FEX Options History — April 2015

In April 2015, FEX traded between $46.39 and $47.48. ATM implied volatility averaged 55.6%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 43.9% (HV 20d: 11.7%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.20.

Notable Days

2015-04-01: Highest Volume — 60 contracts
2015-04-08: Largest IV drop — 48.1% change
2015-04-07: Highest IV Rank — 34.0%
2015-04-30: Largest Expected Move — 19.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.07	$46.39	$47.48	$46.39	$46.63
Max Pain	$38.00	$38.00	$38.00	$38.00	$38.00
ATM IV	55.6%	42.0%	80.8%	64.9%	66.1%
Expected Move	14.5%	11.2%	19.0%	18.6%	19.0%
HV 20d	11.7%	8.6%	15.4%	15.3%	9.1%
HV 60d	12.9%	11.3%	14.3%	14.3%	11.3%
IV Rank	15.1%	5.0%	34.0%	22.1%	23.0%
IV Percentile	42.3%	0.6%	86.6%	70.2%	74.6%
Term Structure	-17.8%	-31.0%	-10.4%	-24.7%	-31.0%
VWIV	65.6%	49.2%	83.6%	49.2%	83.5%
Skew 25d	4.6%	3.6%	6.0%	5.9%	6.0%
Skew 10d	16.3%	13.1%	21.1%	20.5%	21.1%
Call IV 25d	68.8%	53.7%	90.0%	87.5%	90.0%
Put IV 25d	73.4%	57.4%	96.0%	93.4%	96.0%
Bid-Ask Spread %	152.25	150.65	154.20	151.77	151.77
Gamma HHI	0.56	0.54	0.57	0.54	0.54
Net GEX	-687	-756	-583	-583	-585
Net DEX	-42.3K	-44.5K	-38.2K	-38.2K	-40.3K
Net VEX	-110	-132	-92	-132	-92
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	57.143	0	60	60	60
Total OI	25	25	25	25	25

Daily Data (21 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
2015-04-01	$46.39	$0.00	64.9%	18.6%	15.3%	22.1%	0.0%	5.9%	-24.7%	-583	-38.2K	-132	0.20	151.77	N/A	N/A	50	10	15	10
2015-04-02	$46.65	$38.00	66.1%	11.2%	15.4%	23.0%	49.2%	3.6%	-10.4%	-628	-39.7K	-131	0.20	150.69	N/A	N/A	50	10	15	10
2015-04-06	$47.06	$38.00	77.0%	11.7%	14.2%	31.1%	53.7%	3.8%	-11.1%	-688	-42.0K	-122	0.20	152.06	N/A	N/A	50	10	15	10
2015-04-07	$46.87	$38.00	80.8%	11.9%	14.3%	34.0%	56.0%	3.9%	-11.7%	-669	-41.1K	-121	0.20	152.06	N/A	N/A	50	10	15	10
2015-04-08	$46.98	$38.00	42.0%	12.0%	13.3%	5.0%	0.0%	3.9%	-11.9%	-674	-41.7K	-120	0.00	152.06	N/A	N/A	0	0	15	10
2015-04-09	$47.12	$38.00	42.5%	12.2%	13.2%	5.4%	55.2%	3.9%	-12.1%	-683	-42.4K	-119	0.20	152.06	N/A	N/A	50	10	15	10
2015-04-10	$47.26	$38.00	43.0%	12.3%	12.6%	5.8%	54.7%	4.0%	-12.3%	-715	-43.3K	-118	0.20	153.19	N/A	N/A	50	10	15	10
2015-04-13	$46.99	$38.00	45.2%	12.9%	12.6%	7.4%	59.9%	4.1%	-14.0%	-691	-41.8K	-114	0.20	152.73	N/A	N/A	50	10	15	10
2015-04-14	$47.11	$38.00	45.8%	13.1%	11.7%	7.9%	59.6%	4.2%	-14.3%	-704	-42.5K	-113	0.20	152.06	N/A	N/A	50	10	15	10
2015-04-15	$47.46	$38.00	46.3%	13.3%	11.8%	8.3%	63.5%	4.2%	-14.2%	-726	-44.4K	-109	0.20	151.71	N/A	N/A	50	10	15	10
2015-04-16	$47.37	$38.00	47.2%	13.5%	10.5%	8.9%	58.9%	4.3%	-14.8%	-723	-43.9K	-107	0.20	152.06	N/A	N/A	50	10	15	10
2015-04-17	$46.82	$38.00	48.3%	13.9%	11.2%	9.8%	65.6%	4.5%	-16.4%	-669	-41.0K	-110	0.20	152.06	N/A	N/A	50	10	15	10
2015-04-20	$47.20	$38.00	50.9%	14.6%	11.1%	11.7%	65.4%	4.7%	-17.7%	-713	-43.1K	-106	0.20	152.64	N/A	N/A	50	10	15	10
2015-04-21	$47.13	$38.00	52.0%	14.9%	11.1%	12.5%	67.5%	4.8%	-18.6%	-718	-42.8K	-105	0.20	153.85	N/A	N/A	50	10	15	10
2015-04-22	$47.24	$38.00	53.1%	15.2%	11.0%	13.3%	67.7%	4.8%	-19.2%	-728	-43.3K	-102	0.20	152.06	N/A	N/A	50	10	15	10
2015-04-23	$47.48	$38.00	54.1%	15.5%	9.5%	14.0%	73.9%	4.8%	-19.5%	-735	-44.5K	-99	0.20	150.65	N/A	N/A	50	10	15	10
2015-04-24	$47.39	$38.00	55.4%	15.9%	9.5%	15.0%	69.0%	5.0%	-20.6%	-756	-44.2K	-98	0.20	154.20	N/A	N/A	50	10	15	10
2015-04-27	$47.07	$38.00	60.2%	17.2%	9.9%	18.6%	78.8%	5.5%	-24.9%	-694	-42.6K	-97	0.20	153.45	N/A	N/A	50	10	15	10
2015-04-28	$47.15	$38.00	61.8%	17.7%	8.9%	19.8%	80.0%	5.5%	-26.1%	-686	-43.0K	-93	0.20	152.06	N/A	N/A	50	10	15	10
2015-04-29	$47.07	$38.00	63.8%	18.3%	8.6%	21.3%	83.6%	5.7%	-27.9%	-653	-42.6K	-94	0.20	152.06	N/A	N/A	50	10	15	10
2015-04-30	$46.63	$38.00	66.1%	19.0%	9.1%	23.0%	83.5%	6.0%	-31.0%	-585	-40.3K	-92	0.20	151.77	N/A	N/A	50	10	15	10