FPE Options History — December 2021

In December 2021, FPE traded between $20.16 and $20.33. ATM implied volatility averaged 15.9%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 12.8% (HV 20d: 3.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.29.

Notable Days

2021-12-29: Highest Volume — 41 contracts
2021-12-10: Largest IV spike — 379.8% change
2021-12-10: Highest IV Rank — 36.1%
2021-12-02: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.27	$20.16	$20.33	$20.16	$20.32
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	15.9%	8.2%	56.0%	12.9%	9.3%
Expected Move	3.6%	2.3%	11.9%	3.7%	2.7%
HV 20d	3.1%	2.4%	3.4%	3.1%	2.4%
HV 60d	2.9%	2.7%	3.0%	2.9%	2.8%
IV Rank	7.8%	2.4%	36.1%	5.7%	3.2%
IV Percentile	49.2%	19.0%	94.4%	50.4%	29.0%
Term Structure	-2.2%	-31.8%	3.1%	-3.2%	2.0%
VWIV	12.2%	7.7%	41.6%	12.9%	11.2%
Skew 25d	6.3%	-0.6%	12.4%	12.3%	3.7%
Skew 10d	13.3%	-2.3%	25.6%	23.3%	17.4%
Call IV 25d	9.7%	6.6%	17.0%	10.6%	7.5%
Put IV 25d	16.0%	10.2%	24.1%	22.9%	11.2%
Bid-Ask Spread %	123.61	102.51	144.95	120.22	114.92
Gamma HHI	0.62	0.53	0.71	0.71	0.62
Net GEX	1.9K	-1.3K	2.9K	-1.3K	2.2K
Net DEX	-676	-9.5K	7.1K	7.1K	407
Net VEX	-63	-94	-38	-38	-42
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.27	0.33	0.27	0.32
Total Volume	38.818	38	41	38	41
Total OI	37.091	14	39	14	37

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
2021-12-01	$20.16	$20.00	12.9%	3.7%	3.1%	5.7%	12.9%	12.3%	-3.2%	-1.3K	7.1K	-38	0.27	120.22	30	8	6	8
2021-12-02	$20.21	$20.00	41.5%	11.9%	3.3%	25.9%	41.6%	7.1%	-31.8%	2.3K	1.3K	-76	0.27	144.95	30	8	31	8
2021-12-03	$20.20	$20.00	14.2%	4.1%	3.3%	6.7%	14.2%	12.4%	-3.0%	1.7K	-377	-82	0.27	139.41	30	8	31	8
2021-12-06	$20.22	$20.00	14.9%	2.9%	3.2%	7.2%	10.2%	4.8%	0.5%	1.4K	414	-74	0.27	107.83	30	8	31	8
2021-12-07	$20.28	$20.00	13.5%	2.7%	3.4%	6.2%	9.9%	3.8%	0.4%	1.3K	-301	-73	0.27	120.50	30	8	31	8
2021-12-08	$20.28	$20.00	10.9%	2.6%	3.4%	4.3%	10.1%	3.0%	0.8%	1.4K	425	-67	0.27	134.42	30	8	31	8
2021-12-09	$20.27	$20.00	11.7%	2.7%	3.3%	4.9%	10.3%	3.6%	0.7%	1.4K	-371	-71	0.27	118.89	30	8	31	8
2021-12-10	$20.26	$20.00	56.0%	2.7%	3.3%	36.1%	9.2%	7.1%	0.4%	2.0K	293	-72	0.27	122.84	30	8	31	8
2021-12-13	$20.28	$20.00	16.3%	2.8%	3.3%	8.1%	10.8%	3.2%	0.7%	1.4K	-390	-67	0.27	104.70	30	8	31	8
2021-12-14	$20.26	$20.00	17.4%	3.1%	3.3%	8.9%	11.0%	4.9%	-1.4%	1.5K	-1.7K	-71	0.27	129.08	30	8	31	8
2021-12-15	$20.29	$20.00	28.4%	8.1%	3.4%	16.7%	8.3%	6.9%	-13.4%	1.8K	-9.5K	-94	0.27	143.78	30	8	31	8
2021-12-16	$20.29	$20.00	9.9%	2.9%	3.4%	3.7%	10.0%	6.8%	-0.1%	1.9K	1.0K	-61	0.27	123.97	30	8	31	8
2021-12-17	$20.27	$20.00	9.7%	2.8%	3.4%	3.5%	7.7%	5.9%	0.3%	2.4K	-1.2K	-61	0.30	118.64	30	9	31	8
2021-12-20	$20.26	$20.00	8.5%	2.4%	3.3%	2.7%	12.1%	12.3%	3.1%	2.6K	-6.4K	-74	0.27	110.37	30	8	31	6
2021-12-21	$20.29	$20.00	10.7%	3.1%	3.4%	4.2%	12.1%	3.1%	-0.9%	2.2K	-804	-55	0.27	121.41	30	8	31	6
2021-12-22	$20.33	$20.00	8.2%	2.3%	2.5%	2.4%	12.2%	-0.6%	2.3%	1.9K	-106	-48	0.33	142.27	30	10	31	6
2021-12-23	$20.25	$20.00	10.3%	2.9%	2.9%	3.9%	8.6%	6.5%	-0.9%	2.3K	520	-49	0.33	116.73	30	10	31	6
2021-12-27	$20.29	$20.00	12.1%	3.5%	2.6%	5.2%	12.1%	8.9%	-2.6%	2.9K	-1.8K	-57	0.33	123.05	30	10	31	6
2021-12-28	$20.27	$20.00	12.4%	3.6%	2.6%	5.4%	12.4%	9.7%	-3.2%	2.9K	-1.7K	-56	0.33	102.51	30	10	31	6
2021-12-29	$20.29	$20.00	11.1%	3.2%	2.5%	4.5%	11.1%	6.8%	-1.7%	2.5K	-41	-47	0.32	125.98	31	10	31	6
2021-12-30	$20.31	$20.00	9.2%	2.6%	2.5%	3.1%	11.1%	5.4%	1.6%	2.2K	-1.7K	-43	0.32	133.05	31	10	32	6
2021-12-31	$20.32	$20.00	9.3%	2.7%	2.4%	3.2%	11.2%	3.7%	2.0%	2.2K	407	-42	0.32	114.92	31	10	31	6