FEX Options History — January 2015

In January 2015, FEX traded between $44.00 and $45.74. ATM implied volatility averaged 67.6%. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 50.6% (HV 20d: 17.0%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

  • 2015-01-14: Largest IV drop — 66.7% change
  • 2015-01-30: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.98$44.00$45.74$45.64$44.59
ATM IV67.6%44.6%133.8%67.6%58.4%
Expected Move13.4%10.7%16.7%10.7%16.7%
HV 20d17.0%15.3%18.9%15.3%17.6%
HV 60d14.3%13.5%15.8%15.5%14.0%
Term Structure-14.2%-31.3%-8.5%-31.3%-21.0%
Skew 25d0.2%-27.1%5.5%1.6%5.5%
Skew 10d8.0%4.7%19.3%8.7%19.3%
Call IV 25d66.4%55.1%93.0%93.0%79.5%
Put IV 25d66.6%44.9%94.6%94.6%85.0%
Bid-Ask Spread %150.89140.64152.44151.19152.06
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$45.64$0.0067.6%10.7%15.3%0.0%0.0%1.6%-31.3%0000.00151.19N/AN/A0000
2015-01-05$44.71$0.0077.2%11.3%17.0%0.0%0.0%0.6%-8.6%0000.00151.11N/AN/A0000
2015-01-06$44.26$0.0082.0%11.6%17.3%0.0%0.0%0.7%-8.5%0000.00149.50N/AN/A0000
2015-01-07$44.80$0.0084.5%11.6%17.7%0.0%0.0%0.7%-9.0%0000.00150.65N/AN/A0000
2015-01-08$45.62$0.0087.3%11.4%18.9%0.0%0.0%0.7%-9.2%0000.00151.05N/AN/A0000
2015-01-09$45.32$0.0093.9%11.8%17.8%0.0%0.0%0.7%-8.9%0000.00151.05N/AN/A0000
2015-01-12$44.85$0.00119.5%12.3%18.2%0.0%0.0%0.8%-10.3%0000.00152.06N/AN/A0000
2015-01-13$44.58$0.00133.8%12.5%17.5%0.0%0.0%0.8%-10.9%0000.00151.42N/AN/A0000
2015-01-14$44.48$0.0044.6%12.8%17.5%0.0%0.0%0.9%-10.4%0000.00151.25N/AN/A0000
2015-01-15$44.00$0.0045.5%13.0%17.8%0.0%0.0%0.9%-11.4%0000.00149.89N/AN/A0000
2015-01-16$44.78$0.0045.2%13.0%17.4%0.0%0.0%0.9%-11.8%0000.00151.77N/AN/A0000
2015-01-20$44.72$0.0048.0%13.8%15.7%0.0%0.0%1.0%-13.6%0000.00151.77N/AN/A0000
2015-01-21$45.13$0.0048.6%13.9%15.6%0.0%0.0%1.1%-13.5%0000.00152.06N/AN/A0000
2015-01-22$45.64$0.0048.6%13.9%16.2%0.0%0.0%1.1%-14.4%0000.00152.44N/AN/A0000
2015-01-23$45.51$0.0049.5%14.2%16.2%0.0%0.0%1.1%-15.2%0000.00151.77N/AN/A0000
2015-01-26$45.74$0.0051.5%14.8%16.3%0.0%0.0%-27.1%-21.2%0000.00140.64N/AN/A0000
2015-01-27$45.44$0.0054.1%15.5%16.4%0.0%0.0%1.3%-16.6%0000.00152.44N/AN/A0000
2015-01-28$44.76$0.0055.8%16.0%17.1%0.0%0.0%5.2%-18.8%0000.00151.50N/AN/A0000
2015-01-29$45.13$0.0056.8%16.3%17.4%0.0%0.0%5.1%-18.9%0000.00152.06N/AN/A0000
2015-01-30$44.59$0.0058.4%16.7%17.6%0.0%0.0%5.5%-21.0%0000.00152.06N/AN/A0000