FEX Options History — February 2015

Name: FEX Options Analytics - February 2015
Creator: Options Analysis Suite

In February 2015, FEX traded between $45.23 and $47.41. ATM implied volatility averaged 56.4%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 41.0% (HV 20d: 15.4%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days.

Notable Days

2015-02-11: Largest IV drop — 47.9% change
2015-02-10: Highest IV Rank — 34.9%
2015-02-04: Largest Expected Move — 18.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.68	$45.23	$47.41	$45.23	$47.09
ATM IV	56.4%	42.6%	82.1%	62.7%	55.7%
Expected Move	14.1%	11.4%	18.7%	18.0%	16.0%
HV 20d	15.4%	12.2%	18.4%	18.4%	12.2%
HV 60d	15.0%	14.3%	15.2%	14.3%	15.0%
IV Rank	11.8%	5.5%	34.9%	34.9%	15.2%
IV Percentile	27.7%	0.8%	84.9%	84.9%	50.7%
Term Structure	-19.7%	-26.7%	-14.7%	-22.9%	-18.3%
Skew 25d	4.5%	3.5%	6.0%	5.7%	5.0%
Skew 10d	23.9%	19.9%	29.6%	20.2%	29.6%
Call IV 25d	66.8%	53.8%	88.7%	84.7%	75.3%
Put IV 25d	71.2%	57.3%	94.8%	90.4%	80.2%
Bid-Ask Spread %	148.89	147.28	152.06	152.06	148.31
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 (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	Spread %	Call Wall	Put Wall
2015-02-02	$45.23	$0.00	62.7%	18.0%	18.4%	0.0%	0.0%	5.7%	-22.9%	152.06	N/A	N/A
2015-02-03	$46.03	$0.00	63.3%	18.1%	17.8%	0.0%	0.0%	5.7%	-24.3%	151.77	N/A	N/A
2015-02-04	$45.72	$0.00	65.4%	18.7%	17.6%	0.0%	0.0%	6.0%	-26.7%	152.00	N/A	N/A
2015-02-05	$46.35	$0.00	67.0%	11.4%	17.7%	0.0%	0.0%	3.5%	-16.1%	148.51	N/A	N/A
2015-02-06	$46.11	$0.00	69.7%	11.5%	16.7%	0.0%	0.0%	3.6%	-17.0%	147.91	N/A	N/A
2015-02-09	$45.98	$0.00	78.7%	12.0%	16.6%	0.0%	0.0%	3.8%	-18.5%	149.45	N/A	N/A
2015-02-10	$46.40	$0.00	82.1%	12.1%	16.3%	34.9%	0.0%	3.8%	-18.0%	149.45	N/A	N/A
2015-02-11	$46.28	$0.00	42.7%	12.3%	16.1%	5.6%	0.0%	3.9%	-18.7%	148.97	N/A	N/A
2015-02-12	$46.76	$0.00	42.6%	12.2%	16.3%	5.5%	0.0%	3.9%	-20.0%	147.92	N/A	N/A
2015-02-13	$46.95	$0.00	43.2%	12.4%	15.5%	5.9%	0.0%	3.9%	-20.1%	148.31	N/A	N/A
2015-02-17	$47.05	$0.00	45.9%	13.1%	14.6%	7.9%	0.0%	4.0%	-22.1%	147.38	N/A	N/A
2015-02-18	$47.10	$0.00	46.6%	13.4%	14.5%	8.4%	0.0%	4.2%	-22.7%	148.31	N/A	N/A
2015-02-19	$47.10	$0.00	47.4%	13.6%	14.3%	9.0%	0.0%	4.2%	-23.3%	148.31	N/A	N/A
2015-02-20	$47.40	$0.00	48.0%	13.8%	14.0%	9.5%	0.0%	4.5%	-23.2%	148.31	N/A	N/A
2015-02-23	$47.32	$0.00	50.9%	14.6%	14.0%	11.6%	0.0%	4.5%	-14.7%	148.31	N/A	N/A
2015-02-24	$47.41	$0.00	51.8%	14.9%	13.9%	12.4%	0.0%	4.7%	-15.2%	147.28	N/A	N/A
2015-02-25	$47.41	$0.00	52.9%	15.2%	13.6%	13.2%	0.0%	4.8%	-15.9%	148.01	N/A	N/A
2015-02-26	$47.16	$0.00	54.3%	15.6%	12.3%	14.2%	0.0%	4.8%	-17.2%	148.31	N/A	N/A
2015-02-27	$47.09	$0.00	55.7%	16.0%	12.2%	15.2%	0.0%	5.0%	-18.3%	148.31	N/A	N/A