FEX Options History — December 2014

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

In December 2014, FEX traded between $43.68 and $46.34. ATM implied volatility averaged 58.6%. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 46.9% (HV 20d: 11.7%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.

Notable Days

2014-12-11: Largest IV drop — 48.7% change
2014-12-31: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.31	$43.68	$46.34	$45.07	$45.63
ATM IV	58.6%	44.0%	85.7%	61.1%	63.5%
Expected Move	8.4%	7.3%	10.5%	7.3%	10.5%
HV 20d	11.7%	6.7%	15.7%	7.9%	15.5%
HV 60d	15.3%	14.6%	16.2%	14.6%	15.5%
Term Structure	-20.6%	-27.8%	-15.3%	-22.3%	-27.8%
Skew 25d	4.8%	3.7%	6.0%	5.6%	5.9%
Skew 10d	18.4%	13.5%	28.3%	25.3%	20.6%
Call IV 25d	71.0%	55.0%	89.1%	82.8%	86.3%
Put IV 25d	75.8%	58.7%	95.2%	88.4%	92.2%
Bid-Ask Spread %	145.78	72.36	152.58	148.41	151.05
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 (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	Spread %	Call Wall	Put Wall
2014-12-01	$45.07	$0.00	61.1%	7.3%	7.9%	0.0%	0.0%	5.6%	-22.3%	148.41	N/A	N/A
2014-12-02	$45.32	$0.00	62.6%	7.3%	7.0%	0.0%	0.0%	5.7%	-22.9%	72.36	N/A	N/A
2014-12-03	$45.65	$0.00	63.4%	7.3%	7.3%	0.0%	0.0%	5.8%	-25.5%	148.13	N/A	N/A
2014-12-04	$45.52	$0.00	65.4%	7.3%	7.1%	0.0%	0.0%	6.0%	-27.5%	148.13	N/A	N/A
2014-12-05	$45.53	$0.00	67.5%	7.3%	6.7%	0.0%	0.0%	3.7%	-15.3%	148.26	N/A	N/A
2014-12-08	$45.16	$0.00	76.8%	7.6%	7.3%	0.0%	0.0%	3.9%	-15.7%	148.13	N/A	N/A
2014-12-09	$45.28	$0.00	80.1%	7.6%	7.3%	0.0%	0.0%	3.9%	-15.9%	148.02	N/A	N/A
2014-12-10	$44.47	$0.00	85.7%	7.8%	9.8%	0.0%	0.0%	4.0%	-16.3%	148.02	N/A	N/A
2014-12-11	$44.71	$0.00	44.0%	7.7%	10.0%	0.0%	0.0%	4.2%	-17.8%	147.50	N/A	N/A
2014-12-12	$44.07	$0.00	45.5%	7.9%	11.1%	0.0%	0.0%	4.3%	-18.0%	148.24	N/A	N/A
2014-12-15	$43.95	$0.00	47.6%	8.0%	11.1%	0.0%	0.0%	4.5%	-19.9%	147.48	N/A	N/A
2014-12-16	$43.68	$0.00	48.4%	8.1%	11.2%	0.0%	0.0%	4.6%	-21.1%	147.29	N/A	N/A
2014-12-17	$44.60	$0.00	48.1%	8.0%	13.5%	0.0%	0.0%	4.4%	-21.4%	147.61	N/A	N/A
2014-12-18	$45.51	$0.00	47.9%	7.8%	15.4%	0.0%	0.0%	4.4%	-21.8%	149.26	N/A	N/A
2014-12-19	$45.95	$0.00	48.5%	7.9%	15.7%	0.0%	0.0%	4.5%	-21.5%	147.91	N/A	N/A
2014-12-22	$46.00	$0.00	51.2%	9.7%	15.6%	0.0%	0.0%	4.7%	-17.5%	150.62	N/A	N/A
2014-12-23	$46.01	$0.00	52.2%	9.7%	15.6%	0.0%	0.0%	4.8%	-18.2%	152.00	N/A	N/A
2014-12-24	$46.08	$0.00	53.1%	9.8%	15.5%	0.0%	0.0%	4.8%	-18.7%	152.00	N/A	N/A
2014-12-26	$46.22	$0.00	55.5%	10.0%	15.6%	0.0%	0.0%	5.1%	-20.2%	152.15	N/A	N/A
2014-12-29	$46.34	$0.00	59.6%	10.2%	15.4%	0.0%	0.0%	5.5%	-23.1%	152.58	N/A	N/A
2014-12-30	$46.08	$0.00	61.5%	10.4%	15.2%	0.0%	0.0%	5.6%	-25.1%	152.00	N/A	N/A
2014-12-31	$45.63	$0.00	63.5%	10.5%	15.5%	0.0%	0.0%	5.9%	-27.8%	151.05	N/A	N/A