FPE Options History — October 2020

In October 2020, FPE traded between $19.12 and $19.45. ATM implied volatility averaged 25.0%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 18.9% (HV 20d: 6.1%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.20.

Notable Days

2020-10-09: Highest Volume — 10 contracts
2020-10-22: Largest IV spike — 287.1% change
2020-10-20: Highest IV Rank — 27.0%
2020-10-09: Largest Expected Move — 19.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.33	$19.12	$19.45	$19.27	$19.12
Max Pain	$20.91	$20.00	$21.00	$20.00	$21.00
ATM IV	25.0%	11.6%	56.1%	11.6%	17.7%
Expected Move	8.9%	3.3%	19.5%	3.3%	5.1%
HV 20d	6.1%	3.7%	7.3%	7.3%	4.7%
HV 60d	5.3%	5.1%	5.6%	5.5%	5.6%
IV Rank	11.0%	4.1%	27.0%	4.1%	7.2%
IV Percentile	29.8%	9.1%	71.0%	9.1%	23.8%
Term Structure	2.1%	-21.0%	58.6%	35.0%	22.9%
VWIV	51.8%	11.6%	94.6%	49.2%	11.6%
Skew 25d	14.4%	-33.0%	55.3%	-26.8%	23.0%
Skew 10d	-5.3%	-52.8%	44.1%	4.4%	33.8%
Call IV 25d	42.7%	7.5%	119.6%	78.5%	49.4%
Put IV 25d	57.1%	13.4%	93.9%	51.6%	72.4%
Bid-Ask Spread %	137.59	34.26	195.02	186.48	144.41
Gamma HHI	0.58	0.34	0.85	0.37	0.73
Net GEX	-6.5K	-12.4K	-1.0K	-7.1K	-5.1K
Net DEX	149.6K	126.1K	190.9K	137.8K	146.8K
Net VEX	-232	-383	-45	-370	-165
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.20	0.20	0.20	0.20
Total Volume	0.955	0	10	0	0
Total OI	156.227	137	176	166	142

Daily Data (22 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
2020-10-01	$19.27	$20.00	11.6%	3.3%	7.3%	4.1%	0.0%	-26.8%	35.0%	-7.1K	137.8K	-370	0.00	186.48	0	0	18	148
2020-10-02	$19.24	$20.00	12.1%	3.5%	7.2%	4.3%	0.0%	-33.0%	58.6%	-5.9K	128.9K	-383	0.00	195.02	0	0	18	148
2020-10-05	$19.30	$21.00	12.4%	8.9%	7.3%	4.5%	0.0%	2.9%	-3.6%	-9.4K	153.5K	-292	0.00	117.57	0	0	18	148
2020-10-06	$19.34	$21.00	13.8%	13.9%	7.3%	5.2%	49.2%	3.7%	-11.4%	-7.5K	135.7K	-342	0.00	148.10	0	5	18	148
2020-10-07	$19.38	$21.00	13.1%	8.1%	7.2%	4.8%	0.0%	1.9%	-13.7%	-9.1K	151.4K	-311	0.00	140.80	0	0	18	153
2020-10-08	$19.40	$21.00	50.2%	14.1%	7.2%	23.9%	0.0%	2.0%	-12.9%	-5.6K	139.2K	-346	0.00	152.41	0	0	18	153
2020-10-09	$19.41	$21.00	15.8%	19.5%	7.1%	6.2%	94.6%	8.5%	-21.0%	-7.0K	130.8K	-351	0.00	156.25	0	10	18	153
2020-10-12	$19.43	$21.00	22.3%	3.8%	7.1%	9.6%	0.0%	6.2%	22.8%	-9.4K	188.9K	-152	0.00	125.36	0	0	13	163
2020-10-13	$19.45	$21.00	25.5%	14.8%	7.0%	11.2%	0.0%	2.2%	-14.1%	-9.4K	146.1K	-320	0.00	147.22	0	0	13	163
2020-10-14	$19.38	$21.00	13.6%	3.9%	7.0%	5.1%	0.0%	27.9%	-5.2%	-12.4K	175.0K	-193	0.00	125.20	0	0	13	163
2020-10-15	$19.37	$21.00	13.2%	3.8%	6.9%	4.9%	0.0%	3.7%	27.8%	-9.3K	190.9K	-92	0.00	126.18	0	0	13	163
2020-10-16	$19.32	$21.00	31.6%	9.1%	6.9%	14.4%	0.0%	45.5%	-9.5%	-5.6K	157.5K	-217	0.00	132.24	0	0	13	163
2020-10-19	$19.36	$21.00	54.8%	15.7%	6.8%	26.3%	0.0%	21.0%	-10.7%	-4.8K	126.9K	-258	0.00	144.92	0	0	10	127
2020-10-20	$19.40	$21.00	56.1%	16.1%	6.9%	27.0%	0.0%	20.5%	-12.2%	-4.9K	126.1K	-254	0.00	145.00	0	0	10	127
2020-10-21	$19.32	$21.00	13.9%	4.0%	5.6%	5.3%	0.0%	30.2%	-3.0%	-5.6K	154.5K	-160	0.00	134.99	0	0	10	127
2020-10-22	$19.35	$21.00	53.9%	15.5%	4.0%	25.8%	0.0%	24.6%	-12.6%	-5.0K	126.6K	-248	0.00	145.34	0	0	10	127
2020-10-23	$19.41	$21.00	13.6%	3.9%	4.0%	5.1%	0.0%	11.8%	-2.5%	-3.3K	167.4K	-84	0.00	114.78	0	0	10	127
2020-10-26	$19.38	$21.00	37.2%	10.7%	3.7%	17.3%	0.0%	49.2%	2.1%	-6.0K	141.8K	-187	0.00	129.99	0	0	10	127
2020-10-27	$19.37	$21.00	14.8%	4.2%	3.7%	5.7%	0.0%	5.9%	-0.6%	-1.0K	171.7K	-45	0.00	34.26	0	0	10	127
2020-10-28	$19.20	$21.00	14.2%	4.1%	4.8%	5.4%	11.6%	31.2%	29.5%	-4.3K	163.8K	-108	0.20	135.26	5	1	10	127
2020-10-29	$19.16	$21.00	38.1%	10.9%	4.7%	17.7%	0.0%	55.3%	-19.4%	-4.8K	129.1K	-220	0.00	145.27	0	0	15	127
2020-10-30	$19.12	$21.00	17.7%	5.1%	4.7%	7.2%	0.0%	23.0%	22.9%	-5.1K	146.8K	-165	0.00	144.41	0	0	15	127