FEX Options History — November 2014

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

In November 2014, FEX traded between $44.20 and $45.81. ATM implied volatility averaged 56.9%. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 44.6% (HV 20d: 12.3%). Net GEX was positive for 0 of 18 trading days. Term structure was in contango for 0 of 18 days.

Notable Days

2014-11-13: Largest IV drop — 45.5% change
2014-11-28: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.10	$44.20	$45.81	$44.43	$45.47
ATM IV	56.9%	43.8%	80.5%	62.2%	56.5%
Expected Move	6.8%	6.6%	7.2%	6.7%	7.2%
HV 20d	12.3%	6.6%	21.2%	21.2%	7.1%
HV 60d	14.5%	14.4%	14.6%	14.6%	14.5%
Term Structure	-21.2%	-26.7%	-16.1%	-21.2%	-18.3%
Skew 25d	4.7%	3.4%	6.1%	5.7%	5.2%
Skew 10d	20.6%	15.5%	24.4%	20.1%	24.4%
Call IV 25d	69.6%	55.6%	90.7%	83.9%	76.2%
Put IV 25d	74.3%	59.5%	96.9%	89.6%	81.4%
Bid-Ask Spread %	147.94	117.52	187.93	147.98	153.26
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 (18 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	Spread %	Call Wall	Put Wall
2014-11-03	$44.43	$0.00	62.2%	6.7%	21.2%	0.0%	0.0%	5.7%	-21.2%	147.98	N/A	N/A
2014-11-04	$44.20	$0.00	64.1%	6.7%	20.5%	0.0%	0.0%	5.9%	-23.1%	148.34	N/A	N/A
2014-11-05	$44.54	$0.00	65.0%	6.6%	19.9%	0.0%	0.0%	6.0%	-25.8%	148.18	N/A	N/A
2014-11-06	$44.78	$0.00	66.8%	6.6%	17.8%	0.0%	0.0%	6.1%	-26.7%	147.98	N/A	N/A
2014-11-07	$44.82	$0.00	69.0%	6.6%	17.6%	0.0%	0.0%	3.8%	-18.1%	148.02	N/A	N/A
2014-11-10	$44.96	$0.00	77.1%	6.7%	13.3%	0.0%	0.0%	3.4%	-19.1%	149.16	N/A	N/A
2014-11-11	$45.02	$0.00	80.5%	6.7%	12.7%	0.0%	0.0%	4.0%	-19.4%	149.23	N/A	N/A
2014-11-13	$44.90	$0.00	43.8%	6.8%	11.2%	0.0%	0.0%	4.1%	-20.6%	148.02	N/A	N/A
2014-11-14	$44.95	$0.00	44.4%	6.8%	11.2%	0.0%	0.0%	4.2%	-21.0%	148.02	N/A	N/A
2014-11-17	$45.00	$0.00	46.4%	6.9%	11.1%	0.0%	0.0%	3.7%	-22.6%	126.76	N/A	N/A
2014-11-18	$45.30	$0.00	46.9%	6.9%	10.8%	0.0%	0.0%	4.3%	-22.5%	149.40	N/A	N/A
2014-11-19	$45.21	$0.00	47.8%	6.9%	9.1%	0.0%	0.0%	4.4%	-23.4%	148.45	N/A	N/A
2014-11-20	$45.38	$0.00	48.4%	7.0%	8.4%	0.0%	0.0%	4.4%	-23.6%	148.41	N/A	N/A
2014-11-21	$45.62	$0.00	48.5%	6.9%	7.8%	0.0%	0.0%	4.5%	-25.8%	117.52	N/A	N/A
2014-11-24	$45.81	$0.00	51.2%	7.0%	7.7%	0.0%	0.0%	5.2%	-16.1%	187.93	N/A	N/A
2014-11-25	$45.75	$0.00	52.2%	7.0%	7.5%	0.0%	0.0%	4.8%	-16.9%	148.25	N/A	N/A
2014-11-26	$45.74	$0.00	53.3%	7.0%	6.6%	0.0%	0.0%	4.9%	-17.7%	148.04	N/A	N/A
2014-11-28	$45.47	$0.00	56.5%	7.2%	7.1%	0.0%	0.0%	5.2%	-18.3%	153.26	N/A	N/A