That one ex you always think of first when someone says "your Ex". No matter how many ex-girlfriends or boyfriends you have, there is always going to be one who stands out in your memory, one who you always think about unbidden. Normally this is the ex who had the most serious relationship with you. The phrase "capital Ex" is used to differentiate.
The "E" is capitalized.
Rob: "Hey man, I ran into your ex today. Turns out she's lesbian now."
Rob: "No man, Jenny. Why do you always think I mean Shelly?"
Jon: "I don't know. I guess she's just my capital Ex."
No matter how many exes you have, there's always that one Ex.