FEX Options History — August 2014 In August 2014, FEX traded between $42.74 and $45.08. ATM implied volatility averaged 71.6%. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 65.3% (HV 20d: 6.3%). Net GEX was positive for 0 of 17 trading days. Term structure was in contango for 0 of 17 days.
Notable Days 2014-08-14 : Largest IV drop — 71.5% change2014-08-12 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $44.17 $42.74 $45.08 $42.74 $45.08 ATM IV 71.6% 45.0% 158.0% 93.3% 56.8% Expected Move 5.3% 5.3% 5.4% 5.4% 5.4% HV 20d 6.3% 6.2% 6.5% 6.5% 6.2% Term Structure -17.4% -21.8% -12.4% -18.6% -19.0% Skew 25d 2.9% -2.9% 5.1% -2.9% 5.1% Skew 10d 2.0% -8.7% 10.1% -8.7% 10.1% Call IV 25d 65.0% 44.8% 76.9% 57.9% 76.9% Put IV 25d 67.9% 44.6% 82.0% 55.1% 82.0% Bid-Ask Spread % 170.84 165.61 178.10 165.61 172.96 Net GEX 0 0 0 0 0 Net DEX 0 0 0 0 0 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (17 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-08-07 $42.74 $0.00 93.3% 5.4% 0.0% 0.0% 0.0% -2.9% -18.6% 0 0 0 0.00 165.61 N/A N/A 0 0 0 0 2014-08-08 $43.29 $0.00 98.3% 5.3% 0.0% 0.0% 0.0% -0.4% -17.9% 0 0 0 0.00 165.79 N/A N/A 0 0 0 0 2014-08-11 $43.44 $0.00 124.0% 5.4% 0.0% 0.0% 0.0% -0.2% -18.8% 0 0 0 0.00 171.23 N/A N/A 0 0 0 0 2014-08-12 $43.32 $0.00 138.9% 5.4% 0.0% 0.0% 0.0% -0.3% -19.5% 0 0 0 0.00 167.91 N/A N/A 0 0 0 0 2014-08-13 $43.57 $0.00 158.0% 5.3% 0.0% 0.0% 0.0% 1.1% -21.2% 0 0 0 0.00 168.63 N/A N/A 0 0 0 0 2014-08-14 $43.75 $0.00 45.0% 5.3% 0.0% 0.0% 0.0% 1.9% -21.3% 0 0 0 0.00 170.15 N/A N/A 0 0 0 0 2014-08-15 $43.76 $0.00 45.6% 5.3% 0.0% 0.0% 0.0% 1.9% -21.8% 0 0 0 0.00 168.63 N/A N/A 0 0 0 0 2014-08-18 $44.10 $0.00 47.4% 5.3% 0.0% 0.0% 0.0% 4.0% -12.4% 0 0 0 0.00 169.23 N/A N/A 0 0 0 0 2014-08-19 $44.42 $0.00 47.9% 5.3% 0.0% 0.0% 0.0% 4.8% -12.4% 0 0 0 0.00 178.10 N/A N/A 0 0 0 0 2014-08-20 $44.59 $0.00 48.1% 5.3% 0.0% 0.0% 0.0% 4.5% -13.8% 0 0 0 0.00 171.82 N/A N/A 0 0 0 0 2014-08-21 $44.67 $0.00 48.9% 5.3% 0.0% 0.0% 0.0% 4.5% -14.2% 0 0 0 0.00 171.03 N/A N/A 0 0 0 0 2014-08-22 $44.61 $0.00 49.7% 5.3% 0.0% 0.0% 0.0% 4.6% -14.8% 0 0 0 0.00 172.53 N/A N/A 0 0 0 0 2014-08-25 $44.84 $0.00 52.4% 5.3% 0.0% 0.0% 0.0% 4.8% -16.3% 0 0 0 0.00 172.08 N/A N/A 0 0 0 0 2014-08-26 $44.84 $0.00 53.4% 5.3% 0.0% 0.0% 0.0% 4.9% -17.0% 0 0 0 0.00 172.96 N/A N/A 0 0 0 0 2014-08-27 $44.90 $0.00 54.5% 5.3% 0.0% 0.0% 0.0% 5.0% -17.7% 0 0 0 0.00 173.59 N/A N/A 0 0 0 0 2014-08-28 $44.90 $0.00 55.7% 5.4% 6.5% 0.0% 0.0% 5.1% -18.5% 0 0 0 0.00 172.08 N/A N/A 0 0 0 0 2014-08-29 $45.08 $0.00 56.8% 5.4% 6.2% 0.0% 0.0% 5.1% -19.0% 0 0 0 0.00 172.96 N/A N/A 0 0 0 0
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