FPE Options History — March 2018 In March 2018, FPE traded between $19.45 and $19.79. ATM implied volatility averaged 37.0%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 34.4% (HV 20d: 2.6%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days.
Notable Days 2018-03-20 : Highest Volume — 25 contracts2018-03-15 : Largest IV spike — 725.0% change2018-03-15 : Highest IV Rank — 81.7%2018-03-29 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $19.65 $19.45 $19.79 $19.72 $19.47 Max Pain $19.00 $19.00 $19.00 $19.00 $19.00 ATM IV 37.0% 19.4% 162.5% 27.8% 36.8% Expected Move 6.6% 5.0% 10.6% 8.0% 10.6% HV 20d 2.6% 1.7% 3.8% 3.8% 2.5% HV 60d 3.4% 3.2% 3.4% 3.4% 3.4% IV Rank 18.3% 9.4% 81.7% 13.7% 18.2% IV Percentile 48.0% 16.3% 79.8% 52.4% 64.3% Term Structure -5.8% -11.8% -2.2% -10.9% -10.9% VWIV 29.4% 24.2% 36.6% 34.3% 36.6% Skew 25d 1.1% -1.3% 18.3% -0.1% 0.2% Skew 10d 0.1% -7.7% 18.3% 0.7% -4.8% Call IV 25d 35.2% 22.3% 173.0% 36.1% 45.3% Put IV 25d 36.3% 22.2% 191.3% 36.1% 45.5% Bid-Ask Spread % 162.35 147.41 196.67 161.21 171.65 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -1.3K -2.5K 0 -988 -1.9K Net DEX 8.2K 0 18.5K 5.4K 18.5K Net VEX -21 -51 0 -13 -46 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 15.238 0 25 10 25 Total OI 14.048 0 25 10 25
Daily Data (21 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 Vol Put Vol Call OI Put OI 2018-03-01 $19.72 $19.00 27.8% 8.0% 3.8% 13.7% 34.3% -0.1% -10.9% -988 5.4K -13 0.00 161.21 0 10 0 10 2018-03-02 $19.70 $19.00 28.8% 8.2% 3.8% 14.1% 35.4% -0.1% -11.8% -1.0K 5.5K -13 0.00 160.69 0 10 0 10 2018-03-05 $19.71 $0.00 32.5% 5.2% 3.3% 16.0% 0.0% 0.6% -3.1% -1.0K 5.4K -11 0.00 164.19 0 10 0 10 2018-03-06 $19.75 $0.00 33.1% 5.0% 3.4% 16.4% 0.0% 0.7% -2.2% -997 5.2K -11 0.00 163.63 0 10 0 10 2018-03-07 $19.75 $0.00 34.9% 5.1% 3.2% 17.3% 0.0% 0.8% -2.3% -997 5.2K -10 0.00 163.21 0 10 0 10 2018-03-08 $19.76 $0.00 37.0% 5.2% 3.0% 18.3% 0.0% -0.2% -2.4% -996 5.2K -9 0.00 156.56 0 10 0 10 2018-03-09 $19.78 $0.00 38.5% 5.4% 2.9% 19.1% 0.0% -0.1% -2.5% -996 5.0K -9 0.00 156.30 0 10 0 10 2018-03-12 $19.79 $0.00 50.9% 5.6% 2.4% 25.3% 0.0% -0.1% -3.5% -1.0K 4.7K -7 0.00 156.30 0 10 0 10 2018-03-13 $19.77 $0.00 58.8% 5.6% 2.1% 29.3% 0.0% -0.1% -3.6% -1.0K 4.8K -6 0.00 156.02 0 10 0 10 2018-03-14 $19.76 $0.00 19.7% 5.6% 2.1% 9.6% 0.0% -0.1% -3.8% -1.0K 4.9K -5 0.00 157.06 0 10 0 10 2018-03-15 $19.74 $0.00 162.5% 0.0% 2.0% 81.7% 0.0% 18.3% 0.0% -834 911 -1 0.00 196.67 0 10 0 10 2018-03-16 $19.70 $0.00 19.8% 5.7% 1.9% 9.6% 0.0% 0.0% -4.2% 0 0 0 0.00 163.85 0 10 0 10 2018-03-19 $19.67 $0.00 20.6% 5.9% 1.8% 10.0% 0.0% 0.0% -4.8% 0 0 0 0.00 161.93 0 0 0 0 2018-03-20 $19.64 $0.00 19.4% 5.6% 1.8% 9.4% 27.4% -1.3% -10.4% 0 0 0 0.00 147.41 0 25 0 0 2018-03-21 $19.63 $19.00 22.4% 6.4% 1.7% 10.9% 24.9% 0.6% -5.3% -2.4K 15.0K -49 0.00 171.84 0 25 0 25 2018-03-22 $19.52 $19.00 22.7% 6.5% 2.6% 11.1% 24.2% 0.8% -5.6% -2.5K 16.3K -51 0.00 158.05 0 25 0 25 2018-03-23 $19.49 $19.00 24.2% 6.9% 2.6% 11.9% 24.4% 0.8% -6.4% -2.5K 16.6K -50 0.00 155.80 0 25 0 25 2018-03-26 $19.47 $19.00 25.7% 7.4% 2.6% 12.6% 25.5% 0.8% -6.6% -2.5K 17.0K -47 0.00 157.50 0 25 0 25 2018-03-27 $19.45 $19.00 25.6% 7.3% 2.6% 12.6% 25.9% 0.8% -6.6% -2.5K 17.1K -46 0.00 158.78 0 25 0 25 2018-03-28 $19.47 $19.00 35.3% 10.1% 2.5% 17.5% 35.9% 0.2% -9.9% -1.9K 18.5K -47 0.00 170.80 0 25 0 25 2018-03-29 $19.47 $19.00 36.8% 10.6% 2.5% 18.2% 36.6% 0.2% -10.9% -1.9K 18.5K -46 0.00 171.65 0 25 0 25
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