FPE Options History — February 2021

In February 2021, FPE traded between $19.91 and $20.37. ATM implied volatility averaged 18.0%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 13.2% (HV 20d: 4.8%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 9.33.

Notable Days

2021-02-23: Highest Volume — 300 contracts
2021-02-16: Largest IV spike — 1072.9% change
2021-02-16: Highest IV Rank — 65.6%
2021-02-23: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.23	$19.91	$20.37	$20.18	$20.01
Max Pain	$19.68	$17.00	$20.00	$20.00	$20.00
ATM IV	18.0%	7.7%	132.5%	14.1%	10.4%
Expected Move	3.3%	1.9%	6.6%	4.0%	3.0%
HV 20d	4.8%	3.7%	5.6%	5.2%	5.6%
HV 60d	4.3%	4.0%	4.8%	4.7%	4.8%
IV Rank	5.4%	0.0%	65.6%	3.4%	1.5%
IV Percentile	15.5%	0.4%	96.8%	19.0%	7.1%
Term Structure	-1.7%	-11.3%	0.0%	-2.1%	-0.5%
VWIV	13.6%	8.4%	21.6%	14.1%	10.4%
Skew 25d	11.8%	1.1%	139.5%	3.3%	6.2%
Skew 10d	14.7%	-5.5%	139.5%	5.1%	9.9%
Call IV 25d	12.4%	6.2%	50.0%	11.4%	9.5%
Put IV 25d	24.2%	9.1%	189.5%	14.8%	15.7%
Bid-Ask Spread %	118.54	88.96	192.03	113.68	95.61
Gamma HHI	0.81	0.36	1.00	0.55	0.36
Net GEX	-9.6K	-34.2K	84.7K	-7.7K	-3.1K
Net DEX	16.0K	-297.8K	74.8K	16.2K	15.8K
Net VEX	-341	-926	-58	-73	-431
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.33	0.00	62.00	0.00	0.00
Total Volume	24.211	0	300	5	61
Total OI	192.684	79	439	79	200

Daily Data (19 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
2021-02-01	$20.18	$20.00	14.1%	4.0%	5.2%	3.4%	14.1%	3.3%	-2.1%	-7.7K	16.2K	-73	0.00	113.68	5	0	5	74
2021-02-02	$20.23	$20.00	13.3%	3.8%	5.3%	2.9%	13.3%	11.4%	-1.8%	-6.1K	10.8K	-58	62.00	128.00	1	62	6	74
2021-02-03	$20.20	$20.00	10.8%	3.1%	5.3%	1.6%	0.0%	2.5%	-0.4%	-13.4K	37.7K	-177	0.00	113.66	0	0	6	106
2021-02-04	$20.26	$17.00	12.2%	3.1%	5.2%	2.3%	0.0%	1.3%	-1.7%	-13.1K	33.4K	-168	3.33	96.57	3	10	6	106
2021-02-05	$20.27	$17.00	8.0%	1.9%	5.2%	0.2%	0.0%	2.9%	-0.4%	-16.4K	21.0K	-162	0.00	148.37	11	0	9	116
2021-02-08	$20.28	$20.00	9.9%	2.5%	5.1%	1.1%	0.0%	3.6%	-1.1%	-34.2K	58.2K	-312	0.00	143.57	0	0	20	176
2021-02-09	$20.34	$20.00	7.7%	2.5%	5.1%	0.0%	0.0%	2.7%	-0.9%	-31.1K	46.9K	-306	0.00	116.04	0	0	27	176
2021-02-10	$20.37	$20.00	11.0%	3.1%	4.9%	1.7%	0.0%	5.1%	-1.9%	-26.7K	48.1K	-313	0.00	119.55	0	0	27	176
2021-02-11	$20.32	$20.00	11.5%	3.3%	4.6%	2.0%	0.0%	5.1%	-2.0%	-25.4K	60.1K	-343	0.00	112.18	0	0	27	176
2021-02-12	$20.29	$20.00	11.3%	3.2%	4.7%	1.9%	0.0%	5.8%	-1.5%	-27.2K	63.5K	-343	0.00	102.48	0	0	27	176
2021-02-16	$20.31	$20.00	132.5%	0.0%	4.7%	65.6%	0.0%	139.5%	0.0%	-14.2K	72.5K	-446	0.00	192.03	0	0	27	176
2021-02-17	$20.35	$20.00	13.0%	3.7%	4.6%	2.8%	0.0%	6.7%	-2.7%	-24.8K	49.7K	-305	0.00	119.27	0	0	27	176
2021-02-18	$20.29	$20.00	12.4%	3.6%	4.2%	2.5%	0.0%	6.4%	-1.5%	-27.6K	60.3K	-303	0.00	95.74	0	0	26	176
2021-02-19	$20.29	$20.00	11.5%	3.3%	3.7%	2.0%	0.0%	4.5%	-0.5%	-22.5K	49.3K	-286	0.00	100.06	0	0	26	176
2021-02-22	$20.24	$20.00	10.5%	3.0%	3.8%	1.5%	0.0%	4.9%	0.0%	-23.8K	54.5K	-284	0.00	105.09	0	0	25	107
2021-02-23	$20.12	$20.00	23.1%	6.6%	4.4%	8.1%	21.6%	1.1%	-11.3%	-8.3K	74.8K	-383	0.00	158.37	300	0	25	107
2021-02-24	$20.12	$20.00	8.4%	2.4%	4.3%	0.4%	8.4%	5.4%	-0.7%	84.7K	-297.8K	-854	0.00	88.96	7	0	325	107
2021-02-25	$19.91	$20.00	11.3%	3.2%	5.3%	1.9%	0.0%	5.8%	-0.3%	59.2K	-171.4K	-926	0.00	103.11	0	0	332	107
2021-02-26	$20.01	$20.00	10.4%	3.0%	5.6%	1.5%	10.4%	6.2%	-0.5%	-3.1K	15.8K	-431	0.00	95.61	61	0	93	107