FEX Options History — September 2015

In September 2015, FEX traded between $40.99 and $43.99. ATM implied volatility averaged 19.0%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 6.4% (HV 20d: 25.4%). Max pain ranged from $52.00 to $56.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.87.

Notable Days

  • 2015-09-25: Highest Volume — 77 contracts
  • 2015-09-18: Largest IV spike — 21.3% change
  • 2015-09-01: Highest IV Rank — 9.3%
  • 2015-09-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.70$40.99$43.99$42.22$41.85
Max Pain$52.38$52.00$56.00$56.00$52.00
ATM IV19.0%14.9%25.4%25.4%17.9%
Expected Move5.4%4.3%7.3%7.3%5.1%
HV 20d25.4%20.8%28.0%25.1%21.3%
HV 60d18.6%17.3%20.1%17.3%20.1%
IV Rank5.3%2.7%9.3%9.3%4.6%
IV Percentile6.3%3.6%13.1%6.3%6.0%
Term Structure-0.4%-3.6%2.4%-0.2%-1.0%
VWIV15.6%11.1%27.4%20.9%14.6%
Skew 25d5.0%-1.2%9.8%-1.2%5.6%
Skew 10d4.8%0.6%16.1%3.2%6.6%
Call IV 25d16.7%11.1%26.1%26.1%16.5%
Put IV 25d21.7%18.0%25.4%24.9%22.1%
Bid-Ask Spread %106.00101.45117.34104.59106.70
Gamma HHI0.280.230.340.230.28
Net GEX-7.8K-11.3K-4.5K-6.9K-6.0K
Net DEX125.2K85.5K148.8K145.8K114.7K
Net VEX-453-521-395-515-418
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.873.054.144.143.05
Total Volume65.9520777277
Total OI77.28667808077

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$42.22$56.0025.4%7.3%25.1%9.3%20.9%-1.2%-0.2%-6.9K145.8K-5154.14104.59N/AN/A14581466
2015-09-02$42.79$56.0020.5%5.9%25.7%6.3%18.2%3.2%-2.3%-7.6K145.1K-5184.14105.51N/AN/A14581466
2015-09-03$43.06$52.0020.1%5.5%25.9%6.0%12.9%4.5%-1.4%-8.2K135.7K-5214.14102.33N/AN/A14581466
2015-09-04$42.53$52.0019.3%5.7%26.1%5.5%13.0%6.1%0.3%-7.5K148.8K-4994.14101.45N/AN/A14581466
2015-09-08$43.48$52.0019.0%5.7%26.9%5.3%0.0%5.3%-1.8%-9.6K130.8K-4820.00103.49N/AN/A001466
2015-09-09$42.85$52.0017.7%5.1%27.1%4.5%12.8%3.8%2.4%-8.7K134.3K-4984.14104.53N/AN/A14581466
2015-09-10$43.00$52.0019.0%5.4%27.1%5.3%11.6%7.6%0.2%-9.2K141.0K-4814.14104.45N/AN/A14581466
2015-09-11$43.14$52.0019.0%5.4%27.2%5.3%11.8%4.3%-1.6%-9.6K144.6K-4704.14103.58N/AN/A14581466
2015-09-14$42.97$52.0018.1%5.2%27.1%4.8%12.0%9.8%-0.3%-9.6K144.0K-4474.14105.45N/AN/A14581466
2015-09-15$43.55$52.0014.9%4.3%27.6%2.7%0.0%6.1%1.8%-9.9K126.1K-4270.00107.97N/AN/A001466
2015-09-16$43.99$52.0016.3%4.7%28.0%3.6%11.3%8.4%-0.9%-11.2K116.4K-4294.14108.42N/AN/A14581466
2015-09-17$43.94$52.0016.6%4.7%27.9%3.8%11.1%3.0%0.6%-10.6K115.6K-4394.14117.34N/AN/A14581466
2015-09-18$43.05$52.0020.1%5.8%27.8%6.0%14.3%5.3%-3.6%-11.3K141.1K-4084.14106.72N/AN/A14581466
2015-09-21$43.24$52.0016.2%4.6%26.2%3.5%13.6%4.5%1.0%-4.5K85.5K-3953.79107.35N/AN/A14531453
2015-09-22$42.40$52.0019.1%5.5%24.2%5.4%16.8%6.9%-2.0%-4.9K100.9K-4004.14105.45N/AN/A14581453
2015-09-23$42.35$52.0019.1%5.5%23.9%5.4%17.7%6.1%-0.6%-5.7K106.7K-4433.87105.77N/AN/A15581458
2015-09-24$42.15$52.0018.7%5.4%22.8%5.1%15.6%6.2%0.7%-5.8K112.2K-4443.87106.08N/AN/A15581558
2015-09-25$42.20$52.0018.1%5.2%20.8%4.8%17.3%4.7%0.9%-5.5K103.8K-4413.05106.75N/AN/A19581558
2015-09-28$41.05$52.0021.4%6.1%22.6%6.8%22.9%2.7%1.6%-5.4K117.2K-4233.05105.90N/AN/A19581958
2015-09-29$40.99$52.0022.3%6.4%22.6%7.4%27.4%1.3%-2.2%-5.6K119.8K-4083.05106.11N/AN/A19581958
2015-09-30$41.85$52.0017.9%5.1%21.3%4.6%14.6%5.6%-1.0%-6.0K114.7K-4183.05106.70N/AN/A19581958