FPE Options History — December 2020 In December 2020, FPE traded between $20.04 and $20.30. ATM implied volatility averaged 52.3%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 48.8% (HV 20d: 3.5%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2020-12-04 : Highest Volume — 45 contracts2020-12-08 : Largest IV spike — 102.4% change2020-12-21 : Highest IV Rank — 40.3%2020-12-21 : Largest Expected Move — 24.0%Monthly Statistics Metric Avg Min Max Open Close Price $20.17 $20.04 $20.30 $20.04 $20.16 Max Pain $20.91 $20.00 $21.00 $20.00 $21.00 ATM IV 52.3% 22.3% 83.9% 34.2% 70.2% Expected Move 15.3% 8.6% 24.0% 9.8% 20.1% HV 20d 3.5% 2.6% 5.5% 5.5% 3.7% HV 60d 5.5% 4.8% 6.1% 6.1% 4.9% IV Rank 24.4% 9.6% 40.3% 15.7% 33.1% IV Percentile 66.9% 25.8% 89.3% 41.7% 82.5% Term Structure -9.6% -26.7% 43.4% 42.9% -26.7% VWIV 93.5% 93.5% 93.5% 93.5% 93.5% Skew 25d -1.1% -25.4% 13.2% -23.4% 1.1% Skew 10d 11.9% -45.7% 21.6% 7.9% 20.4% Call IV 25d 72.5% 28.6% 102.4% 58.3% 96.8% Put IV 25d 71.4% 28.9% 115.6% 34.8% 97.9% Bid-Ask Spread % 191.04 183.57 200.00 184.28 190.47 Gamma HHI 0.83 0.34 1.00 1.00 0.73 Net GEX 1.1K -1.2K 6.5K 3.5K -1.1K Net DEX -13.1K -52.5K 20.0K -48.7K 15.1K Net VEX -73 -101 -6 -81 -99 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 3.682 0 45 1 2 Total OI 34.636 2 47 46 36
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 2020-12-01 $20.04 $20.00 34.2% 9.8% 5.5% 15.7% 0.0% -23.4% 42.9% 3.5K -48.7K -81 0.00 184.28 1 0 46 0 2020-12-02 $20.05 $20.00 35.2% 10.1% 4.9% 16.2% 0.0% -25.4% 43.4% 3.6K -49.8K -82 0.00 184.28 0 0 47 0 2020-12-03 $20.05 $21.00 35.5% 13.3% 4.8% 16.4% 0.0% 2.0% -7.8% 3.7K -49.8K -79 0.00 193.24 0 0 47 0 2020-12-04 $20.12 $21.00 40.6% 13.1% 4.5% 19.0% 0.0% 2.2% -7.7% 2.5K -51.4K -77 0.00 193.03 45 0 47 0 2020-12-07 $20.12 $21.00 22.3% 8.6% 4.5% 9.6% 0.0% 0.3% -9.8% 6.5K -51.9K -68 0.00 185.41 0 0 47 0 2020-12-08 $20.13 $21.00 45.2% 13.8% 3.0% 21.4% 0.0% 1.1% -9.3% 3.7K -51.4K -66 0.00 192.78 0 0 47 0 2020-12-09 $20.14 $21.00 48.2% 13.8% 3.0% 22.9% 0.0% 2.1% -9.6% 3.8K -51.6K -63 0.00 192.86 0 0 47 0 2020-12-10 $20.16 $21.00 48.9% 14.0% 3.0% 23.3% 0.0% -18.6% -9.9% 3.8K -52.0K -59 0.00 192.02 0 0 47 0 2020-12-11 $20.18 $21.00 49.0% 14.1% 2.6% 23.3% 0.0% 2.2% -10.0% 3.8K -52.5K -56 0.00 192.53 0 0 47 0 2020-12-14 $20.15 $21.00 51.9% 14.9% 2.8% 24.8% 0.0% 2.1% -11.8% 83 -2.0K -6 0.00 192.40 0 0 2 0 2020-12-15 $20.23 $21.00 51.5% 14.8% 3.0% 24.6% 0.0% 1.3% -11.7% 84 -2.0K -6 0.00 192.22 0 1 2 0 2020-12-16 $20.24 $21.00 52.9% 15.2% 2.7% 24.1% 0.0% 2.3% -12.5% 48 -1.3K -9 0.00 192.06 0 29 2 1 2020-12-17 $20.30 $21.00 52.5% 15.1% 2.7% 23.9% 0.0% 2.8% -12.5% -1.1K 18.9K -98 0.00 192.12 1 0 2 30 2020-12-18 $20.30 $21.00 54.0% 15.5% 2.8% 24.7% 0.0% 2.7% -12.7% -1.1K 16.6K -97 0.00 192.10 0 0 3 30 2020-12-21 $20.28 $21.00 83.9% 24.0% 2.7% 40.3% 0.0% 13.2% -24.3% -824 20.0K -97 0.00 200.00 0 0 2 30 2020-12-22 $20.16 $21.00 56.2% 16.1% 3.6% 25.8% 0.0% 0.6% -15.8% -1.2K 19.4K -94 0.00 190.89 0 0 2 30 2020-12-23 $20.22 $21.00 58.5% 16.8% 3.4% 27.0% 0.0% 0.7% -17.6% -1.2K 19.1K -93 0.00 183.57 0 0 2 30 2020-12-24 $20.19 $21.00 59.0% 16.9% 3.5% 27.3% 0.0% 2.4% -16.6% -1.1K 18.8K -92 0.00 192.47 0 0 2 30 2020-12-28 $20.18 $21.00 64.7% 18.6% 3.5% 30.3% 0.0% 1.1% -22.3% -1.2K 18.6K -89 0.00 191.65 0 0 2 30 2020-12-29 $20.21 $21.00 66.5% 19.1% 3.5% 31.2% 0.0% 1.1% -23.6% -1.0K 15.3K -101 0.00 191.25 0 0 6 30 2020-12-30 $20.23 $21.00 69.3% 19.9% 3.4% 32.7% 93.5% 1.4% -25.7% -1.0K 15.0K -100 0.00 191.24 2 0 6 30 2020-12-31 $20.16 $21.00 70.2% 20.1% 3.7% 33.1% 0.0% 1.1% -26.7% -1.1K 15.1K -99 0.00 190.47 2 0 6 30
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