FEX Options History — October 2014 In October 2014, FEX traded between $40.90 and $44.47. ATM implied volatility averaged 75.1%. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 57.2% (HV 20d: 18.0%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days.
Notable Days 2014-10-16 : Largest IV drop — 71.5% change2014-10-16 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $42.63 $40.90 $44.47 $42.83 $44.47 ATM IV 75.1% 48.2% 169.3% 67.8% 57.8% Expected Move 6.5% 6.2% 6.7% 6.2% 6.6% HV 20d 18.0% 11.2% 21.9% 11.2% 21.3% HV 60d 14.6% 13.9% 15.0% 13.9% 14.8% Term Structure -15.1% -31.4% -8.0% -29.5% -18.1% Skew 25d 4.8% 3.3% 6.9% 6.3% 4.7% Skew 10d 17.0% 12.7% 23.7% 22.7% 16.9% Call IV 25d 70.2% 55.2% 97.2% 91.9% 77.2% Put IV 25d 75.0% 58.5% 104.1% 98.3% 81.9% Bid-Ask Spread % 153.37 109.90 188.71 171.12 112.07 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 (23 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 2014-10-01 $42.83 $0.00 67.8% 6.2% 11.2% 0.0% 0.0% 6.3% -29.5% 0 0 0 0.00 171.12 N/A N/A 0 0 0 0 2014-10-02 $42.86 $0.00 69.9% 6.2% 11.2% 0.0% 0.0% 6.4% -31.2% 0 0 0 0.00 169.45 N/A N/A 0 0 0 0 2014-10-03 $43.31 $0.00 71.8% 6.2% 12.1% 0.0% 0.0% 6.9% -31.4% 0 0 0 0.00 173.43 N/A N/A 0 0 0 0 2014-10-06 $43.13 $0.00 80.5% 6.2% 11.9% 0.0% 0.0% 3.3% -8.0% 0 0 0 0.00 188.71 N/A N/A 0 0 0 0 2014-10-07 $42.51 $0.00 84.5% 6.3% 12.7% 0.0% 0.0% 3.9% -8.8% 0 0 0 0.00 182.97 N/A N/A 0 0 0 0 2014-10-08 $43.22 $0.00 88.0% 6.3% 14.3% 0.0% 0.0% 3.8% -8.3% 0 0 0 0.00 168.38 N/A N/A 0 0 0 0 2014-10-09 $42.26 $0.00 95.0% 6.4% 16.0% 0.0% 0.0% 4.0% -8.7% 0 0 0 0.00 167.37 N/A N/A 0 0 0 0 2014-10-10 $42.06 $0.00 100.4% 6.5% 15.9% 0.0% 0.0% 4.1% -9.2% 0 0 0 0.00 155.91 N/A N/A 0 0 0 0 2014-10-13 $40.90 $0.00 131.2% 6.7% 18.0% 0.0% 0.0% 4.5% -10.5% 0 0 0 0.00 147.69 N/A N/A 0 0 0 0 2014-10-14 $41.52 $0.00 140.7% 6.6% 18.8% 0.0% 0.0% 4.3% -11.0% 0 0 0 0.00 162.93 N/A N/A 0 0 0 0 2014-10-15 $40.96 $0.00 169.3% 6.7% 19.1% 0.0% 0.0% 4.5% -11.1% 0 0 0 0.00 155.80 N/A N/A 0 0 0 0 2014-10-16 $41.04 $0.00 48.2% 6.7% 19.0% 0.0% 0.0% 4.5% -11.4% 0 0 0 0.00 146.63 N/A N/A 0 0 0 0 2014-10-17 $41.48 $0.00 48.5% 6.7% 19.7% 0.0% 0.0% 4.6% -11.1% 0 0 0 0.00 147.69 N/A N/A 0 0 0 0 2014-10-20 $41.94 $0.00 49.8% 6.7% 20.2% 0.0% 0.0% 5.0% -12.9% 0 0 0 0.00 131.57 N/A N/A 0 0 0 0 2014-10-21 $42.80 $0.00 49.4% 6.5% 21.6% 0.0% 0.0% 4.6% -13.2% 0 0 0 0.00 148.17 N/A N/A 0 0 0 0 2014-10-22 $42.52 $0.00 50.4% 6.6% 21.5% 0.0% 0.0% 4.7% -14.1% 0 0 0 0.00 147.64 N/A N/A 0 0 0 0 2014-10-23 $43.01 $0.00 51.0% 6.6% 21.4% 0.0% 0.0% 4.7% -13.9% 0 0 0 0.00 147.74 N/A N/A 0 0 0 0 2014-10-24 $43.30 $0.00 51.6% 6.6% 21.5% 0.0% 0.0% 4.8% -13.9% 0 0 0 0.00 147.74 N/A N/A 0 0 0 0 2014-10-27 $43.15 $0.00 54.6% 6.7% 21.5% 0.0% 0.0% 5.0% -16.0% 0 0 0 0.00 147.74 N/A N/A 0 0 0 0 2014-10-28 $43.71 $0.00 54.7% 6.6% 21.9% 0.0% 0.0% 5.1% -17.2% 0 0 0 0.00 109.90 N/A N/A 0 0 0 0 2014-10-29 $43.66 $0.00 55.9% 6.6% 21.1% 0.0% 0.0% 5.2% -18.1% 0 0 0 0.00 148.48 N/A N/A 0 0 0 0 2014-10-30 $43.94 $0.00 57.0% 6.6% 21.2% 0.0% 0.0% 5.3% -18.4% 0 0 0 0.00 148.33 N/A N/A 0 0 0 0 2014-10-31 $44.47 $0.00 57.8% 6.6% 21.3% 0.0% 0.0% 4.7% -18.1% 0 0 0 0.00 112.07 N/A N/A 0 0 0 0
« Sep 2014 | All History | Nov 2014 » Home FEX History October 2014