FPE Options History — June 2018 In June 2018, FPE traded between $19.01 and $19.31. ATM implied volatility averaged 20.1%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 16.5% (HV 20d: 3.6%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 3.07.
Notable Days 2018-06-20 : Highest Volume — 8 contracts2018-06-12 : Largest IV spike — 359.9% change2018-06-12 : Highest IV Rank — 28.5%2018-06-01 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $19.18 $19.01 $19.31 $19.16 $19.05 Max Pain $19.00 $19.00 $19.00 $19.00 $19.00 ATM IV 20.1% 5.3% 57.3% 27.6% 22.6% Expected Move 5.3% 1.4% 7.9% 7.9% 6.5% HV 20d 3.6% 3.1% 3.9% 3.5% 3.3% HV 60d 2.9% 2.7% 3.1% 2.8% 3.1% IV Rank 9.7% 2.0% 28.5% 13.5% 10.8% IV Percentile 27.3% 3.2% 84.9% 63.5% 40.1% Term Structure -4.9% -11.4% -1.3% -9.5% -6.2% VWIV 20.9% 4.6% 25.5% 25.5% 22.8% Skew 25d 0.2% -2.1% 1.2% 0.8% 0.6% Skew 10d 1.7% -3.8% 3.9% -3.8% 2.0% Call IV 25d 23.6% 6.9% 37.7% 37.7% 31.0% Put IV 25d 23.7% 6.4% 38.5% 38.5% 31.5% Bid-Ask Spread % 146.81 32.68 165.63 161.28 165.48 Gamma HHI 0.64 0.46 0.90 0.68 0.50 Net GEX 98 -123 492 160 -109 Net DEX -336 -2.9K 3.3K -1.7K 3.1K Net VEX -15 -36 -5 -9 -34 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.07 0.50 7.00 0.50 7.00 Total Volume 4.857 2 8 3 8 Total OI 4.571 2 8 3 8
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 2018-06-01 $19.16 $19.00 27.6% 7.9% 3.5% 13.5% 25.5% 0.8% -9.5% 160 -1.7K -9 0.50 161.28 2 1 2 1 2018-06-04 $19.19 $0.00 17.5% 5.1% 3.6% 8.5% 0.0% 0.3% -3.1% 218 -1.9K -8 0.50 164.35 2 1 2 1 2018-06-05 $19.23 $0.00 13.1% 5.1% 3.7% 6.2% 0.0% 0.1% -11.4% 266 -1.9K -9 0.50 163.50 2 1 2 1 2018-06-06 $19.26 $0.00 8.1% 3.1% 3.7% 3.7% 0.0% -1.2% -2.4% 462 -2.8K -5 0.50 107.72 2 1 2 1 2018-06-07 $19.26 $0.00 18.9% 5.2% 3.7% 9.2% 0.0% 0.2% -2.5% 237 -2.0K -8 0.50 151.91 2 1 2 1 2018-06-08 $19.26 $0.00 9.2% 1.4% 3.7% 4.3% 0.0% 0.5% -1.3% 407 -2.5K -7 0.50 32.68 2 1 2 1 2018-06-11 $19.25 $0.00 12.4% 3.4% 3.5% 5.9% 0.0% -2.1% -2.9% 492 -2.9K -5 0.50 109.00 2 1 2 1 2018-06-12 $19.25 $0.00 57.3% 5.5% 3.5% 28.5% 0.0% 0.2% -3.9% 164 -1.9K -7 0.50 163.19 2 1 2 1 2018-06-13 $19.26 $0.00 19.4% 5.6% 3.5% 9.4% 0.0% 0.3% -4.0% 155 -1.8K -8 0.50 159.56 2 1 2 1 2018-06-14 $19.27 $0.00 19.6% 5.6% 3.5% 9.5% 0.0% 1.2% -3.3% 205 -2.1K -6 0.50 144.46 2 1 2 1 2018-06-15 $19.29 $0.00 19.4% 5.5% 3.5% 9.4% 0.0% -0.0% -3.4% 41 -2.8K -6 0.50 160.39 2 1 2 1 2018-06-18 $19.31 $0.00 20.2% 5.8% 3.6% 9.8% 0.0% 0.0% -3.8% 49 -733 -7 1.00 155.89 1 1 1 1 2018-06-19 $19.23 $0.00 22.7% 6.5% 3.8% 10.9% 23.8% 1.0% -6.2% 42 -779 -6 2.00 155.55 1 2 1 1 2018-06-20 $19.23 $19.00 20.5% 5.9% 3.1% 9.8% 21.1% 0.3% -5.0% -62 15 -8 7.00 159.47 1 7 1 2 2018-06-21 $19.11 $19.00 20.4% 5.8% 3.8% 9.6% 20.2% 0.3% -5.3% -116 3.2K -36 7.00 162.07 1 7 1 7 2018-06-22 $19.07 $19.00 5.3% 1.5% 3.8% 2.0% 4.6% -1.0% -2.0% -115 -302 -7 7.00 105.95 1 7 1 7 2018-06-25 $19.03 $19.00 22.0% 6.3% 3.9% 10.5% 22.1% 0.6% -6.3% -123 3.3K -35 7.00 165.63 1 7 1 7 2018-06-26 $19.05 $19.00 21.8% 6.3% 3.7% 10.3% 22.7% 0.7% -5.2% -109 3.1K -35 7.00 165.29 1 7 1 7 2018-06-27 $19.01 $19.00 22.3% 6.4% 3.7% 10.6% 22.7% 0.6% -5.7% -110 3.2K -35 7.00 164.10 1 7 1 7 2018-06-28 $19.03 $19.00 22.8% 6.5% 3.7% 10.9% 23.4% 0.7% -8.6% -105 3.2K -35 7.00 165.55 1 7 1 7 2018-06-29 $19.05 $19.00 22.6% 6.5% 3.3% 10.8% 22.8% 0.6% -6.2% -109 3.1K -34 7.00 165.48 1 7 1 7
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