FEX Options History — August 2015

In August 2015, FEX traded between $41.64 and $46.14. ATM implied volatility averaged 32.5%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 18.0% (HV 20d: 14.5%). Max pain ranged from $44.00 to $56.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.83.

Notable Days

2015-08-24: Highest Volume — 72 contracts
2015-08-24: Largest IV spike — 566.7% change
2015-08-24: Highest IV Rank — 68.4%
2015-08-24: Largest Expected Move — 34.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.80	$41.64	$46.14	$45.73	$43.60
Max Pain	$48.62	$44.00	$56.00	$44.00	$56.00
ATM IV	32.5%	10.6%	119.2%	61.6%	19.8%
Expected Move	8.4%	3.0%	34.2%	17.7%	5.7%
HV 20d	14.5%	10.4%	22.8%	12.6%	22.7%
HV 60d	12.4%	10.7%	16.2%	11.0%	16.1%
IV Rank	13.1%	0.0%	68.4%	28.6%	5.8%
IV Percentile	23.0%	0.0%	97.2%	63.1%	4.8%
Term Structure	-9.8%	-64.6%	2.2%	-23.7%	-2.3%
VWIV	21.9%	13.8%	46.2%	16.7%	20.9%
Skew 25d	9.9%	2.5%	62.7%	5.7%	12.7%
Skew 10d	7.2%	-54.4%	70.3%	20.0%	8.0%
Call IV 25d	32.7%	8.9%	154.4%	83.8%	14.5%
Put IV 25d	42.6%	12.8%	166.0%	89.5%	27.2%
Bid-Ask Spread %	122.39	69.40	160.48	151.52	105.96
Gamma HHI	0.36	0.24	1.00	1.00	0.25
Net GEX	-2.5K	-8.1K	3.2K	0	-8.1K
Net DEX	45.4K	-11.2K	153.8K	0	124.2K
Net VEX	-286	-578	0	0	-525
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.83	0.00	4.14	0.00	4.14
Total Volume	35.952	0	72	0	72
Total OI	36.429	0	80	0	80

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
2015-08-03	$45.73	$0.00	61.6%	17.7%	12.6%	28.6%	0.0%	5.7%	-23.7%	0	0	0	0.00	151.52	N/A	N/A	0	0	0	0
2015-08-04	$45.59	$0.00	13.4%	3.8%	12.2%	0.0%	0.0%	2.7%	-1.6%	0	0	0	0.00	144.86	N/A	N/A	0	0	0	0
2015-08-05	$45.82	$0.00	66.8%	19.2%	10.8%	34.3%	0.0%	5.9%	-26.7%	0	0	0	0.00	149.74	N/A	N/A	0	0	0	0
2015-08-06	$45.53	$0.00	69.5%	12.1%	11.1%	36.0%	0.0%	35.1%	-21.4%	0	0	0	0.00	148.08	N/A	N/A	0	0	0	0
2015-08-07	$45.41	$0.00	73.6%	10.9%	10.4%	38.6%	0.0%	3.3%	-15.6%	0	0	0	0.00	148.20	N/A	N/A	0	0	0	0
2015-08-10	$46.09	$0.00	21.5%	4.1%	11.3%	5.2%	0.0%	4.1%	-2.9%	0	0	0	0.00	143.14	N/A	N/A	0	0	0	0
2015-08-11	$45.70	$0.00	12.6%	3.7%	11.5%	0.0%	0.0%	2.6%	1.3%	0	0	0	0.00	109.69	N/A	N/A	14	0	0	0
2015-08-12	$45.84	$0.00	12.9%	3.7%	11.4%	0.1%	16.7%	6.8%	-0.8%	3.2K	-11.2K	-97	2.00	103.46	N/A	N/A	14	28	14	0
2015-08-13	$45.76	$44.00	11.8%	3.4%	11.1%	0.0%	17.7%	4.7%	0.9%	-2.3K	33.5K	-404	2.00	107.99	N/A	N/A	14	28	14	28
2015-08-14	$45.91	$44.00	11.8%	3.4%	11.1%	0.0%	0.0%	3.7%	0.8%	-1.1K	23.7K	-371	2.00	108.53	N/A	N/A	14	28	14	28
2015-08-17	$46.14	$44.00	11.0%	3.2%	11.2%	0.0%	0.0%	2.6%	2.0%	187	22.6K	-373	2.00	107.83	N/A	N/A	14	28	14	28
2015-08-18	$46.05	$44.00	14.5%	4.1%	11.2%	2.2%	13.8%	4.8%	-2.3%	-2.0K	27.1K	-401	2.00	103.00	N/A	N/A	14	28	14	28
2015-08-19	$45.73	$44.00	10.6%	3.0%	11.4%	0.0%	0.0%	2.6%	2.2%	-3.0K	29.9K	-403	0.00	69.40	N/A	N/A	0	5	14	28
2015-08-20	$44.75	$44.00	13.2%	3.8%	13.7%	1.7%	18.5%	5.1%	1.7%	-4.8K	44.4K	-445	2.36	107.93	N/A	N/A	14	33	14	33
2015-08-21	$43.52	$44.00	17.9%	5.1%	16.4%	4.6%	18.6%	2.5%	-2.5%	-5.2K	72.5K	-408	2.36	106.65	N/A	N/A	14	33	14	33
2015-08-24	$42.09	$44.00	119.2%	34.2%	19.7%	68.4%	46.2%	11.6%	-64.6%	-832	57.4K	-414	4.14	160.48	N/A	N/A	14	58	14	33
2015-08-25	$41.64	$56.00	59.9%	17.2%	18.8%	31.1%	30.0%	6.0%	-42.3%	-5.3K	122.5K	-578	4.14	142.61	N/A	N/A	14	58	14	66
2015-08-26	$42.50	$56.00	23.3%	6.7%	20.2%	8.1%	17.3%	11.3%	-2.7%	-8.0K	153.8K	-477	4.14	105.79	N/A	N/A	14	58	14	66
2015-08-27	$43.57	$56.00	16.3%	4.7%	22.6%	3.6%	20.3%	62.7%	-3.2%	-7.6K	133.4K	-562	4.14	139.31	N/A	N/A	14	58	14	66
2015-08-28	$43.74	$56.00	20.5%	5.9%	22.8%	6.3%	20.9%	11.8%	-1.9%	-7.4K	120.5K	-557	4.14	105.92	N/A	N/A	14	58	14	66
2015-08-31	$43.60	$56.00	19.8%	5.7%	22.7%	5.8%	20.9%	12.7%	-2.3%	-8.1K	124.2K	-525	4.14	105.96	N/A	N/A	14	58	14	66