FEX Options History — March 2015 In March 2015, FEX traded between $45.60 and $47.29. ATM implied volatility averaged 56.3%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 44.4% (HV 20d: 12.0%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.20.
Notable Days 2015-03-30 : Highest Volume — 60 contracts2015-03-11 : Largest IV drop — 48.0% change2015-03-10 : Highest IV Rank — 35.4%2015-03-04 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $46.57 $45.60 $47.29 $47.24 $46.63 ATM IV 56.3% 43.0% 82.8% 60.0% 62.1% Expected Move 14.4% 11.2% 18.3% 17.2% 17.8% HV 20d 12.0% 8.4% 15.2% 11.0% 15.2% HV 60d 14.8% 14.3% 15.3% 14.9% 14.9% IV Rank 15.7% 5.8% 35.4% 18.5% 20.0% IV Percentile 43.3% 2.1% 86.9% 59.7% 63.1% Term Structure -19.2% -24.9% -14.4% -21.1% -24.8% Skew 25d 4.6% 3.6% 5.7% 5.3% 5.7% Skew 10d 18.0% 12.9% 33.2% 32.3% 19.8% Call IV 25d 68.4% 53.3% 86.6% 81.0% 84.5% Put IV 25d 73.0% 57.0% 92.4% 86.4% 90.2% Bid-Ask Spread % 153.17 148.31 169.96 148.31 151.11 Gamma HHI 0.94 0.55 1.00 1.00 0.55 Net GEX -394 -1.4K 0 0 -621 Net DEX 4.5K -39.5K 24.1K 0 -39.5K Net VEX -30 -133 0 0 -133 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.20 0.20 0.20 0.20 0.20 Total Volume 6.364 0 60 0 60 Total OI 3.864 0 25 0 25
Daily Data (22 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 2015-03-02 $47.24 $0.00 60.0% 17.2% 11.0% 18.5% 0.0% 5.3% -21.1% 0 0 0 0.00 148.31 N/A N/A 0 0 0 0 2015-03-03 $47.06 $0.00 61.9% 17.7% 10.4% 19.9% 0.0% 5.5% -22.9% 0 0 0 0.00 148.31 N/A N/A 0 0 0 0 2015-03-04 $46.87 $0.00 63.9% 18.3% 8.8% 21.4% 0.0% 5.7% -24.9% 0 0 0 0.00 148.58 N/A N/A 0 0 0 0 2015-03-05 $46.99 $0.00 66.0% 11.2% 8.4% 22.9% 0.0% 3.6% -14.4% 0 0 0 0.00 152.03 N/A N/A 0 0 0 0 2015-03-06 $46.15 $0.00 69.6% 11.5% 9.6% 25.6% 0.0% 3.8% -14.9% 0 0 0 0.00 152.69 N/A N/A 0 0 0 0 2015-03-09 $46.26 $0.00 78.4% 12.0% 9.5% 32.2% 0.0% 3.9% -15.8% 0 0 0 0.00 153.82 N/A N/A 0 0 0 0 2015-03-10 $45.63 $0.00 82.8% 12.2% 10.7% 35.4% 0.0% 4.0% -17.4% 0 0 0 0.00 152.00 N/A N/A 0 0 0 0 2015-03-11 $45.60 $0.00 43.0% 12.3% 10.1% 5.8% 0.0% 4.0% -17.9% 0 0 0 0.00 151.65 N/A N/A 0 0 0 0 2015-03-12 $46.17 $0.00 43.5% 12.5% 11.1% 6.1% 0.0% 4.0% -17.3% 0 0 0 0.00 152.00 N/A N/A 0 0 0 0 2015-03-13 $45.90 $0.00 44.1% 12.7% 10.5% 6.6% 0.0% 4.1% -18.3% 0 0 0 0.00 152.00 N/A N/A 0 0 0 0 2015-03-16 $46.55 $0.00 45.3% 13.0% 11.7% 7.5% 0.0% 4.2% -20.3% 0 0 0 0.00 151.52 N/A N/A 0 0 0 0 2015-03-17 $46.39 $0.00 46.7% 13.4% 11.7% 8.5% 0.0% 4.3% -19.5% 0 0 0 0.00 153.82 N/A N/A 0 0 0 0 2015-03-18 $47.12 $0.00 46.6% 13.4% 13.1% 8.5% 0.0% 4.3% -20.3% 0 0 0 0.00 152.06 N/A N/A 0 0 0 0 2015-03-19 $46.86 $0.00 47.5% 13.6% 13.2% 9.1% 0.0% 4.4% -21.6% 0 0 0 0.00 152.06 N/A N/A 0 0 0 0 2015-03-20 $47.29 $0.00 48.2% 13.8% 13.4% 9.6% 0.0% 4.3% -21.3% 0 0 0 0.00 150.65 N/A N/A 0 10 0 0 2015-03-23 $47.17 $0.00 51.1% 14.6% 13.4% 11.8% 0.0% 4.1% -16.1% -1.4K 22.4K -92 0.00 169.96 N/A N/A 0 0 0 10 2015-03-24 $46.97 $0.00 52.2% 15.0% 13.5% 12.6% 0.0% 4.8% -16.8% -1.4K 22.3K -91 0.00 152.06 N/A N/A 0 0 0 10 2015-03-25 $46.27 $0.00 54.2% 15.5% 14.4% 14.1% 0.0% 4.9% -17.3% -1.3K 23.9K -89 0.00 152.44 N/A N/A 0 0 0 10 2015-03-26 $46.21 $0.00 55.5% 15.9% 14.4% 15.1% 0.0% 5.0% -18.3% -1.3K 24.1K -89 0.00 152.00 N/A N/A 0 10 0 10 2015-03-27 $46.32 $0.00 56.7% 16.3% 14.4% 16.0% 0.0% 5.5% -18.9% -1.3K 23.8K -88 0.00 168.99 N/A N/A 0 0 0 10 2015-03-30 $46.91 $0.00 60.3% 17.3% 15.1% 18.6% 0.0% 5.5% -22.8% -1.3K 22.4K -88 0.20 151.59 N/A N/A 50 10 0 10 2015-03-31 $46.63 $0.00 62.1% 17.8% 15.2% 20.0% 0.0% 5.7% -24.8% -621 -39.5K -133 0.20 151.11 N/A N/A 50 10 15 10
« Feb 2015 | All History | Apr 2015 » Home FEX History March 2015