FPE Options History — August 2020

In August 2020, FPE traded between $19.01 and $19.43. ATM implied volatility averaged 27.1%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 23.1% (HV 20d: 4.0%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 10.44.

Notable Days

2020-08-14: Highest Volume — 191 contracts
2020-08-06: Largest IV spike — 212.6% change
2020-08-07: Highest IV Rank — 20.6%
2020-08-06: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.26	$19.01	$19.43	$19.01	$19.38
Max Pain	$19.52	$19.00	$20.00	$19.00	$20.00
ATM IV	27.1%	8.8%	43.7%	8.8%	41.5%
Expected Move	7.5%	2.5%	13.9%	2.5%	11.9%
HV 20d	4.0%	3.5%	4.3%	4.3%	4.1%
HV 60d	8.0%	7.2%	8.8%	8.8%	7.2%
IV Rank	12.0%	2.6%	20.6%	2.6%	19.5%
IV Percentile	31.0%	7.5%	50.4%	7.5%	50.4%
Term Structure	1.0%	-40.0%	34.8%	1.8%	4.7%
VWIV	61.8%	53.7%	67.8%	53.7%	63.8%
Skew 25d	13.5%	-12.9%	68.9%	68.9%	30.1%
Skew 10d	19.4%	-17.0%	106.5%	101.5%	20.6%
Call IV 25d	44.1%	9.0%	76.7%	9.7%	57.8%
Put IV 25d	57.7%	10.8%	87.9%	78.6%	87.9%
Bid-Ask Spread %	151.01	49.63	192.72	49.63	140.18
Gamma HHI	0.45	0.36	0.58	0.45	0.44
Net GEX	-5.1K	-15.9K	3.0K	381	-8.3K
Net DEX	193.0K	104.4K	327.4K	172.6K	210.0K
Net VEX	-429	-619	-186	-407	-577
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	10.44	0.00	62.67	0.00	0.00
Total Volume	12.238	0	191	8	0
Total OI	209.095	170	267	194	222

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
2020-08-03	$19.01	$19.00	8.8%	2.5%	4.3%	2.6%	0.0%	68.9%	1.8%	381	172.6K	-407	0.00	49.63	0	8	43	151
2020-08-04	$19.02	$19.00	25.3%	7.3%	4.3%	11.1%	0.0%	13.8%	5.0%	3.0K	163.8K	-379	0.00	134.35	0	15	43	143
2020-08-05	$19.07	$19.00	13.3%	3.8%	4.2%	4.9%	0.0%	65.6%	-2.2%	661	146.6K	-283	0.00	50.25	0	0	43	128
2020-08-06	$19.05	$19.00	41.5%	13.9%	4.0%	19.5%	0.0%	2.5%	-40.0%	-2.2K	105.5K	-447	0.00	192.72	0	0	43	128
2020-08-07	$19.10	$19.00	43.7%	7.5%	4.0%	20.6%	0.0%	-12.9%	-5.9%	-2.2K	104.4K	-459	0.00	189.57	0	0	43	128
2020-08-10	$19.19	$19.00	14.9%	2.7%	3.7%	5.8%	0.0%	-1.8%	-1.6%	330	137.7K	-309	0.00	152.95	10	0	42	128
2020-08-11	$19.20	$19.00	15.6%	2.7%	3.7%	6.1%	0.0%	1.8%	-1.4%	-649	166.0K	-186	0.00	101.71	0	0	42	128
2020-08-12	$19.30	$19.00	26.1%	7.5%	3.8%	11.5%	0.0%	2.6%	-2.0%	-1.8K	110.8K	-430	0.00	184.35	0	0	42	128
2020-08-13	$19.26	$19.00	30.2%	8.7%	4.0%	13.7%	0.0%	1.9%	-2.3%	-1.4K	112.2K	-426	0.00	186.54	0	0	42	128
2020-08-14	$19.29	$19.00	34.9%	10.0%	3.8%	16.1%	53.7%	1.5%	-10.8%	-1.8K	110.1K	-423	62.67	187.26	3	188	42	128
2020-08-17	$19.31	$20.00	13.3%	3.8%	3.5%	4.9%	0.0%	3.3%	-3.9%	-7.3K	327.4K	-204	0.00	96.38	0	0	41	222
2020-08-18	$19.38	$20.00	15.4%	4.4%	3.6%	6.1%	0.0%	2.4%	-3.8%	-6.6K	299.9K	-244	0.00	85.88	0	0	41	222
2020-08-19	$19.38	$20.00	33.4%	9.6%	3.6%	15.3%	0.0%	2.0%	26.4%	-7.3K	200.8K	-619	0.00	183.70	4	0	41	222
2020-08-20	$19.32	$20.00	33.6%	9.6%	3.9%	15.4%	0.0%	1.9%	33.6%	-7.7K	228.5K	-596	0.00	184.73	0	0	45	222
2020-08-21	$19.24	$20.00	12.2%	3.5%	4.3%	4.4%	67.8%	25.2%	1.2%	-14.4K	303.5K	-357	0.00	183.11	3	0	44	222
2020-08-24	$19.31	$20.00	35.4%	10.2%	4.2%	16.3%	0.0%	1.5%	34.8%	-8.5K	219.0K	-580	0.00	184.83	0	0	14	206
2020-08-25	$19.34	$20.00	12.9%	3.7%	4.1%	4.7%	0.0%	0.6%	-4.4%	-15.9K	310.1K	-272	0.00	167.88	0	0	14	206
2020-08-26	$19.40	$20.00	38.0%	10.9%	4.1%	17.7%	0.0%	23.6%	-0.7%	-8.4K	210.4K	-593	0.00	181.42	2	0	14	206
2020-08-27	$19.43	$20.00	38.8%	11.1%	4.1%	18.1%	63.8%	23.7%	-3.2%	-8.3K	206.4K	-602	0.00	152.27	0	20	16	206
2020-08-28	$19.40	$20.00	39.8%	11.4%	4.1%	18.6%	0.0%	25.6%	-3.6%	-8.3K	208.0K	-607	0.00	181.42	4	0	16	206
2020-08-31	$19.38	$20.00	41.5%	11.9%	4.1%	19.5%	0.0%	30.1%	4.7%	-8.3K	210.0K	-577	0.00	140.18	0	0	16	206