FEX Options History — September 2014

Name: FEX Options Analytics - September 2014
Creator: Options Analysis Suite

In September 2014, FEX traded between $43.51 and $45.11. ATM implied volatility averaged 58.4%. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 50.9% (HV 20d: 7.4%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

2014-09-04: Largest IV spike — 89.3% change
2014-09-30: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.46	$43.51	$45.11	$45.03	$43.51
ATM IV	58.4%	35.3%	84.6%	62.9%	64.6%
Expected Move	5.7%	5.4%	6.0%	5.4%	6.0%
HV 20d	7.4%	5.4%	10.2%	6.3%	10.0%
Term Structure	-20.9%	-28.3%	-14.6%	-23.5%	-28.3%
Skew 25d	4.7%	3.4%	6.1%	5.7%	6.0%
Skew 10d	15.5%	10.0%	21.4%	10.7%	21.4%
Call IV 25d	71.5%	55.7%	90.3%	85.0%	88.0%
Put IV 25d	76.2%	59.4%	96.5%	90.7%	94.0%
Bid-Ask Spread %	174.79	170.78	191.40	172.46	173.38
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 (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	Spread %	Call Wall	Put Wall
2014-09-02	$45.03	$0.00	62.9%	5.4%	6.3%	0.0%	0.0%	5.7%	-23.5%	172.46	N/A	N/A
2014-09-03	$44.99	$0.00	35.3%	5.4%	6.3%	0.0%	0.0%	5.3%	-25.0%	172.97	N/A	N/A
2014-09-04	$44.91	$0.00	66.8%	5.5%	6.3%	0.0%	0.0%	6.1%	-26.7%	172.97	N/A	N/A
2014-09-05	$45.11	$0.00	68.8%	5.5%	6.2%	0.0%	0.0%	3.7%	-14.6%	172.08	N/A	N/A
2014-09-08	$44.91	$0.00	77.1%	5.5%	5.4%	0.0%	0.0%	3.4%	-16.1%	179.55	N/A	N/A
2014-09-09	$44.60	$0.00	80.7%	5.5%	6.2%	0.0%	0.0%	4.0%	-17.0%	176.59	N/A	N/A
2014-09-10	$44.69	$0.00	84.6%	5.6%	6.0%	0.0%	0.0%	4.0%	-17.3%	172.62	N/A	N/A
2014-09-11	$44.82	$0.00	43.9%	5.6%	5.9%	0.0%	0.0%	4.1%	-17.5%	172.08	N/A	N/A
2014-09-15	$44.37	$0.00	47.3%	5.7%	7.0%	0.0%	0.0%	3.9%	-18.8%	173.85	N/A	N/A
2014-09-16	$44.73	$0.00	47.3%	5.6%	7.5%	0.0%	0.0%	3.8%	-20.4%	183.33	N/A	N/A
2014-09-17	$44.69	$0.00	48.0%	5.7%	7.1%	0.0%	0.0%	4.4%	-21.1%	173.59	N/A	N/A
2014-09-18	$44.86	$0.00	48.8%	5.7%	6.8%	0.0%	0.0%	4.5%	-21.4%	173.59	N/A	N/A
2014-09-19	$44.74	$0.00	49.6%	5.7%	6.7%	0.0%	0.0%	4.7%	-22.4%	174.89	N/A	N/A
2014-09-22	$44.24	$0.00	53.3%	5.8%	7.8%	0.0%	0.0%	4.9%	-18.1%	173.03	N/A	N/A
2014-09-23	$43.86	$0.00	54.7%	5.9%	8.3%	0.0%	0.0%	4.4%	-19.7%	191.40	N/A	N/A
2014-09-24	$44.15	$0.00	55.6%	5.9%	8.5%	0.0%	0.0%	5.1%	-19.8%	173.00	N/A	N/A
2014-09-25	$43.51	$0.00	57.1%	5.9%	9.8%	0.0%	0.0%	5.3%	-22.2%	170.78	N/A	N/A
2014-09-26	$43.79	$0.00	58.3%	5.9%	10.2%	0.0%	0.0%	5.4%	-22.5%	171.86	N/A	N/A
2014-09-29	$43.74	$0.00	62.7%	6.0%	10.1%	0.0%	0.0%	5.8%	-26.2%	171.86	N/A	N/A
2014-09-30	$43.51	$0.00	64.6%	6.0%	10.0%	0.0%	0.0%	6.0%	-28.3%	173.38	N/A	N/A