FEX Options History — July 2015 In July 2015, FEX traded between $44.99 and $46.67. ATM implied volatility averaged 66.5%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 54.0% (HV 20d: 12.4%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.
Notable Days 2015-07-28 : Largest IV spike — 197.7% change2015-07-14 : Highest IV Rank — 84.0%2015-07-02 : Largest Expected Move — 19.3%Monthly Statistics Metric Avg Min Max Open Close Price $46.01 $44.99 $46.67 $46.09 $45.95 ATM IV 66.5% 18.5% 147.8% 65.2% 57.3% Expected Move 13.4% 5.3% 19.3% 18.7% 16.4% HV 20d 12.4% 10.9% 13.2% 11.4% 12.6% HV 60d 10.9% 10.2% 11.5% 10.4% 11.3% IV Rank 25.6% 0.0% 84.0% 22.3% 25.8% IV Percentile 53.2% 0.0% 99.1% 72.5% 58.8% Term Structure -13.7% -30.1% -3.1% -28.4% -17.9% Skew 25d 4.2% 3.0% 6.0% 5.8% 5.1% Skew 10d 12.7% -38.6% 21.3% 20.8% 18.3% Call IV 25d 63.0% 19.5% 91.0% 88.1% 77.1% Put IV 25d 67.2% 23.7% 97.0% 94.0% 82.3% Bid-Ask Spread % 151.26 145.53 153.54 152.00 147.46 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 (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 2015-07-01 $46.09 $0.00 65.2% 18.7% 11.4% 22.3% 0.0% 5.8% -28.4% 0 0 0 0.00 152.00 N/A N/A 0 0 0 0 2015-07-02 $46.10 $0.00 67.3% 19.3% 10.9% 23.9% 0.0% 6.0% -30.1% 0 0 0 0.00 151.78 N/A N/A 0 0 0 0 2015-07-06 $45.84 $0.00 78.8% 11.0% 11.0% 32.5% 0.0% 3.6% -8.3% 0 0 0 0.00 152.01 N/A N/A 0 0 0 0 2015-07-07 $46.21 $0.00 82.3% 11.1% 11.3% 35.1% 0.0% 3.5% -8.2% 0 0 0 0.00 152.32 N/A N/A 0 0 0 0 2015-07-08 $45.45 $0.00 88.4% 11.5% 12.7% 39.6% 0.0% 3.7% -8.3% 0 0 0 0.00 151.07 N/A N/A 0 0 0 0 2015-07-09 $45.56 $0.00 92.6% 11.4% 11.9% 42.8% 0.0% 3.7% -9.2% 0 0 0 0.00 151.93 N/A N/A 0 0 0 0 2015-07-10 $46.02 $0.00 98.6% 11.5% 12.6% 47.3% 0.0% 3.7% -9.1% 0 0 0 0.00 150.56 N/A N/A 0 0 0 0 2015-07-13 $46.45 $0.00 129.6% 11.9% 13.0% 70.4% 0.0% 3.9% -9.4% 0 0 0 0.00 153.41 N/A N/A 0 0 0 0 2015-07-14 $46.62 $0.00 147.8% 11.9% 12.9% 84.0% 0.0% 3.8% -10.4% 0 0 0 0.00 151.98 N/A N/A 0 0 0 0 2015-07-15 $46.34 $0.00 42.7% 12.2% 13.0% 5.5% 0.0% 3.9% -10.1% 0 0 0 0.00 152.13 N/A N/A 0 0 0 0 2015-07-16 $46.67 $0.00 42.7% 12.2% 13.2% 5.5% 0.0% 3.9% -11.0% 0 0 0 0.00 152.28 N/A N/A 0 0 0 0 2015-07-17 $46.43 $0.00 43.9% 12.6% 12.9% 6.4% 0.0% 4.0% -10.7% 0 0 0 0.00 153.48 N/A N/A 0 0 0 0 2015-07-20 $46.31 $0.00 45.9% 13.2% 12.9% 8.0% 0.0% 4.3% -12.0% 0 0 0 0.00 153.41 N/A N/A 0 0 0 0 2015-07-21 $46.16 $0.00 46.8% 13.4% 12.7% 8.6% 0.0% 4.3% -12.7% 0 0 0 0.00 153.54 N/A N/A 0 0 0 0 2015-07-22 $46.07 $0.00 47.6% 13.7% 12.7% 9.2% 0.0% 4.3% -13.3% 0 0 0 0.00 152.00 N/A N/A 0 0 0 0 2015-07-23 $45.87 $0.00 48.5% 13.9% 12.3% 9.9% 0.0% 4.5% -14.1% 0 0 0 0.00 152.00 N/A N/A 0 0 0 0 2015-07-24 $45.40 $0.00 50.1% 14.4% 12.8% 11.1% 0.0% 4.6% -14.1% 0 0 0 0.00 151.19 N/A N/A 0 0 0 0 2015-07-27 $44.99 $0.00 18.5% 5.3% 13.0% 0.0% 0.0% 4.2% -3.1% 0 0 0 0.00 145.53 N/A N/A 0 0 0 0 2015-07-28 $45.60 $0.00 55.0% 15.8% 12.2% 24.2% 0.0% 4.8% -19.3% 0 0 0 0.00 149.23 N/A N/A 0 0 0 0 2015-07-29 $46.05 $0.00 56.3% 16.1% 12.7% 25.1% 0.0% 3.2% -20.1% 0 0 0 0.00 148.55 N/A N/A 0 0 0 0 2015-07-30 $46.03 $0.00 56.5% 16.2% 12.6% 25.2% 0.0% 3.0% -20.5% 0 0 0 0.00 149.78 N/A N/A 0 0 0 0 2015-07-31 $45.95 $0.00 57.3% 16.4% 12.6% 25.8% 0.0% 5.1% -17.9% 0 0 0 0.00 147.46 N/A N/A 0 0 0 0
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