FEX Options History — November 2015

In November 2015, FEX traded between $43.19 and $45.28. ATM implied volatility averaged 32.3%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 19.4% (HV 20d: 13.0%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.80.

Notable Days

2015-11-20: Highest Volume — 112 contracts
2015-11-30: Largest IV spike — 479.1% change
2015-11-30: Highest IV Rank — 61.7%
2015-11-30: Largest Expected Move — 27.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.53	$43.19	$45.28	$45.07	$44.63
Max Pain	$44.00	$44.00	$44.00	$44.00	$44.00
ATM IV	32.3%	14.9%	95.3%	15.7%	95.3%
Expected Move	9.4%	3.7%	27.3%	4.5%	27.3%
HV 20d	13.0%	10.6%	15.6%	11.1%	13.9%
HV 60d	19.7%	16.8%	21.4%	21.1%	16.8%
IV Rank	15.8%	3.1%	61.7%	3.7%	61.7%
IV Percentile	29.5%	5.2%	97.2%	7.1%	97.2%
Term Structure	-6.4%	-30.6%	25.9%	25.9%	-24.0%
VWIV	21.7%	11.4%	29.8%	18.5%	18.6%
Skew 25d	7.5%	-58.7%	49.7%	7.6%	-58.7%
Skew 10d	-4.6%	-58.5%	27.7%	6.9%	4.8%
Call IV 25d	31.0%	11.0%	168.8%	11.9%	168.8%
Put IV 25d	38.5%	13.6%	110.1%	19.5%	110.1%
Bid-Ask Spread %	136.14	106.00	175.25	106.00	175.25
Gamma HHI	0.24	0.17	0.32	0.23	0.17
Net GEX	-86	-3.6K	4.7K	1.1K	-1.4K
Net DEX	56.7K	11.0K	97.8K	48.1K	42.7K
Net VEX	-558	-800	-390	-557	-726
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.80	0.00	2.10	2.10	1.38
Total Volume	69.9	0	112	96	0
Total OI	101.2	97	118	97	104

Daily Data (20 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
2015-11-02	$45.07	$0.00	15.7%	4.5%	11.1%	3.7%	0.0%	7.6%	25.9%	1.1K	48.1K	-557	2.10	106.00	N/A	N/A	31	65	31	66
2015-11-03	$45.28	$0.00	15.3%	4.4%	11.0%	3.4%	0.0%	-4.9%	2.4%	-262	48.8K	-493	2.10	133.93	N/A	N/A	31	65	31	66
2015-11-04	$44.94	$0.00	66.8%	19.2%	11.4%	41.0%	0.0%	6.3%	-23.1%	-2.1K	48.8K	-695	2.10	146.97	N/A	N/A	31	65	31	66
2015-11-05	$45.04	$44.00	15.6%	8.0%	10.6%	3.7%	18.5%	3.7%	-17.8%	2.2K	42.6K	-558	2.10	118.79	N/A	N/A	31	65	31	66
2015-11-06	$44.89	$44.00	14.9%	4.5%	10.7%	3.1%	0.0%	4.5%	-0.4%	-516	59.0K	-485	0.00	130.56	N/A	N/A	0	0	31	66
2015-11-09	$44.45	$44.00	16.2%	4.4%	11.4%	4.1%	0.0%	4.0%	0.5%	-415	64.5K	-473	0.00	134.09	N/A	N/A	2	0	31	66
2015-11-10	$44.59	$44.00	17.2%	3.7%	10.9%	4.8%	11.4%	0.1%	9.6%	1.8K	55.5K	-530	2.03	131.81	N/A	N/A	32	65	33	66
2015-11-11	$44.72	$44.00	15.0%	4.3%	10.6%	3.3%	14.3%	7.4%	-1.1%	-1.4K	67.1K	-478	2.03	116.81	N/A	N/A	32	65	33	66
2015-11-12	$43.75	$44.00	15.7%	4.5%	12.8%	3.8%	15.3%	2.5%	-1.0%	-888	82.4K	-442	2.03	126.54	N/A	N/A	32	65	33	66
2015-11-13	$43.19	$44.00	47.1%	13.5%	13.5%	26.6%	28.1%	38.7%	-26.9%	-3.6K	89.4K	-548	2.03	146.20	N/A	N/A	32	65	33	66
2015-11-16	$43.82	$44.00	15.6%	4.5%	14.6%	3.6%	0.0%	2.9%	-1.2%	-225	97.8K	-390	0.00	133.06	N/A	N/A	0	0	33	66
2015-11-17	$43.77	$44.00	53.2%	15.3%	14.6%	31.1%	29.8%	32.7%	-30.6%	-2.0K	75.6K	-638	2.10	142.16	N/A	N/A	31	65	33	66
2015-11-18	$44.48	$44.00	49.9%	14.3%	15.6%	28.7%	28.6%	36.9%	-25.4%	-1.6K	59.5K	-622	2.10	146.16	N/A	N/A	31	65	34	66
2015-11-19	$44.41	$44.00	15.5%	4.4%	14.7%	3.6%	19.2%	4.6%	-2.3%	-691	64.6K	-466	2.10	123.78	N/A	N/A	31	65	34	66
2015-11-20	$44.57	$44.00	16.6%	4.8%	14.8%	4.4%	26.7%	2.9%	-2.7%	734	55.6K	-462	1.38	140.00	N/A	N/A	47	65	34	66
2015-11-23	$44.63	$44.00	33.4%	9.6%	14.7%	16.6%	0.0%	5.2%	23.3%	2.8K	45.6K	-549	0.00	148.81	N/A	N/A	0	0	38	66
2015-11-24	$44.76	$44.00	54.6%	15.6%	14.4%	32.1%	0.0%	3.8%	-17.5%	-895	38.4K	-690	0.00	151.56	N/A	N/A	0	0	38	66
2015-11-25	$44.77	$44.00	56.2%	16.1%	13.9%	33.3%	28.4%	49.7%	-13.9%	941	11.0K	-800	1.38	147.24	N/A	N/A	47	65	52	66
2015-11-27	$44.78	$44.00	16.4%	4.7%	13.9%	4.3%	18.6%	-0.1%	-2.1%	4.7K	36.2K	-557	1.38	123.05	N/A	N/A	47	65	52	66
2015-11-30	$44.63	$44.00	95.3%	27.3%	13.9%	61.7%	0.0%	-58.7%	-24.0%	-1.4K	42.7K	-726	0.00	175.25	N/A	N/A	0	0	38	66