FEX Options History — June 2015 In June 2015, FEX traded between $45.76 and $47.32. ATM implied volatility averaged 55.8%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 46.1% (HV 20d: 9.8%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days.
Notable Days 2015-06-01 : Highest Volume — 10 contracts2015-06-10 : Largest IV drop — 48.8% change2015-06-09 : Highest IV Rank — 35.0%2015-06-03 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $46.72 $45.76 $47.32 $47.04 $45.95 Max Pain $47.00 $47.00 $47.00 $47.00 $47.00 ATM IV 55.8% 42.0% 82.2% 60.2% 63.3% Expected Move 14.2% 11.2% 18.3% 17.3% 18.2% HV 20d 9.8% 8.9% 11.4% 11.0% 11.4% HV 60d 10.7% 9.6% 11.9% 11.9% 10.4% IV Rank 15.4% 5.0% 35.0% 18.6% 20.9% IV Percentile 44.6% 1.4% 88.8% 61.7% 68.3% Term Structure -19.8% -27.3% -14.9% -22.1% -27.3% VWIV 62.3% 60.4% 64.2% 60.4% 64.2% Skew 25d 4.5% 3.7% 5.8% 5.4% 5.8% Skew 10d 16.9% 13.1% 29.8% 28.1% 20.4% Call IV 25d 67.4% 53.7% 86.3% 81.4% 85.7% Put IV 25d 71.9% 57.4% 92.0% 86.8% 91.5% Bid-Ask Spread % 151.62 149.45 152.44 149.45 152.00 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -2.5K -23.6K 0 -1.3K 0 Net DEX 14.0K 0 23.9K 22.1K 0 Net VEX -17 -42 0 -42 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 6.667 0 10 10 0 Total OI 6.667 0 10 10 0
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 2015-06-01 $47.04 $47.00 60.2% 17.3% 11.0% 18.6% 60.4% 5.4% -22.1% -1.3K 22.1K -42 0.00 149.45 N/A N/A 0 10 0 10 2015-06-03 $47.06 $47.00 63.8% 18.3% 10.2% 21.3% 64.2% 5.7% -24.8% -1.3K 22.0K -39 0.00 149.45 N/A N/A 0 10 0 10 2015-06-04 $46.58 $0.00 66.1% 11.2% 10.7% 23.0% 0.0% 3.7% -14.9% -1.3K 23.2K -38 0.00 152.06 N/A N/A 0 10 0 10 2015-06-05 $46.65 $0.00 68.4% 11.3% 9.8% 24.8% 0.0% 3.7% -15.2% -1.3K 23.0K -37 0.00 152.19 N/A N/A 0 10 0 10 2015-06-08 $46.39 $0.00 78.3% 11.9% 9.8% 32.1% 0.0% 3.8% -15.4% -1.3K 23.7K -32 0.00 152.13 N/A N/A 0 10 0 10 2015-06-09 $46.31 $0.00 82.2% 12.1% 9.6% 35.0% 0.0% 3.9% -16.0% -1.3K 23.9K -30 0.00 152.44 N/A N/A 0 10 0 10 2015-06-10 $46.86 $0.00 42.0% 12.1% 9.5% 5.0% 0.0% 3.9% -16.9% -1.4K 22.5K -29 0.00 152.13 N/A N/A 0 10 0 10 2015-06-11 $46.87 $0.00 42.6% 12.2% 9.2% 5.5% 0.0% 3.9% -17.3% -1.4K 22.5K -28 0.00 152.44 N/A N/A 0 10 0 10 2015-06-12 $46.63 $0.00 43.3% 12.4% 9.4% 6.0% 0.0% 4.0% -18.3% -1.4K 23.1K -26 0.00 151.77 N/A N/A 0 10 0 10 2015-06-15 $46.43 $0.00 45.9% 13.2% 9.0% 7.9% 0.0% 4.2% -18.6% -1.4K 23.6K -19 0.00 150.80 N/A N/A 0 10 0 10 2015-06-16 $46.67 $0.00 46.0% 13.2% 9.2% 8.0% 0.0% 4.2% -20.4% -1.3K 23.0K -17 0.00 152.13 N/A N/A 0 10 0 10 2015-06-17 $46.80 $0.00 46.7% 13.4% 9.0% 8.5% 0.0% 4.3% -20.8% -1.3K 22.7K -14 0.00 151.77 N/A N/A 0 10 0 10 2015-06-18 $47.22 $0.00 47.3% 13.6% 9.6% 9.0% 0.0% 4.3% -20.5% -12.2K 17.5K -9 0.00 152.06 N/A N/A 0 10 0 10 2015-06-19 $47.11 $0.00 48.3% 13.8% 9.7% 9.7% 0.0% 4.4% -21.4% -23.6K 1.2K 0 0.00 152.06 N/A N/A 0 10 0 10 2015-06-22 $47.32 $0.00 50.9% 14.6% 9.7% 11.7% 0.0% 4.6% -17.6% 0 0 0 0.00 151.59 N/A N/A 0 0 0 0 2015-06-23 $47.32 $0.00 51.9% 14.9% 9.7% 12.4% 0.0% 4.7% -18.2% 0 0 0 0.00 152.06 N/A N/A 0 0 0 0 2015-06-24 $46.84 $0.00 53.3% 15.3% 9.4% 13.5% 0.0% 4.9% -20.1% 0 0 0 0.00 152.06 N/A N/A 0 0 0 0 2015-06-25 $46.70 $0.00 54.6% 15.6% 8.9% 14.4% 0.0% 5.0% -21.3% 0 0 0 0.00 152.06 N/A N/A 0 0 0 0 2015-06-26 $46.69 $0.00 55.9% 16.0% 8.9% 15.4% 0.0% 5.1% -22.3% 0 0 0 0.00 150.65 N/A N/A 0 0 0 0 2015-06-29 $45.76 $0.00 61.6% 17.7% 11.2% 19.7% 0.0% 5.7% -26.3% 0 0 0 0.00 150.71 N/A N/A 0 0 0 0 2015-06-30 $45.95 $0.00 63.3% 18.2% 11.4% 20.9% 0.0% 5.8% -27.3% 0 0 0 0.00 152.00 N/A N/A 0 0 0 0
« May 2015 | All History | Jul 2015 » Home FEX History June 2015