	16.4%	4.7%	19.2%	28.1%	0.0%	3.9%	-1.9%	4.0K	-19.9K	-68	144.02	N/A	N/A	0	6
2024-08-15	$99.43	$101.00	15.8%	4.5%	19.7%	26.0%	0.0%	2.8%	-2.9%	4.5K	-25.7K	-73	142.67	N/A	N/A	0	6
2024-08-16	$99.54	$101.00	15.6%	4.5%	19.5%	25.3%	0.0%	2.5%	-1.8%	4.6K	-26.1K	-74	142.11	N/A	N/A	0	6
2024-08-19	$100.23	$101.00	16.2%	4.6%	19.5%	27.4%	0.0%	1.9%	-2.7%	4.8K	-29.2K	-71	140.64	N/A	N/A	0	6
2024-08-20	$99.93	$101.00	16.3%	4.7%	19.6%	27.8%	0.0%	2.9%	-2.2%	4.7K	-27.7K	-69	140.52	N/A	N/A	0	6
2024-08-21	$100.52	$101.00	16.4%	4.7%	19.0%	28.2%	0.0%	2.6%	-2.2%	4.8K	-30.5K	-69	139.72	N/A	N/A	0	6
2024-08-22	$100.35	$101.00	17.2%	4.9%	19.0%	30.7%	0.0%	2.2%	-2.8%	4.7K	-29.7K	-68	139.73	N/A	N/A	0	6
2024-08-23	$101.50	$101.00	17.5%	5.0%	19.1%	31.8%	0.0%	5.8%	-4.0%	4.8K	-35.5K	-66	139.40	N/A	N/A	0	6
2024-08-26	$101.63	$101.00	17.3%	5.0%	19.1%	31.2%	0.0%	2.2%	-3.4%	4.8K	-36.0K	-62	138.70	N/A	N/A	0	6
2024-08-27	$101.58	$101.00	17.2%	4.9%	19.1%	30.8%	0.0%	4.0%	-3.0%	5.0K	-35.8K	-61	140.46	N/A	N/A	0	6
2024-08-28	$101.23	$101.00	18.2%	5.2%	18.9%	33.9%	0.0%	5.1%	-3.0%	5.0K	-33.8K	-60	140.94	N/A	N/A	0	6
2024-08-29	$101.56	$101.00	17.3%	4.9%	17.6%	30.9%	0.0%	7.8%	-3.0%	5.0K	-35.5K	-58	140.95	N/A	N/A	0	6
2024-08-30	$102.19	$101.00	17.8%	5.1%	15.1%	32.8%	0.0%	4.2%	-3.6%	5.2K	-39.2K	-55	139.34	N/A	N/A	0	6