FEX Options History — February 2016

In February 2016, FEX traded between $38.60 and $41.85. ATM implied volatility averaged 20.0%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 2.6% (HV 20d: 22.6%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.73.

Notable Days

2016-02-09: Highest Volume — 73 contracts
2016-02-08: Largest IV spike — 39.8% change
2016-02-08: Highest IV Rank — 12.9%
2016-02-11: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.42	$38.60	$41.85	$40.95	$41.71
Max Pain	$47.00	$47.00	$47.00	$47.00	$47.00
ATM IV	20.0%	16.0%	27.6%	16.6%	17.5%
Expected Move	5.7%	4.6%	6.8%	4.8%	5.0%
HV 20d	22.6%	21.1%	23.7%	22.8%	21.1%
HV 60d	19.4%	18.2%	20.3%	18.2%	20.2%
IV Rank	7.4%	4.6%	12.9%	5.0%	5.6%
IV Percentile	30.4%	15.1%	41.7%	19.8%	22.6%
Term Structure	-0.8%	-3.7%	1.3%	1.3%	-0.8%
VWIV	19.3%	16.5%	23.0%	18.3%	18.3%
Skew 25d	4.5%	-0.5%	8.6%	6.4%	1.5%
Skew 10d	8.4%	1.3%	16.1%	9.3%	1.3%
Call IV 25d	17.4%	14.0%	23.3%	14.8%	15.3%
Put IV 25d	21.9%	16.6%	27.8%	21.1%	16.8%
Bid-Ask Spread %	102.97	93.51	109.39	107.24	109.19
Gamma HHI	0.27	0.16	0.32	0.24	0.21
Net GEX	-2.6K	-3.3K	-1.8K	-2.8K	-3.1K
Net DEX	144.7K	137.5K	152.5K	144.1K	138.2K
Net VEX	-127	-154	-98	-154	-107
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.73	1.70	1.77	1.73	1.77
Total Volume	72.15	71	73	71	72
Total OI	76.05	75	77	75	76

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
2016-02-01	$40.95	$0.00	16.6%	4.8%	22.8%	5.0%	0.0%	6.4%	1.3%	-2.8K	144.1K	-154	1.73	107.24	N/A	N/A	26	45	29	46
2016-02-02	$40.05	$0.00	20.0%	5.7%	23.4%	7.4%	0.0%	4.8%	-0.8%	-2.7K	144.6K	-152	1.73	105.32	N/A	N/A	26	45	29	46
2016-02-03	$40.37	$0.00	20.7%	5.9%	23.7%	7.9%	0.0%	4.1%	-0.5%	-2.6K	148.0K	-137	1.73	106.08	N/A	N/A	26	45	29	46
2016-02-04	$40.50	$47.00	21.3%	6.0%	23.2%	8.4%	18.3%	5.8%	-3.7%	-2.8K	144.7K	-146	1.73	98.76	N/A	N/A	26	45	29	46
2016-02-05	$39.78	$47.00	19.7%	6.0%	23.4%	7.2%	22.7%	-0.5%	-0.0%	-2.7K	144.8K	-146	1.73	103.97	N/A	N/A	26	45	29	46
2016-02-08	$39.03	$47.00	27.6%	6.7%	23.4%	12.9%	23.0%	4.7%	0.1%	-2.2K	150.7K	-130	1.77	98.73	N/A	N/A	26	46	29	46
2016-02-09	$39.02	$47.00	24.7%	6.8%	23.4%	10.9%	21.0%	5.3%	-1.9%	-2.3K	151.6K	-135	1.70	98.46	N/A	N/A	27	46	29	47
2016-02-10	$39.03	$47.00	23.3%	6.7%	23.3%	9.8%	20.7%	4.9%	-2.4%	-1.9K	148.4K	-133	1.70	95.08	N/A	N/A	27	46	30	47
2016-02-11	$38.60	$47.00	23.7%	6.8%	21.9%	10.1%	21.3%	4.5%	-3.0%	-1.8K	152.5K	-127	1.70	93.51	N/A	N/A	27	46	30	47
2016-02-12	$39.28	$47.00	23.2%	6.7%	22.5%	9.8%	20.6%	5.8%	-1.3%	-1.8K	151.9K	-125	1.70	96.33	N/A	N/A	27	46	30	47
2016-02-16	$40.05	$47.00	20.7%	5.9%	22.5%	7.9%	20.1%	5.7%	-1.7%	-2.3K	147.6K	-123	1.70	99.74	N/A	N/A	27	46	30	47
2016-02-17	$40.89	$47.00	18.3%	5.2%	23.6%	6.2%	20.6%	6.8%	-0.5%	-3.0K	141.0K	-130	1.70	100.67	N/A	N/A	27	46	30	47
2016-02-18	$40.85	$47.00	18.7%	5.4%	22.9%	6.5%	18.1%	1.0%	-0.1%	-2.9K	139.9K	-129	1.70	104.66	N/A	N/A	27	46	30	47
2016-02-19	$40.74	$47.00	18.7%	5.4%	22.9%	6.5%	17.8%	0.5%	-0.2%	-2.9K	142.5K	-122	1.70	102.90	N/A	N/A	27	46	30	47
2016-02-22	$41.48	$47.00	16.4%	4.7%	22.9%	4.8%	17.3%	7.1%	0.9%	-2.8K	141.2K	-111	1.77	108.05	N/A	N/A	26	46	29	47
2016-02-23	$41.09	$47.00	18.2%	5.2%	22.0%	6.1%	17.4%	2.6%	-0.6%	-2.8K	142.0K	-114	1.77	109.39	N/A	N/A	26	46	29	47
2016-02-24	$41.31	$47.00	17.8%	5.1%	21.4%	5.8%	16.9%	8.6%	-1.0%	-3.3K	142.7K	-102	1.77	106.79	N/A	N/A	26	46	29	47
2016-02-25	$41.76	$47.00	16.0%	4.6%	21.3%	4.6%	16.5%	6.5%	0.4%	-2.2K	139.3K	-98	1.77	106.01	N/A	N/A	26	46	29	47
2016-02-26	$41.85	$47.00	17.3%	5.0%	21.3%	5.5%	17.4%	4.4%	-0.6%	-3.2K	137.5K	-111	1.77	108.61	N/A	N/A	26	46	29	47
2016-02-29	$41.71	$47.00	17.5%	5.0%	21.1%	5.6%	18.3%	1.5%	-0.8%	-3.1K	138.2K	-107	1.77	109.19	N/A	N/A	26	46	29	47