FEX Options History — December 2015

In December 2015, FEX traded between $42.68 and $45.05. ATM implied volatility averaged 24.7%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 8.5% (HV 20d: 16.2%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.56.

Notable Days

2015-12-02: Highest Volume — 112 contracts
2015-12-03: Largest IV spike — 691.0% change
2015-12-03: Highest IV Rank — 98.5%
2015-12-01: Largest Expected Move — 28.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.65	$42.68	$45.05	$45.05	$43.37
Max Pain	$44.00	$44.00	$44.00	$44.00	$44.00
ATM IV	24.7%	9.7%	145.8%	97.7%	14.8%
Expected Move	5.6%	2.8%	28.0%	28.0%	4.2%
HV 20d	16.2%	13.9%	18.0%	13.9%	17.2%
HV 60d	16.2%	14.4%	16.9%	16.7%	14.5%
IV Rank	10.4%	0.0%	98.5%	63.5%	3.7%
IV Percentile	16.8%	0.0%	99.6%	97.6%	8.3%
Term Structure	-0.4%	-24.3%	9.6%	-24.3%	-0.2%
VWIV	30.4%	30.4%	30.4%	30.4%	30.4%
Skew 25d	3.7%	-4.2%	11.6%	11.6%	0.9%
Skew 10d	1.1%	-42.3%	13.7%	13.7%	1.9%
Call IV 25d	18.5%	6.9%	83.7%	83.7%	14.7%
Put IV 25d	22.2%	12.3%	95.3%	95.3%	15.6%
Bid-Ask Spread %	119.10	99.91	152.10	152.10	111.58
Gamma HHI	0.27	0.17	0.33	0.17	0.31
Net GEX	86	-4.2K	5.1K	-1.3K	-3.8K
Net DEX	86.4K	19.8K	119.3K	35.2K	104.8K
Net VEX	-397	-746	-284	-708	-301
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.56	1.38	1.82	1.38	1.82
Total Volume	83.636	0	112	0	62
Total OI	97.818	66	118	104	66

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
2015-12-01	$45.05	$44.00	97.7%	28.0%	13.9%	63.5%	0.0%	11.6%	-24.3%	-1.3K	35.2K	-708	0.00	152.10	N/A	N/A	0	0	38	66
2015-12-02	$44.44	$44.00	18.4%	5.3%	14.6%	5.7%	30.4%	-4.2%	-10.4%	4.2K	46.4K	-495	1.38	145.33	N/A	N/A	47	65	52	66
2015-12-03	$43.89	$0.00	145.8%	12.0%	15.0%	98.5%	0.0%	4.1%	9.6%	573	19.8K	-746	1.38	147.12	N/A	N/A	47	65	52	66
2015-12-04	$44.57	$0.00	17.3%	3.2%	16.0%	4.9%	0.0%	8.8%	1.7%	1.9K	57.6K	-475	1.38	128.16	N/A	N/A	47	65	52	66
2015-12-07	$44.20	$0.00	14.5%	4.0%	16.3%	2.9%	0.0%	3.1%	2.5%	5.1K	49.2K	-512	0.00	126.17	N/A	N/A	0	0	38	66
2015-12-08	$43.96	$0.00	18.0%	4.4%	16.0%	5.4%	0.0%	6.9%	-0.3%	4.0K	75.4K	-420	1.38	126.22	N/A	N/A	47	65	52	66
2015-12-09	$43.56	$0.00	15.1%	4.3%	16.2%	3.3%	0.0%	9.2%	0.5%	3.4K	80.9K	-420	1.38	133.54	N/A	N/A	47	65	52	66
2015-12-10	$43.57	$0.00	14.1%	4.0%	16.2%	2.6%	0.0%	4.6%	1.2%	4.2K	84.1K	-402	1.38	99.91	N/A	N/A	47	65	52	66
2015-12-11	$42.76	$0.00	18.1%	5.2%	15.7%	5.5%	0.0%	1.8%	-0.3%	1.8K	100.3K	-371	1.38	103.10	N/A	N/A	47	65	52	66
2015-12-14	$42.80	$0.00	18.1%	5.2%	15.0%	5.5%	0.0%	2.4%	0.0%	1.0K	109.2K	-342	1.38	104.69	N/A	N/A	47	65	52	66
2015-12-15	$43.32	$0.00	17.8%	5.1%	14.7%	5.3%	0.0%	8.6%	-0.8%	2.9K	100.9K	-348	1.38	107.33	N/A	N/A	47	65	52	66
2015-12-16	$44.03	$0.00	13.8%	4.0%	15.9%	2.4%	0.0%	4.6%	0.8%	4.9K	77.4K	-382	1.38	108.53	N/A	N/A	47	65	52	66
2015-12-17	$43.33	$0.00	16.3%	4.7%	15.8%	4.2%	0.0%	6.4%	-0.5%	3.5K	98.4K	-353	1.38	108.44	N/A	N/A	47	65	52	66
2015-12-18	$42.68	$0.00	16.1%	4.6%	16.5%	4.1%	0.0%	0.2%	0.3%	-3.5K	119.3K	-287	1.38	107.09	N/A	N/A	47	65	52	66
2015-12-21	$42.85	$0.00	14.8%	4.3%	16.5%	3.1%	0.0%	4.5%	0.8%	-3.6K	116.9K	-284	1.82	108.63	N/A	N/A	22	40	25	41
2015-12-22	$43.32	$0.00	13.1%	3.8%	17.1%	1.8%	0.0%	5.0%	3.6%	-3.6K	109.9K	-313	1.82	108.89	N/A	N/A	22	40	25	41
2015-12-23	$43.76	$0.00	9.7%	2.8%	17.5%	0.0%	0.0%	1.8%	1.1%	-3.9K	104.3K	-323	1.82	109.17	N/A	N/A	22	40	25	41
2015-12-24	$43.70	$0.00	12.2%	3.5%	17.5%	1.8%	0.0%	0.8%	2.5%	-3.6K	100.5K	-330	1.82	112.76	N/A	N/A	22	40	25	41
2015-12-28	$43.52	$0.00	12.0%	3.4%	17.6%	1.6%	0.0%	0.3%	2.1%	-3.8K	106.3K	-299	1.82	112.82	N/A	N/A	22	40	25	41
2015-12-29	$43.95	$0.00	12.7%	3.6%	18.0%	2.1%	0.0%	1.4%	2.1%	-4.2K	100.5K	-320	1.82	113.39	N/A	N/A	22	40	25	41
2015-12-30	$43.65	$0.00	12.1%	3.5%	17.7%	1.7%	0.0%	-1.5%	-0.4%	-4.2K	104.2K	-297	1.82	145.24	N/A	N/A	22	40	25	41
2015-12-31	$43.37	$0.00	14.8%	4.2%	17.2%	3.7%	0.0%	0.9%	-0.2%	-3.8K	104.8K	-301	1.82	111.58	N/A	N/A	22	40	25	41