FEX Options History — March 2016

In March 2016, FEX traded between $42.38 and $44.67. ATM implied volatility averaged 13.4%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 1.5% (HV 20d: 14.9%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.98.

Notable Days

  • 2016-03-01: Highest Volume — 72 contracts
  • 2016-03-31: Largest IV spike — 26.0% change
  • 2016-03-07: Highest IV Rank — 5.0%
  • 2016-03-07: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.80$42.38$44.67$42.38$44.64
Max Pain$47.00$47.00$47.00$47.00$47.00
ATM IV13.4%9.8%16.6%15.0%13.3%
Expected Move3.8%2.8%4.9%4.3%3.8%
HV 20d14.9%11.7%20.8%20.8%11.8%
HV 60d19.6%18.9%20.3%20.3%18.9%
IV Rank2.7%0.1%5.0%3.8%2.6%
IV Percentile8.2%0.4%21.8%10.3%9.1%
Term Structure1.1%-0.9%3.6%2.9%0.1%
VWIV13.2%12.9%13.4%13.4%12.9%
Skew 25d3.6%1.4%14.8%1.6%2.9%
Skew 10d5.3%-0.1%35.9%1.3%2.6%
Call IV 25d12.9%10.5%15.8%14.9%12.9%
Put IV 25d16.5%12.0%26.4%16.5%15.8%
Bid-Ask Spread %108.0497.31113.01109.44108.57
Gamma HHI0.430.220.700.220.50
Net GEX-1.7K-13.6K4.3K-3.1K4.0K
Net DEX62.3K-38.7K135.2K135.2K-38.5K
Net VEX-132-175-79-97-141
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.184.601.770.18
Total Volume50.18223727240
Total OI59.09123877623

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$42.38$47.0015.0%4.3%20.8%3.8%13.4%1.6%2.9%-3.1K135.2K-971.77109.44N/AN/A26462947
2016-03-02$42.69$47.0012.4%3.6%18.9%2.0%12.9%1.9%0.4%-3.5K133.1K-951.77110.03N/AN/A26462947
2016-03-03$43.12$0.0014.8%4.3%18.9%3.7%0.0%3.1%1.4%-4.4K130.0K-954.60104.33N/AN/A10462947
2016-03-04$43.30$0.0016.6%4.7%18.9%4.9%0.0%5.8%-0.5%-5.7K125.1K-1034.60103.08N/AN/A10462747
2016-03-07$43.45$0.0016.6%4.9%17.2%5.0%0.0%5.1%-0.8%-6.0K125.1K-984.60102.10N/AN/A10462747
2016-03-08$42.89$0.0016.2%4.4%16.2%4.7%0.0%4.9%1.4%-4.8K129.1K-954.60105.10N/AN/A10462747
2016-03-09$43.09$0.0015.9%4.6%16.1%4.5%0.0%3.9%0.6%-4.5K128.9K-854.6097.31N/AN/A10462747
2016-03-10$43.13$0.0016.0%4.6%16.1%4.5%0.0%3.7%1.5%-3.7K132.0K-792.19101.25N/AN/A21462747
2016-03-11$43.95$0.0014.8%4.2%15.6%3.6%0.0%5.2%0.0%-5.3K107.2K-1702.19100.65N/AN/A21463847
2016-03-14$43.88$0.0013.3%3.8%15.3%2.6%0.0%3.5%2.4%-4.8K106.6K-1602.00107.97N/AN/A23463847
2016-03-15$43.66$0.0014.2%4.1%14.8%3.2%0.0%2.6%0.6%-5.3K104.0K-1752.00110.82N/AN/A23464047
2016-03-16$44.10$0.0011.3%3.2%13.7%1.1%0.0%4.1%2.3%-7.8K94.4K-1752.00110.54N/AN/A23464047
2016-03-17$44.43$0.0012.6%3.6%13.6%2.1%0.0%1.5%2.7%-13.6K93.2K-1672.00109.18N/AN/A23464047
2016-03-18$44.64$0.009.8%2.8%13.4%0.1%0.0%2.8%3.6%3.7K101.5K-1552.00112.25N/AN/A23464047
2016-03-21$44.67$0.0011.8%3.4%12.4%1.5%0.0%1.4%-0.9%3.7K-37.2K-1540.35112.27N/AN/A176176
2016-03-22$44.55$0.0010.3%2.9%11.7%0.4%0.0%1.8%2.8%3.8K-36.2K-1480.35111.35N/AN/A176176
2016-03-23$44.02$0.0012.2%3.5%13.0%1.8%0.0%1.8%1.0%3.8K-31.8K-1490.35112.23N/AN/A176176
2016-03-24$43.95$0.0014.2%4.1%12.8%3.2%0.0%2.4%-0.8%3.5K-28.8K-1440.35111.02N/AN/A176176
2016-03-28$44.04$0.0012.1%3.5%12.8%1.7%0.0%2.0%0.3%4.3K-29.3K-1440.35113.01N/AN/A176176
2016-03-29$44.47$0.0011.0%3.1%12.8%0.9%0.0%14.8%1.9%4.3K-33.6K-1410.35111.94N/AN/A176176
2016-03-30$44.64$0.0010.5%3.0%11.9%0.6%0.0%1.8%1.8%4.0K-38.7K-1400.35112.49N/AN/A176176
2016-03-31$44.64$0.0013.3%3.8%11.8%2.6%0.0%2.9%0.1%4.0K-38.5K-1410.18108.57N/AN/A346176