FEX Options History — April 2016

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

In April 2016, FEX traded between $43.72 and $45.37. ATM implied volatility averaged 13.2%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.5% (HV 20d: 11.6%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.27.

Notable Days

2016-04-07: Highest Volume — 61 contracts
2016-04-13: Largest IV drop — 36.9% change
2016-04-08: Highest IV Rank — 5.4%
2016-04-28: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.58	$43.72	$45.37	$44.77	$44.44
ATM IV	13.2%	10.0%	17.1%	12.5%	13.1%
Expected Move	3.6%	2.9%	4.4%	3.6%	3.8%
HV 20d	11.6%	10.8%	13.0%	11.4%	12.3%
HV 60d	16.7%	14.5%	18.9%	18.9%	14.6%
IV Rank	2.5%	0.2%	5.4%	2.0%	2.4%
IV Percentile	11.8%	0.8%	32.1%	6.7%	13.5%
Term Structure	0.9%	-2.0%	3.5%	-2.0%	3.5%
Skew 25d	2.3%	-1.8%	5.9%	2.6%	-1.8%
Skew 10d	4.5%	-0.9%	38.1%	38.1%	1.3%
Call IV 25d	12.2%	10.3%	16.6%	13.3%	14.6%
Put IV 25d	14.4%	11.6%	17.3%	15.9%	12.8%
Bid-Ask Spread %	109.07	100.55	112.47	111.20	110.29
Gamma HHI	0.54	0.42	0.62	0.43	0.57
Net GEX	5.2K	3.4K	9.6K	9.6K	4.5K
Net DEX	-8.9K	-67.4K	26.1K	-62.2K	12.5K
Net VEX	-337	-393	-241	-285	-300
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.18	1.59	0.18	1.59
Total Volume	45.81	40	61	40	44
Total OI	58.952	42	63	42	63

Daily Data (21 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
2016-04-01	$44.77	$0.00	12.5%	3.6%	11.4%	2.0%	0.0%	2.6%	-2.0%	9.6K	-62.2K	-285	0.18	111.20	N/A	N/A	34	6	36	6
2016-04-04	$44.43	$0.00	14.6%	3.8%	11.9%	3.6%	0.0%	2.5%	1.9%	9.0K	-67.4K	-276	0.18	104.33	N/A	N/A	34	6	36	6
2016-04-05	$43.94	$0.00	14.8%	3.8%	12.6%	3.7%	0.0%	3.3%	1.1%	8.9K	-52.1K	-241	0.18	110.06	N/A	N/A	34	6	36	6
2016-04-06	$44.32	$0.00	13.7%	3.7%	11.9%	2.8%	0.0%	1.6%	2.3%	9.2K	-49.3K	-242	0.76	105.77	N/A	N/A	34	26	36	6
2016-04-07	$43.72	$0.00	14.2%	4.3%	13.0%	3.3%	0.0%	3.0%	0.6%	3.5K	24.9K	-334	0.79	100.55	N/A	N/A	34	27	36	26
2016-04-08	$43.84	$0.00	17.1%	4.3%	13.0%	5.4%	0.0%	2.6%	0.3%	3.5K	26.1K	-353	0.79	101.92	N/A	N/A	34	27	36	27
2016-04-11	$43.85	$0.00	15.5%	4.0%	11.1%	4.2%	0.0%	3.3%	0.8%	3.4K	19.1K	-352	1.59	103.94	N/A	N/A	17	27	36	27
2016-04-12	$44.16	$0.00	17.1%	4.1%	11.4%	5.3%	0.0%	4.9%	0.2%	3.8K	25.0K	-344	1.59	108.12	N/A	N/A	17	27	36	27
2016-04-13	$44.71	$0.00	10.8%	3.1%	11.9%	0.8%	0.0%	5.9%	0.9%	4.3K	2.8K	-386	1.59	110.12	N/A	N/A	17	27	36	27
2016-04-14	$44.58	$0.00	10.8%	3.1%	11.6%	0.8%	0.0%	3.0%	1.2%	3.9K	1.2K	-393	1.59	111.31	N/A	N/A	17	27	36	27
2016-04-15	$44.60	$0.00	11.1%	3.2%	11.3%	1.0%	0.0%	1.9%	0.6%	4.4K	6.8K	-370	1.59	112.34	N/A	N/A	17	27	36	27
2016-04-18	$44.88	$0.00	10.0%	2.9%	11.4%	0.2%	0.0%	3.4%	1.0%	4.4K	-2.6K	-371	1.59	110.77	N/A	N/A	17	27	36	27
2016-04-19	$45.07	$0.00	12.5%	3.6%	11.4%	2.0%	0.0%	5.1%	0.4%	4.4K	-8.2K	-373	1.59	110.32	N/A	N/A	17	27	36	27
2016-04-20	$45.17	$0.00	12.0%	3.4%	11.4%	1.6%	0.0%	2.1%	0.9%	4.6K	-15.6K	-378	1.59	111.42	N/A	N/A	17	27	36	27
2016-04-21	$44.81	$0.00	11.9%	3.4%	10.9%	1.6%	0.0%	1.4%	1.3%	4.4K	-8.6K	-363	1.59	110.91	N/A	N/A	17	27	36	27
2016-04-22	$44.97	$0.00	12.2%	3.5%	10.9%	1.8%	0.0%	0.9%	0.4%	4.9K	-1.7K	-346	1.59	112.44	N/A	N/A	17	27	36	27
2016-04-25	$44.78	$0.00	12.6%	3.6%	11.0%	2.1%	0.0%	0.9%	0.9%	4.7K	-262	-335	1.59	111.93	N/A	N/A	17	27	36	27
2016-04-26	$45.11	$0.00	12.3%	3.5%	10.8%	1.9%	0.0%	0.8%	1.6%	4.9K	-4.1K	-341	1.59	112.47	N/A	N/A	17	27	36	27
2016-04-27	$45.37	$0.00	12.0%	3.4%	10.9%	1.7%	0.0%	1.4%	2.1%	5.1K	-20.0K	-345	1.59	112.47	N/A	N/A	17	27	36	27
2016-04-28	$44.76	$0.00	15.4%	4.4%	12.1%	4.1%	0.0%	-0.7%	-1.5%	4.6K	-12.6K	-347	1.59	107.75	N/A	N/A	17	27	36	27
2016-04-29	$44.44	$0.00	13.1%	3.8%	12.3%	2.4%	0.0%	-1.8%	3.5%	4.5K	12.5K	-300	1.59	110.29	N/A	N/A	17	27	36	27