FPE Options History — January 2022

In January 2022, FPE traded between $19.80 and $20.32. ATM implied volatility averaged 15.9%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 13.1% (HV 20d: 2.8%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.36.

Notable Days

2022-01-31: Highest Volume — 462 contracts
2022-01-06: Largest IV spike — 218.1% change
2022-01-06: Highest IV Rank — 25.9%
2022-01-11: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.12	$19.80	$20.32	$20.32	$19.86
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	15.9%	9.6%	41.5%	10.1%	25.8%
Expected Move	4.0%	2.7%	8.9%	2.9%	7.4%
HV 20d	2.8%	2.4%	3.4%	2.4%	3.4%
HV 60d	2.8%	2.6%	3.2%	2.8%	3.2%
IV Rank	8.3%	3.8%	25.9%	3.8%	16.5%
IV Percentile	58.9%	31.0%	94.8%	37.3%	89.3%
Term Structure	-3.6%	-29.1%	2.5%	1.7%	-29.1%
VWIV	17.8%	12.2%	43.3%	12.2%	43.3%
Skew 25d	5.7%	-16.2%	34.3%	4.9%	34.3%
Skew 10d	11.8%	-6.1%	44.5%	19.7%	44.5%
Call IV 25d	14.5%	8.1%	50.8%	8.1%	21.6%
Put IV 25d	20.2%	13.0%	55.8%	13.0%	55.8%
Bid-Ask Spread %	116.59	93.81	139.79	119.96	113.89
Gamma HHI	0.66	0.41	0.99	0.65	0.99
Net GEX	5.0K	-83	49.5K	2.5K	49.5K
Net DEX	-29.4K	-407.2K	4.3K	-798	-407.2K
Net VEX	-109	-913	-23	-45	-913
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.02	1.33	0.32	0.02
Total Volume	88.15	14	462	41	462
Total OI	61.55	9	456	37	456

Daily Data (20 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
2022-01-03	$20.32	$20.00	10.1%	2.9%	2.4%	3.8%	12.2%	4.9%	1.7%	2.5K	-798	-45	0.32	119.96	31	10	31	6
2022-01-04	$20.28	$20.00	12.3%	3.5%	2.5%	5.3%	12.3%	6.3%	-3.0%	1.9K	1.9K	-33	0.31	124.00	32	10	31	6
2022-01-05	$20.23	$20.00	13.1%	3.7%	2.4%	5.9%	13.1%	10.9%	-2.3%	3.0K	-2.4K	-49	0.32	131.84	31	10	32	6
2022-01-06	$20.22	$20.00	41.5%	2.7%	2.4%	25.9%	12.5%	4.4%	-3.7%	1.7K	-14.8K	-70	0.32	117.49	31	10	32	6
2022-01-07	$20.22	$20.00	13.3%	2.8%	2.4%	6.1%	12.2%	4.6%	-0.3%	2.8K	-1.7K	-45	0.32	110.68	31	10	32	6
2022-01-10	$20.18	$20.00	14.4%	3.0%	2.5%	6.8%	19.9%	5.5%	-1.5%	2.4K	-202	-39	0.31	124.93	32	10	32	6
2022-01-11	$20.23	$20.00	33.7%	8.9%	2.7%	20.4%	20.8%	4.9%	-24.0%	2.9K	-11.0K	-62	0.31	120.91	32	10	32	6
2022-01-12	$20.25	$20.00	9.6%	2.8%	2.7%	3.8%	12.8%	3.7%	-0.4%	2.2K	-533	-36	0.31	120.06	32	10	32	6
2022-01-13	$20.25	$20.00	9.7%	2.8%	2.6%	3.9%	19.3%	3.5%	-0.6%	1.7K	845	-32	0.31	132.23	32	10	32	6
2022-01-14	$20.24	$20.00	11.0%	3.1%	2.6%	4.9%	13.8%	4.9%	-1.4%	2.6K	-1.2K	-37	0.31	108.87	32	10	32	6
2022-01-18	$20.18	$20.00	11.3%	3.2%	2.8%	5.1%	13.6%	5.8%	-1.4%	1.6K	1.4K	-29	0.31	116.48	32	10	32	6
2022-01-19	$20.14	$20.00	11.1%	3.2%	2.8%	5.0%	18.4%	6.2%	-1.4%	1.2K	2.5K	-26	0.31	120.15	32	10	32	6
2022-01-20	$20.16	$20.00	11.8%	3.4%	2.8%	5.6%	12.4%	6.4%	-0.5%	-83	2.0K	-23	0.31	100.44	32	10	32	6
2022-01-21	$20.05	$20.00	12.3%	3.5%	3.2%	5.9%	19.6%	4.2%	-0.9%	-24	3.1K	-28	0.31	107.68	32	10	32	6
2022-01-24	$20.01	$20.00	13.0%	3.7%	3.0%	6.5%	16.2%	4.1%	-0.5%	-59	4.2K	-24	1.33	93.81	6	8	5	4
2022-01-25	$20.01	$20.00	14.0%	4.0%	2.9%	7.2%	16.3%	5.1%	-1.6%	-31	3.6K	-28	1.33	96.71	6	8	5	4
2022-01-26	$19.94	$20.00	14.8%	4.2%	3.1%	7.8%	28.4%	4.5%	-3.0%	-20	4.3K	-23	0.08	139.79	106	8	5	4
2022-01-27	$19.86	$20.00	24.4%	7.0%	3.2%	15.4%	26.4%	-16.2%	2.5%	9.2K	-99.2K	-330	0.08	128.68	106	8	105	4
2022-01-28	$19.80	$20.00	11.3%	3.2%	3.1%	5.1%	12.4%	5.2%	-0.8%	15.7K	-72.7K	-300	0.02	103.15	453	8	105	4
2022-01-31	$19.86	$20.00	25.8%	7.4%	3.4%	16.5%	43.3%	34.3%	-29.1%	49.5K	-407.2K	-913	0.02	113.89	453	9	452	4