FEX Options History — June 2016

In June 2016, FEX traded between $42.70 and $45.70. ATM implied volatility averaged 14.9%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.3% (HV 20d: 11.6%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.48.

Notable Days

2016-06-13: Highest Volume — 57 contracts
2016-06-24: Largest IV spike — 76.3% change
2016-06-27: Highest IV Rank — 8.0%
2016-06-27: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.77	$42.70	$45.70	$45.21	$44.93
Max Pain	$46.00	$46.00	$46.00	$46.00	$46.00
ATM IV	14.9%	10.5%	20.8%	11.2%	14.3%
Expected Move	4.3%	2.9%	6.0%	3.2%	4.1%
HV 20d	11.6%	8.4%	21.2%	10.3%	21.2%
HV 60d	11.6%	10.5%	15.0%	11.5%	15.0%
IV Rank	3.8%	0.6%	8.0%	1.0%	3.3%
IV Percentile	33.0%	2.0%	73.0%	5.2%	27.0%
Term Structure	0.7%	-2.0%	3.8%	0.6%	-0.5%
VWIV	14.5%	10.8%	19.9%	10.8%	12.7%
Skew 25d	4.9%	0.1%	8.7%	0.7%	6.1%
Skew 10d	8.1%	-0.6%	28.7%	-0.6%	28.7%
Call IV 25d	13.2%	9.7%	21.5%	11.8%	12.8%
Put IV 25d	18.2%	12.4%	24.7%	12.4%	18.8%
Bid-Ask Spread %	106.18	99.42	113.93	113.93	109.05
Gamma HHI	0.70	0.42	0.88	0.87	0.74
Net GEX	6.2K	-747	11.3K	10.1K	7.7K
Net DEX	5.7K	-44.8K	78.6K	11.9K	-10.8K
Net VEX	-151	-193	-93	-151	-164
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.48	0.55	6.00	1.59	0.59
Total Volume	42.5	14	57	44	35
Total OI	52.182	14	76	63	35

Daily Data (22 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
2016-06-01	$45.21	$46.00	11.2%	3.2%	10.3%	1.0%	10.8%	0.7%	0.6%	10.1K	11.9K	-151	1.59	113.93	N/A	N/A	17	27	36	27
2016-06-02	$45.38	$0.00	11.1%	3.6%	9.9%	1.0%	0.0%	3.9%	2.1%	9.7K	-2.3K	-162	1.59	99.42	N/A	N/A	17	27	36	27
2016-06-03	$45.27	$0.00	10.5%	3.4%	9.9%	0.6%	0.0%	0.2%	2.6%	7.5K	-4.1K	-166	1.59	107.06	N/A	N/A	17	27	36	27
2016-06-06	$45.42	$0.00	11.7%	3.8%	9.9%	1.4%	0.0%	3.6%	1.5%	7.6K	-12.6K	-153	1.59	102.55	N/A	N/A	17	27	36	27
2016-06-07	$45.56	$0.00	13.2%	2.9%	9.9%	2.5%	0.0%	4.4%	1.8%	7.3K	-44.8K	-153	1.42	109.29	N/A	N/A	19	27	36	27
2016-06-08	$45.70	$0.00	11.1%	3.2%	9.1%	1.0%	0.0%	1.9%	1.6%	8.4K	-44.8K	-167	1.42	103.43	N/A	N/A	19	27	38	27
2016-06-09	$45.62	$0.00	11.1%	3.2%	8.4%	1.0%	0.0%	3.4%	2.5%	7.6K	-33.3K	-164	1.42	102.88	N/A	N/A	19	27	38	27
2016-06-10	$45.05	$0.00	14.4%	4.1%	9.7%	3.4%	0.0%	2.9%	1.3%	10.5K	17.0K	-118	1.42	107.76	N/A	N/A	19	27	38	27
2016-06-13	$44.61	$0.00	15.4%	4.4%	9.9%	4.1%	0.0%	7.3%	1.0%	11.3K	16.7K	-93	2.00	103.60	N/A	N/A	19	38	38	27
2016-06-14	$44.38	$0.00	17.8%	5.1%	9.7%	5.8%	0.0%	2.8%	1.2%	7.6K	64.3K	-153	2.00	105.80	N/A	N/A	19	38	38	38
2016-06-15	$44.37	$0.00	17.3%	4.9%	9.6%	5.4%	0.0%	6.7%	0.6%	7.8K	66.2K	-144	2.00	106.57	N/A	N/A	19	38	38	38
2016-06-16	$44.49	$0.00	17.8%	5.1%	9.3%	5.9%	0.0%	7.9%	1.2%	8.0K	58.4K	-148	2.00	106.22	N/A	N/A	19	38	38	38
2016-06-17	$44.50	$0.00	17.3%	5.0%	9.2%	5.5%	0.0%	8.4%	-0.4%	-743	78.6K	-130	2.00	106.51	N/A	N/A	19	38	38	38
2016-06-20	$44.88	$0.00	16.4%	4.7%	9.4%	4.8%	0.0%	5.0%	-1.8%	-744	4.5K	-112	6.00	106.25	N/A	N/A	2	12	2	12
2016-06-21	$45.04	$0.00	15.7%	4.5%	9.4%	4.3%	12.0%	6.9%	-0.6%	-747	5.0K	-112	0.55	109.94	N/A	N/A	22	12	2	12
2016-06-22	$44.81	$46.00	16.5%	4.7%	8.4%	4.9%	12.1%	6.7%	-1.8%	7.4K	-18.8K	-193	0.55	106.97	N/A	N/A	22	12	22	12
2016-06-23	$45.41	$46.00	11.4%	3.3%	9.4%	1.2%	13.8%	8.7%	3.8%	9.8K	-25.6K	-182	0.55	106.60	N/A	N/A	22	12	22	12
2016-06-24	$43.89	$46.00	20.2%	5.8%	15.5%	7.5%	15.8%	7.3%	-2.0%	3.8K	-4.6K	-176	0.55	102.91	N/A	N/A	22	12	22	12
2016-06-27	$42.70	$46.00	20.8%	6.0%	17.8%	8.0%	19.9%	0.1%	0.9%	2.0K	473	-177	0.59	103.93	N/A	N/A	22	13	22	12
2016-06-28	$43.42	$46.00	18.0%	5.2%	19.1%	6.0%	18.9%	7.1%	-1.8%	1.3K	6.2K	-154	0.59	107.65	N/A	N/A	22	13	22	13
2016-06-29	$44.25	$46.00	15.1%	4.3%	20.5%	3.9%	14.1%	6.3%	0.4%	3.4K	-1.2K	-139	0.59	107.72	N/A	N/A	22	13	22	13
2016-06-30	$44.93	$46.00	14.3%	4.1%	21.2%	3.3%	12.7%	6.1%	-0.5%	7.7K	-10.8K	-164	0.59	109.05	N/A	N/A	22	13	22	13