FEX Options History — October 2015

In October 2015, FEX traded between $41.47 and $44.62. ATM implied volatility averaged 28.8%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 9.2% (HV 20d: 19.6%). Max pain ranged from $52.00 to $52.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 3.08.

Notable Days

  • 2015-10-28: Highest Volume — 96 contracts
  • 2015-10-22: Largest IV spike — 237.9% change
  • 2015-10-28: Highest IV Rank — 34.8%
  • 2015-10-28: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.78$41.47$44.62$41.47$44.62
Max Pain$52.00$52.00$52.00$52.00$52.00
ATM IV28.8%13.3%58.4%20.9%15.5%
Expected Move8.2%3.7%16.7%6.0%4.4%
HV 20d19.6%12.7%23.3%20.9%12.7%
HV 60d20.9%19.9%21.1%19.9%21.0%
IV Rank12.5%1.7%34.8%6.5%3.6%
IV Percentile22.4%2.8%68.3%12.7%6.0%
Term Structure-4.6%-36.6%26.2%-0.9%26.2%
VWIV16.4%14.4%18.4%18.4%14.4%
Skew 25d1.1%-55.3%6.5%-2.0%5.4%
Skew 10d4.7%-51.3%18.7%-1.1%3.6%
Call IV 25d36.3%10.0%79.8%18.6%12.6%
Put IV 25d37.3%15.1%83.3%16.5%18.1%
Bid-Ask Spread %120.7890.50150.99101.71107.18
Gamma HHI0.290.220.430.280.22
Net GEX-4.5K-6.0K637-5.6K637
Net DEX104.2K54.7K131.9K115.8K54.7K
Net VEX-532-703-389-402-579
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.082.105.003.052.10
Total Volume8412967796
Total OI87.36477977797

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$41.47$52.0020.9%6.0%20.9%6.5%18.4%-2.0%-0.9%-5.6K115.8K-4023.05101.71N/AN/A19581958
2015-10-02$42.41$52.0018.7%5.4%22.4%5.1%14.4%6.5%-1.5%-5.5K109.6K-4063.05101.63N/AN/A19581958
2015-10-05$43.31$0.0016.6%4.7%23.3%3.8%0.0%6.1%-0.4%-5.3K96.1K-4255.0090.77N/AN/A2101958
2015-10-06$43.17$0.0015.6%4.6%21.9%3.2%0.0%3.3%-0.2%-5.8K131.9K-4753.1990.50N/AN/A21672168
2015-10-07$43.47$0.0014.4%4.5%21.4%2.4%0.0%2.5%0.0%-5.7K129.0K-4813.1993.00N/AN/A21672168
2015-10-08$44.02$0.0014.3%4.0%21.8%2.4%0.0%6.1%0.3%-6.0K123.4K-4863.1995.99N/AN/A21672168
2015-10-09$43.97$0.0013.3%4.0%21.8%1.7%0.0%3.4%0.0%-5.3K116.9K-4773.1998.97N/AN/A21672168
2015-10-12$43.98$0.0016.0%3.8%21.7%3.4%0.0%5.8%1.0%-5.6K117.9K-4643.1996.21N/AN/A21672168
2015-10-13$43.60$0.0018.3%3.7%21.4%4.9%0.0%0.9%1.0%-5.7K124.3K-4733.1997.45N/AN/A21672168
2015-10-14$43.37$0.0015.0%4.3%21.2%2.8%0.0%6.1%-0.1%-5.9K130.2K-4343.19100.04N/AN/A21672168
2015-10-15$43.90$0.0047.4%13.6%21.7%23.2%0.0%1.6%-14.5%-4.5K99.6K-6583.19146.41N/AN/A21672168
2015-10-16$43.95$0.0048.7%14.0%20.3%24.0%0.0%4.2%-15.7%-3.4K97.0K-7033.19144.90N/AN/A21672168
2015-10-19$43.89$0.0050.0%14.3%20.3%24.9%0.0%4.2%-11.5%-4.8K108.9K-6323.10145.78N/AN/A21652166
2015-10-20$43.96$0.0016.4%4.7%18.8%3.7%0.0%3.1%-0.6%-4.0K102.0K-4443.10137.72N/AN/A21652166
2015-10-21$43.74$0.0015.1%4.3%18.9%3.3%0.0%3.5%-2.5%-4.8K108.1K-3893.10122.14N/AN/A21652166
2015-10-22$44.37$0.0050.9%14.6%19.3%29.4%0.0%3.6%-36.6%-3.9K98.7K-6523.10148.15N/AN/A21652166
2015-10-23$44.50$0.0015.7%4.5%19.3%3.7%0.0%1.8%-4.3%-3.5K90.5K-4723.10146.05N/AN/A21652166
2015-10-26$44.37$0.0036.1%10.4%15.8%18.6%0.0%3.5%16.8%-3.3K87.1K-6723.10148.07N/AN/A21652166
2015-10-27$44.04$0.0057.9%16.6%16.2%34.5%0.0%5.2%-16.9%-3.2K94.2K-6443.10146.65N/AN/A21652166
2015-10-28$44.54$0.0058.4%16.7%15.2%34.8%0.0%4.2%-22.8%-3.4K80.9K-6622.10150.99N/AN/A31652166
2015-10-29$44.51$0.0058.2%16.7%14.6%34.7%0.0%-55.3%-18.8%-4.7K75.1K-6662.10146.87N/AN/A31653166
2015-10-30$44.62$0.0015.5%4.4%12.7%3.6%0.0%5.4%26.2%63754.7K-5792.10107.18N/AN/A31653166