FPE Options History — September 2021

In September 2021, FPE traded between $20.51 and $20.73. ATM implied volatility averaged 17.4%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 14.7% (HV 20d: 2.7%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2021-09-22: Highest Volume — 5 contracts
2021-09-15: Largest IV spike — 517.3% change
2021-09-15: Highest IV Rank — 34.2%
2021-09-15: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.65	$20.51	$20.73	$20.63	$20.54
Max Pain	$20.86	$20.00	$21.00	$20.00	$21.00
ATM IV	17.4%	7.0%	53.3%	11.4%	19.2%
Expected Move	4.6%	2.0%	15.3%	3.3%	5.5%
HV 20d	2.7%	2.3%	3.2%	2.4%	3.2%
HV 60d	2.2%	2.0%	2.6%	2.0%	2.6%
IV Rank	8.9%	1.6%	34.2%	4.7%	10.2%
IV Percentile	47.6%	7.5%	90.5%	34.9%	61.9%
Term Structure	-5.3%	-9.6%	-1.1%	-5.7%	-9.6%
VWIV	9.7%	9.7%	9.7%	9.7%	9.7%
Skew 25d	0.9%	-5.5%	18.7%	0.7%	-0.0%
Skew 10d	1.4%	-5.0%	16.8%	0.8%	-1.8%
Call IV 25d	11.1%	4.5%	21.3%	13.6%	12.9%
Put IV 25d	12.0%	6.4%	30.5%	14.3%	12.8%
Bid-Ask Spread %	150.57	125.10	186.90	125.10	152.43
Gamma HHI	0.69	0.35	0.94	0.50	0.90
Net GEX	7.2K	-3.0K	13.0K	4.2K	11.2K
Net DEX	-27.7K	-39.1K	-17.1K	-24.9K	-32.3K
Net VEX	-230	-383	-171	-251	-191
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	0.333	0	5	0	0
Total OI	168.905	150	180	180	157

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	Spread %	Call Vol	Call OI	Put OI
2021-09-01	$20.63	$20.00	11.4%	3.3%	2.4%	4.7%	0.0%	0.7%	-5.7%	4.2K	-24.9K	-251	125.10	0	63	117
2021-09-02	$20.68	$0.00	24.8%	4.5%	2.5%	14.2%	0.0%	-0.7%	-3.8%	6.3K	-21.7K	-271	168.09	0	63	117
2021-09-03	$20.69	$0.00	24.9%	4.6%	2.5%	14.2%	0.0%	18.7%	-3.8%	-3.0K	-20.0K	-383	168.54	0	63	117
2021-09-07	$20.66	$0.00	27.6%	4.8%	2.6%	16.1%	0.0%	-0.8%	-4.2%	5.9K	-21.2K	-252	156.35	0	63	117
2021-09-08	$20.65	$0.00	17.1%	4.9%	2.3%	8.7%	0.0%	-0.7%	-4.3%	5.4K	-19.4K	-250	167.23	0	63	117
2021-09-09	$20.68	$0.00	8.0%	2.3%	2.4%	2.3%	0.0%	-3.3%	-4.3%	6.1K	-22.9K	-247	144.43	0	63	117
2021-09-10	$20.69	$0.00	10.7%	3.1%	2.4%	4.2%	0.0%	-3.5%	-4.4%	6.1K	-23.5K	-245	151.52	0	63	117
2021-09-13	$20.70	$0.00	14.8%	4.2%	2.4%	7.1%	0.0%	-4.8%	-5.6%	-286	-17.1K	-300	149.55	0	63	117
2021-09-14	$20.68	$0.00	8.6%	2.5%	2.3%	2.7%	0.0%	-3.3%	-4.8%	1.2K	-20.9K	-249	151.72	0	63	117
2021-09-15	$20.70	$0.00	53.3%	15.3%	2.3%	34.2%	0.0%	-5.5%	-4.8%	721	-28.6K	-275	186.90	0	63	117
2021-09-16	$20.72	$0.00	15.0%	4.3%	2.3%	7.3%	0.0%	-3.7%	-4.9%	7.4K	-33.5K	-214	144.95	0	63	117
2021-09-17	$20.73	$0.00	14.2%	4.1%	2.3%	6.7%	0.0%	-3.4%	-5.0%	13.0K	-36.1K	-194	143.90	0	63	117
2021-09-20	$20.64	$0.00	13.7%	3.9%	2.8%	6.3%	0.0%	5.6%	-6.8%	10.9K	-32.1K	-183	147.33	0	63	87
2021-09-21	$20.69	$0.00	33.1%	9.5%	2.9%	20.0%	9.7%	5.2%	-6.7%	11.0K	-36.9K	-193	180.31	2	63	87
2021-09-22	$20.73	$0.00	18.1%	5.2%	2.6%	9.4%	0.0%	-1.3%	-6.7%	11.4K	-39.1K	-196	152.11	5	63	87
2021-09-23	$20.64	$21.00	7.0%	2.0%	3.1%	1.6%	0.0%	7.4%	-1.1%	12.3K	-32.6K	-187	128.90	0	65	87
2021-09-24	$20.62	$21.00	10.0%	2.9%	3.0%	3.7%	0.0%	1.9%	-6.8%	11.3K	-36.0K	-212	134.17	0	70	87
2021-09-27	$20.56	$21.00	8.0%	2.3%	3.1%	2.3%	0.0%	7.1%	-1.3%	10.8K	-26.1K	-171	129.42	0	70	87
2021-09-28	$20.51	$21.00	12.1%	3.5%	3.2%	5.2%	0.0%	0.8%	-8.7%	10.0K	-28.0K	-180	135.96	0	70	87
2021-09-29	$20.54	$21.00	13.4%	3.8%	3.2%	6.1%	0.0%	1.7%	-8.7%	10.1K	-29.6K	-184	142.96	0	70	87
2021-09-30	$20.54	$21.00	19.2%	5.5%	3.2%	10.2%	0.0%	-0.0%	-9.6%	11.2K	-32.3K	-191	152.43	0	70	87