FEX Options History — September 2024 In September 2024, FEX traded between $98.63 and $103.97. ATM implied volatility averaged 19.3%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 7.1% (HV 20d: 12.2%). Max pain ranged from $101.00 to $101.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2024-09-19 : Highest Volume — 6 contracts2024-09-11 : Largest IV drop — 29.7% change2024-09-10 : Highest IV Rank — 57.8%2024-09-26 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $101.78 $98.63 $103.97 $100.46 $103.88 Max Pain $101.00 $101.00 $101.00 $101.00 $101.00 ATM IV 19.3% 16.5% 25.5% 21.3% 18.4% Expected Move 5.2% 4.7% 6.3% 6.1% 5.3% HV 20d 12.2% 11.7% 13.7% 13.7% 11.9% HV 60d 14.1% 13.7% 14.2% 13.7% 14.2% IV Rank 37.6% 28.4% 57.8% 44.2% 34.7% IV Percentile 71.7% 53.2% 95.6% 89.3% 69.0% Term Structure -1.8% -6.7% 1.7% -5.0% -2.1% Skew 25d 6.0% 2.8% 16.0% 6.2% 4.8% Skew 10d 7.7% 3.5% 19.8% 6.1% 5.6% Call IV 25d 13.1% 8.5% 23.8% 16.0% 13.8% Put IV 25d 19.1% 17.0% 26.6% 22.2% 18.6% Bid-Ask Spread % 174.53 141.83 195.91 141.83 172.63 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 3.4K 0 6.2K 4.9K 0 Net DEX -19.8K -48.5K 0 -29.3K 0 Net VEX -22 -52 0 -52 0 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 0.4 0 6 0 0 Total OI 3.9 0 6 6 0
Daily Data (20 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 2024-09-03 $100.46 $101.00 21.3% 6.1% 13.7% 44.2% 0.0% 6.2% -5.0% 4.9K -29.3K -52 0.00 141.83 N/A N/A 0 0 6 0 2024-09-04 $100.46 $101.00 21.4% 6.1% 12.4% 44.4% 0.0% 6.8% -4.3% 5.0K -29.2K -50 0.00 142.40 N/A N/A 0 0 6 0 2024-09-05 $99.82 $0.00 21.9% 4.8% 12.3% 46.2% 0.0% 6.5% -0.4% 4.9K -25.8K -48 0.00 176.67 N/A N/A 0 0 6 0 2024-09-06 $98.63 $0.00 23.3% 5.1% 12.1% 50.5% 0.0% 5.5% -0.1% 4.4K -20.1K -43 0.00 172.56 N/A N/A 0 0 6 0 2024-09-09 $99.60 $0.00 24.2% 5.0% 12.5% 53.5% 0.0% 4.7% -0.8% 5.1K -24.0K -40 0.00 178.57 N/A N/A 0 0 6 0 2024-09-10 $99.33 $0.00 25.5% 5.1% 12.3% 57.8% 0.0% 6.0% -0.7% 5.1K -22.3K -38 0.00 178.97 N/A N/A 0 0 6 0 2024-09-11 $99.37 $0.00 17.9% 5.1% 11.8% 33.1% 0.0% 5.4% -1.1% 5.3K -22.2K -36 0.00 180.32 N/A N/A 0 0 6 0 2024-09-12 $100.41 $0.00 17.1% 4.9% 12.3% 30.4% 0.0% 6.4% -1.5% 5.9K -27.8K -35 0.00 183.83 N/A N/A 0 0 6 0 2024-09-13 $101.30 $0.00 16.6% 4.8% 11.7% 28.7% 0.0% 8.6% -2.2% 6.2K -33.3K -33 0.00 181.44 N/A N/A 0 0 6 0 2024-09-16 $102.18 $0.00 17.0% 4.9% 12.0% 30.1% 0.0% 3.9% -1.5% 6.2K -39.0K -24 0.00 178.69 N/A N/A 0 0 6 0 2024-09-17 $102.22 $0.00 17.5% 5.0% 11.9% 31.6% 0.0% 3.8% -1.7% 6.1K -39.0K -21 0.00 178.57 N/A N/A 0 0 6 0 2024-09-18 $102.19 $0.00 20.6% 5.9% 11.8% 41.8% 0.0% 16.0% 1.7% 4.2K -36.5K -17 0.00 195.91 N/A N/A 0 0 6 0 2024-09-19 $103.54 $0.00 16.5% 4.7% 12.4% 28.4% 0.0% 3.2% -1.5% 5.6K -48.5K -10 0.00 174.40 N/A N/A 6 0 6 0 2024-09-20 $103.39 $0.00 16.7% 4.8% 12.4% 28.9% 0.0% 8.3% -1.2% 0 0 0 0.00 174.95 N/A N/A 0 2 0 0 2024-09-23 $103.88 $0.00 17.1% 4.9% 11.9% 30.3% 0.0% 4.3% -2.0% 0 0 0 0.00 174.19 N/A N/A 0 0 0 0 2024-09-24 $103.97 $0.00 17.0% 4.9% 11.9% 29.9% 0.0% 4.9% -1.7% 0 0 0 0.00 174.00 N/A N/A 0 0 0 0 2024-09-25 $103.39 $0.00 17.2% 4.9% 12.2% 30.6% 0.0% 8.2% -1.2% 0 0 0 0.00 174.46 N/A N/A 0 0 0 0 2024-09-26 $103.57 $0.00 21.9% 6.3% 12.1% 45.9% 0.0% 2.8% -6.7% 0 0 0 0.00 184.82 N/A N/A 0 0 0 0 2024-09-27 $103.95 $0.00 17.1% 4.9% 12.1% 30.2% 0.0% 3.8% -1.5% 0 0 0 0.00 171.46 N/A N/A 0 0 0 0 2024-09-30 $103.88 $0.00 18.4% 5.3% 11.9% 34.7% 0.0% 4.8% -2.1% 0 0 0 0.00 172.63 N/A N/A 0 0 0 0
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