FEX Options History — May 2015

In May 2015, FEX traded between $46.47 and $47.59. ATM implied volatility averaged 58.6%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 47.8% (HV 20d: 10.8%). Max pain ranged from $38.00 to $47.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.20.

Notable Days

2015-05-01: Highest Volume — 60 contracts
2015-05-12: Largest IV drop — 57.0% change
2015-05-08: Highest IV Rank — 45.4%
2015-05-01: Largest Expected Move — 19.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.15	$46.47	$47.59	$47.17	$46.98
Max Pain	$46.40	$38.00	$47.00	$38.00	$47.00
ATM IV	58.6%	41.3%	96.1%	68.1%	55.8%
Expected Move	13.2%	10.7%	19.5%	19.5%	16.0%
HV 20d	10.8%	9.4%	11.5%	9.8%	11.5%
HV 60d	11.6%	11.1%	11.9%	11.4%	11.9%
IV Rank	17.4%	4.5%	45.4%	24.5%	15.3%
IV Percentile	42.4%	0.5%	94.7%	78.0%	55.0%
Term Structure	-16.8%	-31.2%	-11.7%	-31.2%	-19.0%
VWIV	49.1%	36.6%	87.8%	87.8%	55.7%
Skew 25d	4.2%	3.4%	6.0%	6.0%	5.0%
Skew 10d	21.6%	17.8%	26.1%	21.4%	26.1%
Call IV 25d	62.9%	50.8%	92.0%	92.0%	75.5%
Put IV 25d	67.1%	54.2%	98.0%	98.0%	80.6%
Bid-Ask Spread %	154.87	148.65	200.00	152.06	149.45
Gamma HHI	0.87	0.54	1.00	0.56	1.00
Net GEX	-846	-2.2K	636	-667	-1.3K
Net DEX	-17.2K	-65.5K	22.4K	-43.2K	22.2K
Net VEX	-51	-89	0	-89	-45
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	28.947	0	60	60	10
Total OI	15.789	0	25	25	10

Daily Data (19 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
2015-05-01	$47.17	$38.00	68.1%	19.5%	9.8%	24.5%	87.8%	6.0%	-31.2%	-667	-43.2K	-89	0.20	152.06	N/A	N/A	50	10	15	10
2015-05-04	$47.34	$0.00	76.6%	10.7%	9.4%	30.9%	0.0%	3.4%	-15.0%	628	-65.5K	-18	0.00	148.65	N/A	N/A	0	0	15	0
2015-05-05	$46.76	$47.00	80.9%	10.9%	10.3%	34.1%	37.2%	3.5%	-16.4%	-619	-41.1K	-85	0.20	149.45	N/A	N/A	50	10	15	10
2015-05-06	$46.47	$47.00	86.4%	11.2%	10.5%	38.2%	36.6%	3.6%	-15.8%	-577	-39.6K	-83	0.20	149.60	N/A	N/A	50	10	15	10
2015-05-07	$46.69	$47.00	90.5%	11.2%	10.6%	41.2%	37.8%	3.6%	-17.3%	-613	-40.7K	-81	0.20	149.84	N/A	N/A	50	10	15	10
2015-05-08	$47.27	$0.00	96.1%	11.3%	11.4%	45.4%	0.0%	4.0%	-16.5%	636	-65.3K	-14	0.00	193.75	N/A	N/A	0	0	15	0
2015-05-12	$46.96	$47.00	41.3%	11.8%	11.5%	4.5%	41.3%	0.0%	0.0%	-2.2K	-47.6K	-60	0.20	200.00	N/A	N/A	50	10	15	10
2015-05-13	$46.85	$47.00	42.0%	12.1%	11.5%	5.1%	41.4%	3.9%	-19.5%	-606	-36.4K	-72	0.20	149.45	N/A	N/A	50	10	15	10
2015-05-14	$47.20	$47.00	42.5%	12.2%	11.5%	5.4%	43.3%	3.8%	-19.2%	-1.3K	-49.1K	-59	0.20	149.74	N/A	N/A	50	10	15	10
2015-05-15	$47.32	$47.00	43.0%	12.3%	11.5%	5.8%	44.4%	3.9%	-19.5%	-1.3K	-49.6K	-58	0.20	149.45	N/A	N/A	50	10	15	10
2015-05-18	$47.56	$0.00	44.3%	12.7%	10.8%	6.8%	0.0%	4.1%	-12.2%	0	0	0	0.00	150.37	N/A	N/A	0	0	0	0
2015-05-19	$47.42	$0.00	45.6%	13.1%	10.5%	7.7%	0.0%	3.6%	-11.7%	0	0	0	0.00	154.47	N/A	N/A	0	0	0	0
2015-05-20	$47.43	$47.00	46.4%	13.3%	10.5%	8.3%	48.3%	4.2%	-12.1%	-1.3K	21.2K	-54	0.00	149.00	N/A	N/A	0	10	0	10
2015-05-21	$47.59	$47.00	46.6%	13.4%	10.5%	8.4%	49.8%	4.3%	-13.6%	-1.3K	20.8K	-53	0.00	149.16	N/A	N/A	0	10	0	10
2015-05-22	$47.49	$47.00	47.9%	13.7%	10.4%	9.5%	50.3%	4.3%	-13.0%	-1.3K	21.0K	-52	0.00	149.16	N/A	N/A	0	10	0	10
2015-05-26	$46.92	$47.00	52.2%	15.0%	11.2%	12.6%	51.8%	4.8%	-16.6%	-1.3K	22.4K	-48	0.00	149.80	N/A	N/A	0	10	0	10
2015-05-27	$47.31	$47.00	53.0%	15.2%	11.4%	13.3%	54.7%	4.7%	-16.5%	-1.3K	21.4K	-47	0.00	149.66	N/A	N/A	0	10	0	10
2015-05-28	$47.20	$47.00	54.3%	15.6%	11.4%	14.2%	55.4%	4.8%	-17.6%	-1.3K	21.7K	-46	0.00	149.45	N/A	N/A	0	10	0	10
2015-05-29	$46.98	$47.00	55.8%	16.0%	11.5%	15.3%	55.7%	5.0%	-19.0%	-1.3K	22.2K	-45	0.00	149.45	N/A	N/A	0	10	0	10