FPE Options History — March 2021

In March 2021, FPE traded between $19.99 and $20.23. ATM implied volatility averaged 7.8%, placing in the 1.0% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 1.6% (HV 20d: 6.2%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.00.

Notable Days

2021-03-11: Highest Volume — 120 contracts
2021-03-24: Largest IV spike — 250.8% change
2021-03-24: Highest IV Rank — 6.8%
2021-03-24: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.14	$19.99	$20.23	$20.14	$20.14
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	7.8%	4.7%	17.9%	12.0%	5.7%
Expected Move	2.2%	1.4%	5.1%	3.5%	1.6%
HV 20d	6.2%	4.6%	7.0%	6.1%	5.0%
HV 60d	5.2%	5.0%	5.4%	5.0%	5.3%
IV Rank	1.0%	0.0%	6.8%	2.3%	0.5%
IV Percentile	5.2%	0.0%	39.7%	15.9%	2.4%
Term Structure	-1.3%	-25.7%	2.0%	-1.6%	-0.6%
VWIV	28.0%	12.0%	44.0%	12.0%	44.0%
Skew 25d	3.8%	-8.3%	24.9%	1.5%	-3.1%
Skew 10d	16.0%	0.5%	46.7%	2.5%	0.5%
Call IV 25d	8.5%	6.5%	15.7%	11.1%	9.6%
Put IV 25d	12.2%	6.5%	34.5%	12.6%	6.5%
Bid-Ask Spread %	117.60	70.12	161.67	102.82	139.00
Gamma HHI	0.87	0.66	0.98	0.66	0.82
Net GEX	-7.4K	-61.7K	31.0K	-15.3K	-13.3K
Net DEX	-20.7K	-172.7K	53.6K	33.2K	18.1K
Net VEX	-225	-462	-45	-330	-114
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	10.87	0	120	110	0
Total OI	155.957	62	261	157	63

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-03-01	$20.14	$20.00	12.0%	3.5%	6.1%	2.3%	12.0%	1.5%	-1.6%	-15.3K	33.2K	-330	102.82	110	0	50	107
2021-03-02	$20.14	$20.00	9.7%	2.8%	6.0%	1.1%	0.0%	6.0%	-0.0%	22.1K	-95.2K	-462	102.97	0	0	152	107
2021-03-03	$20.10	$20.00	10.2%	2.9%	5.9%	1.3%	44.0%	2.0%	-0.9%	18.2K	-83.8K	-458	106.97	0	1	152	107
2021-03-04	$19.99	$0.00	10.0%	2.5%	6.2%	1.2%	0.0%	4.4%	-1.2%	21.2K	-33.3K	-457	70.12	0	2	153	108
2021-03-05	$20.10	$0.00	10.1%	2.6%	6.4%	1.3%	0.0%	5.0%	-1.4%	22.6K	-80.1K	-433	75.23	0	0	153	108
2021-03-08	$20.07	$0.00	9.6%	2.3%	6.4%	1.0%	0.0%	5.1%	-1.2%	24.8K	-79.8K	-387	106.94	0	0	153	108
2021-03-09	$20.12	$0.00	8.8%	2.1%	6.5%	0.6%	0.0%	4.5%	-1.1%	27.9K	-105.5K	-350	100.16	0	0	153	108
2021-03-10	$20.12	$0.00	6.6%	1.9%	6.4%	0.0%	0.0%	4.3%	0.2%	31.0K	-117.6K	-347	100.80	0	0	153	108
2021-03-11	$20.21	$0.00	6.2%	1.8%	6.6%	0.0%	0.0%	2.3%	-0.8%	18.5K	-172.7K	-267	102.56	120	0	153	108
2021-03-12	$20.15	$0.00	7.0%	2.0%	6.6%	0.4%	0.0%	4.2%	-0.4%	-28.6K	12.2K	-204	111.65	0	15	51	108
2021-03-15	$20.19	$0.00	4.7%	1.4%	6.7%	0.0%	0.0%	-0.2%	1.9%	-31.9K	-13.1K	-147	121.94	0	0	51	103
2021-03-16	$20.23	$0.00	5.1%	1.5%	6.7%	0.2%	0.0%	-0.2%	-0.5%	-20.1K	28.1K	-158	134.69	0	0	51	103
2021-03-17	$20.18	$0.00	5.0%	1.4%	6.7%	0.1%	0.0%	-0.3%	2.0%	-45.9K	37.8K	-126	131.40	0	0	23	103
2021-03-18	$20.10	$0.00	6.9%	2.0%	6.8%	1.1%	0.0%	6.1%	-0.1%	-61.7K	53.6K	-146	125.61	0	0	23	103
2021-03-19	$20.19	$0.00	7.1%	2.0%	7.0%	1.2%	0.0%	3.1%	-0.7%	-33.3K	18.3K	-98	102.59	1	0	23	103
2021-03-22	$20.19	$0.00	5.4%	1.5%	6.9%	0.3%	0.0%	-1.1%	1.7%	-15.9K	13.7K	-94	146.15	0	0	22	40
2021-03-23	$20.20	$0.00	5.1%	1.5%	6.6%	0.2%	0.0%	-1.0%	1.6%	-19.1K	10.0K	-83	134.15	0	0	22	40
2021-03-24	$20.22	$0.00	17.9%	5.1%	6.6%	6.8%	0.0%	-8.3%	-25.7%	-26.8K	2.9K	-45	153.02	1	0	22	40
2021-03-25	$20.16	$0.00	6.9%	2.0%	5.4%	1.1%	0.0%	11.3%	-0.7%	-11.4K	17.1K	-119	136.04	0	0	23	40
2021-03-26	$20.15	$0.00	6.3%	1.8%	5.2%	0.8%	0.0%	10.8%	-0.0%	-10.6K	17.4K	-122	111.77	0	0	23	40
2021-03-29	$20.14	$0.00	5.4%	1.5%	4.6%	0.3%	0.0%	5.1%	-0.4%	-13.5K	17.5K	-111	161.67	0	0	23	40
2021-03-30	$20.06	$0.00	7.1%	2.0%	4.8%	1.2%	0.0%	24.9%	-0.5%	-10.2K	24.2K	-117	126.48	0	0	23	40
2021-03-31	$20.14	$0.00	5.7%	1.6%	5.0%	0.5%	0.0%	-3.1%	-0.6%	-13.3K	18.1K	-114	139.00	0	0	23	40