FEX Options History — May 2016

In May 2016, FEX traded between $43.73 and $45.18. ATM implied volatility averaged 13.6%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.0% (HV 20d: 11.6%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.59.

Notable Days

2016-05-02: Highest Volume — 44 contracts
2016-05-24: Largest IV drop — 32.4% change
2016-05-05: Highest IV Rank — 4.0%
2016-05-05: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.32	$43.73	$45.18	$44.77	$45.18
Max Pain	$46.00	$46.00	$46.00	$46.00	$46.00
ATM IV	13.6%	10.0%	15.3%	14.6%	11.9%
Expected Move	3.9%	2.9%	4.3%	4.2%	3.4%
HV 20d	11.6%	10.9%	12.4%	12.3%	11.0%
HV 60d	12.6%	11.5%	14.6%	14.6%	11.5%
IV Rank	2.8%	0.2%	4.0%	3.6%	1.6%
IV Percentile	16.5%	1.2%	27.0%	19.8%	7.1%
Term Structure	0.8%	-3.6%	2.4%	-3.6%	0.3%
VWIV	11.6%	10.6%	12.7%	11.8%	10.8%
Skew 25d	4.0%	-2.5%	7.6%	3.8%	1.0%
Skew 10d	5.4%	0.8%	17.1%	0.8%	1.2%
Call IV 25d	12.2%	9.6%	18.1%	14.1%	12.1%
Put IV 25d	16.2%	12.6%	19.8%	18.0%	13.1%
Bid-Ask Spread %	108.34	99.07	114.07	108.64	113.50
Gamma HHI	0.63	0.53	0.85	0.61	0.85
Net GEX	5.6K	4.3K	8.5K	5.7K	8.5K
Net DEX	28.7K	8.3K	56.1K	11.9K	12.7K
Net VEX	-201	-281	-119	-281	-159
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	1.59	1.59	1.59	1.59
Total Volume	44	44	44	44	44
Total OI	63	63	63	63	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
2016-05-02	$44.77	$0.00	14.6%	4.2%	12.3%	3.6%	0.0%	3.8%	-3.6%	5.7K	11.9K	-281	1.59	108.64	N/A	N/A	17	27	36	27
2016-05-03	$44.32	$0.00	13.4%	3.9%	12.1%	2.7%	0.0%	-2.5%	2.4%	4.8K	19.6K	-277	1.59	110.41	N/A	N/A	17	27	36	27
2016-05-04	$44.03	$0.00	14.9%	4.3%	12.0%	3.8%	0.0%	1.8%	0.4%	4.4K	29.6K	-262	1.59	110.55	N/A	N/A	17	27	36	27
2016-05-05	$43.91	$46.00	15.3%	4.3%	10.9%	4.0%	11.8%	3.6%	0.9%	4.3K	30.7K	-240	1.59	108.83	N/A	N/A	17	27	36	27
2016-05-06	$44.11	$46.00	14.3%	4.3%	11.0%	3.3%	11.5%	3.9%	1.5%	4.8K	31.3K	-230	1.59	99.75	N/A	N/A	17	27	36	27
2016-05-09	$44.16	$46.00	14.9%	4.2%	11.0%	3.8%	12.1%	4.1%	1.1%	4.8K	27.3K	-242	1.59	99.07	N/A	N/A	17	27	36	27
2016-05-10	$44.69	$46.00	14.2%	3.7%	11.5%	3.2%	11.2%	6.8%	0.9%	6.1K	23.7K	-234	1.59	105.70	N/A	N/A	17	27	36	27
2016-05-11	$44.28	$46.00	14.4%	4.1%	11.2%	3.4%	11.4%	4.3%	2.0%	5.2K	16.1K	-250	1.59	102.46	N/A	N/A	17	27	36	27
2016-05-12	$44.22	$46.00	13.9%	4.0%	11.1%	3.0%	11.3%	4.4%	2.2%	5.3K	29.7K	-215	1.59	105.67	N/A	N/A	17	27	36	27
2016-05-13	$43.85	$46.00	13.3%	3.8%	11.5%	2.6%	12.6%	7.6%	1.3%	4.9K	52.3K	-150	1.59	108.55	N/A	N/A	17	27	36	27
2016-05-16	$44.22	$46.00	13.6%	3.9%	11.7%	2.8%	10.6%	4.0%	1.9%	5.6K	33.1K	-184	1.59	109.58	N/A	N/A	17	27	36	27
2016-05-17	$44.10	$46.00	13.5%	3.9%	11.5%	2.7%	12.2%	6.6%	1.2%	5.3K	35.4K	-182	1.59	110.20	N/A	N/A	17	27	36	27
2016-05-18	$43.79	$46.00	14.0%	4.0%	11.7%	3.1%	12.6%	5.8%	1.4%	4.9K	56.1K	-119	1.59	109.94	N/A	N/A	17	27	36	27
2016-05-19	$43.73	$46.00	14.0%	4.0%	11.4%	3.1%	11.8%	5.9%	1.1%	4.8K	52.7K	-131	1.59	105.74	N/A	N/A	17	27	36	27
2016-05-20	$44.03	$46.00	13.7%	3.9%	11.6%	2.9%	12.0%	5.6%	1.2%	5.4K	40.0K	-158	1.59	110.73	N/A	N/A	17	27	36	27
2016-05-23	$43.97	$46.00	14.8%	4.3%	11.6%	3.7%	12.7%	4.5%	0.0%	5.4K	37.1K	-158	1.59	108.66	N/A	N/A	17	27	36	27
2016-05-24	$44.58	$46.00	10.0%	2.9%	12.4%	0.2%	10.6%	6.5%	1.8%	6.6K	30.4K	-167	1.59	112.01	N/A	N/A	17	27	36	27
2016-05-25	$44.84	$46.00	13.2%	3.8%	12.4%	2.5%	10.6%	4.5%	-0.6%	6.3K	14.8K	-189	1.59	109.58	N/A	N/A	17	27	36	27
2016-05-26	$44.81	$46.00	12.0%	3.4%	11.4%	1.6%	12.4%	0.0%	-1.0%	7.0K	8.3K	-206	1.59	111.58	N/A	N/A	17	27	36	27
2016-05-27	$45.10	$46.00	10.7%	3.1%	11.3%	0.7%	10.8%	1.6%	0.7%	8.3K	10.2K	-182	1.59	114.07	N/A	N/A	17	27	36	27
2016-05-31	$45.18	$46.00	11.9%	3.4%	11.0%	1.6%	10.8%	1.0%	0.3%	8.5K	12.7K	-159	1.59	113.50	N/A	N/A	17	27	36	27