FEX Options History — January 2016

Name: FEX Options Analytics - January 2016
Creator: Options Analysis Suite

In January 2016, FEX traded between $38.95 and $42.82. ATM implied volatility averaged 21.0%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.1% (HV 20d: 18.9%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.01.

Notable Days

2016-01-07: Highest Volume — 67 contracts
2016-01-11: Largest IV spike — 49.7% change
2016-01-11: Highest IV Rank — 14.4%
2016-01-21: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.38	$38.95	$42.82	$42.70	$40.17
ATM IV	21.0%	17.3%	29.7%	17.6%	18.6%
Expected Move	5.5%	4.4%	6.5%	4.4%	5.3%
HV 20d	18.9%	16.5%	21.3%	17.5%	21.3%
HV 60d	16.3%	14.5%	17.8%	14.7%	17.8%
IV Rank	8.1%	5.5%	14.4%	5.7%	6.4%
IV Percentile	30.4%	20.2%	36.1%	20.6%	27.0%
Term Structure	0.1%	-2.3%	1.2%	1.2%	-0.5%
Skew 25d	5.1%	0.5%	10.6%	2.5%	9.1%
Skew 10d	5.3%	1.0%	10.1%	9.8%	4.2%
Call IV 25d	16.2%	13.2%	22.0%	15.3%	15.0%
Put IV 25d	21.3%	17.6%	26.1%	17.7%	24.1%
Bid-Ask Spread %	104.65	99.29	113.06	101.39	106.99
Gamma HHI	0.28	0.23	0.35	0.29	0.31
Net GEX	-3.2K	-3.7K	-2.7K	-3.6K	-3.1K
Net DEX	143.6K	116.5K	154.3K	120.9K	152.9K
Net VEX	-162	-247	-108	-224	-108
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.01	1.82	2.05	1.82	2.05
Total Volume	66.211	62	67	62	67
Total OI	69.947	66	71	66	71

Daily Data (19 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
2016-01-04	$42.70	$0.00	17.6%	4.4%	17.5%	5.7%	0.0%	2.5%	1.2%	-3.6K	120.9K	-224	1.82	101.39	N/A	N/A	22	40	25	41
2016-01-05	$42.82	$0.00	17.3%	4.5%	16.5%	5.5%	0.0%	3.4%	0.2%	-3.7K	116.5K	-247	1.82	103.62	N/A	N/A	22	40	25	41
2016-01-06	$42.10	$0.00	20.7%	4.7%	17.2%	8.0%	0.0%	5.9%	1.1%	-3.4K	124.7K	-222	1.82	103.84	N/A	N/A	22	40	25	41
2016-01-07	$41.46	$0.00	22.4%	5.5%	17.7%	9.2%	0.0%	5.3%	0.6%	-3.2K	130.0K	-185	2.05	99.29	N/A	N/A	22	45	25	41
2016-01-08	$40.70	$0.00	19.8%	5.7%	18.5%	7.3%	0.0%	4.5%	0.8%	-3.4K	134.6K	-237	2.05	100.35	N/A	N/A	22	45	25	46
2016-01-11	$40.70	$0.00	29.7%	5.9%	18.5%	14.4%	0.0%	4.5%	-0.1%	-3.5K	142.5K	-200	2.05	103.00	N/A	N/A	22	45	25	46
2016-01-12	$40.92	$0.00	28.0%	5.2%	17.8%	13.2%	0.0%	1.8%	-0.4%	-3.7K	142.6K	-193	2.05	103.67	N/A	N/A	22	45	25	46
2016-01-13	$39.89	$0.00	18.4%	5.3%	19.6%	6.2%	0.0%	0.5%	0.9%	-2.9K	151.3K	-133	2.05	109.68	N/A	N/A	22	45	25	46
2016-01-14	$40.32	$0.00	21.5%	6.2%	19.4%	8.5%	0.0%	10.1%	-2.3%	-3.2K	150.8K	-138	2.05	103.68	N/A	N/A	22	45	25	46
2016-01-15	$39.51	$0.00	20.5%	5.9%	18.8%	7.8%	0.0%	4.1%	-0.5%	-2.9K	151.6K	-144	2.05	101.10	N/A	N/A	22	45	25	46
2016-01-19	$39.47	$0.00	21.0%	6.0%	18.4%	8.2%	0.0%	2.0%	0.5%	-2.9K	150.0K	-147	2.05	103.77	N/A	N/A	22	45	25	46
2016-01-20	$38.95	$0.00	21.4%	6.1%	18.3%	8.4%	0.0%	5.8%	0.9%	-3.0K	146.3K	-173	2.05	113.06	N/A	N/A	22	45	25	46
2016-01-21	$39.29	$0.00	22.6%	6.5%	18.6%	9.3%	0.0%	10.6%	-0.7%	-2.7K	154.3K	-114	2.05	103.14	N/A	N/A	22	45	25	46
2016-01-22	$39.98	$0.00	19.1%	5.5%	19.5%	6.8%	0.0%	7.9%	-0.9%	-3.2K	151.4K	-130	2.05	105.63	N/A	N/A	22	45	25	46
2016-01-25	$39.22	$0.00	20.7%	5.9%	19.4%	7.9%	0.0%	6.7%	0.4%	-3.0K	149.5K	-130	2.05	106.51	N/A	N/A	22	45	25	46
2016-01-26	$39.85	$0.00	18.1%	5.2%	20.8%	6.0%	0.0%	4.7%	0.7%	-3.2K	153.7K	-114	2.05	107.32	N/A	N/A	22	45	25	46
2016-01-27	$39.53	$0.00	21.4%	6.1%	20.9%	8.5%	0.0%	3.3%	-0.7%	-3.0K	151.9K	-117	2.05	107.63	N/A	N/A	22	45	25	46
2016-01-28	$39.71	$0.00	19.5%	5.6%	20.5%	7.1%	0.0%	3.2%	-0.3%	-3.1K	152.6K	-118	2.05	104.60	N/A	N/A	22	45	25	46
2016-01-29	$40.17	$0.00	18.6%	5.3%	21.3%	6.4%	0.0%	9.1%	-0.5%	-3.1K	152.9K	-108	2.05	106.99	N/A	N/A	22	45	25	46