FEX Options History — July 2016

In July 2016, FEX traded between $44.64 and $47.04. ATM implied volatility averaged 11.9%, placing in the 1.8% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 7.4% (HV 20d: 19.3%). Max pain ranged from $40.00 to $46.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.05.

Notable Days

2016-07-05: Highest Volume — 28 contracts
2016-07-12: Largest IV spike — 66.1% change
2016-07-12: Highest IV Rank — 9.3%
2016-07-05: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.22	$44.64	$47.04	$45.10	$46.97
Max Pain	$40.30	$40.00	$46.00	$46.00	$40.00
ATM IV	11.9%	9.2%	22.4%	12.1%	9.7%
Expected Move	3.2%	2.6%	3.9%	3.5%	2.8%
HV 20d	19.3%	9.4%	22.6%	21.3%	9.4%
HV 60d	14.9%	14.4%	15.2%	14.7%	14.4%
IV Rank	1.8%	0.0%	9.3%	1.7%	0.4%
IV Percentile	13.5%	0.0%	80.6%	11.9%	1.2%
Term Structure	0.8%	-2.0%	3.2%	1.0%	0.2%
VWIV	22.3%	12.7%	29.0%	12.7%	29.0%
Skew 25d	2.6%	1.3%	4.9%	1.7%	4.4%
Skew 10d	4.9%	0.6%	20.0%	2.2%	3.2%
Call IV 25d	11.1%	8.3%	14.7%	12.5%	10.8%
Put IV 25d	13.7%	11.4%	18.0%	14.2%	15.2%
Bid-Ask Spread %	110.08	100.21	113.70	113.70	112.04
Gamma HHI	0.76	0.64	0.93	0.78	0.75
Net GEX	10.5K	3.6K	30.5K	9.7K	5.6K
Net DEX	-48.4K	-133.7K	-7.9K	-10.0K	-38.4K
Net VEX	-163	-224	-129	-153	-129
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.87	3.25	3.25	1.00
Total Volume	26.45	17	28	17	26
Total OI	35.8	26	48	35	26

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
2016-07-01	$45.10	$46.00	12.1%	3.5%	21.3%	1.7%	12.7%	1.7%	1.0%	9.7K	-10.0K	-153	3.25	113.70	N/A	N/A	4	13	22	13
2016-07-05	$44.64	$40.00	15.5%	3.9%	21.5%	4.2%	15.9%	3.0%	0.2%	7.5K	-7.9K	-152	0.87	105.97	N/A	N/A	15	13	24	13
2016-07-06	$44.80	$40.00	14.9%	3.7%	21.5%	3.7%	19.2%	3.8%	0.8%	10.6K	-22.0K	-217	0.87	108.13	N/A	N/A	15	13	35	13
2016-07-07	$44.86	$40.00	13.1%	3.7%	21.5%	2.5%	19.3%	4.9%	1.4%	12.9K	-26.0K	-221	0.87	106.03	N/A	N/A	15	13	35	13
2016-07-08	$45.70	$40.00	9.6%	3.2%	22.6%	0.0%	20.7%	2.9%	0.7%	19.9K	-51.8K	-224	0.87	103.91	N/A	N/A	15	13	35	13
2016-07-11	$45.92	$40.00	13.5%	3.2%	22.1%	2.8%	17.1%	1.7%	1.8%	30.5K	-69.9K	-211	0.87	100.21	N/A	N/A	15	13	35	13
2016-07-12	$46.29	$40.00	22.4%	3.4%	21.9%	9.3%	0.0%	3.6%	0.3%	24.0K	-89.1K	-195	0.87	107.55	N/A	N/A	15	13	35	13
2016-07-13	$46.34	$40.00	11.6%	3.3%	21.7%	1.5%	0.0%	1.3%	1.5%	27.8K	-100.0K	-185	0.87	111.64	N/A	N/A	15	13	35	13
2016-07-14	$46.56	$40.00	9.2%	2.6%	21.7%	0.0%	0.0%	2.1%	1.6%	20.6K	-107.0K	-172	0.87	111.67	N/A	N/A	15	13	35	13
2016-07-15	$46.46	$40.00	11.9%	3.4%	21.8%	2.0%	0.0%	1.9%	0.7%	3.6K	-133.7K	-151	0.87	112.49	N/A	N/A	15	13	35	13
2016-07-18	$46.58	$40.00	10.6%	3.0%	21.8%	1.1%	0.0%	1.7%	-1.8%	4.0K	-32.6K	-140	1.00	110.53	N/A	N/A	13	13	13	13
2016-07-19	$46.48	$40.00	10.3%	3.0%	21.7%	0.8%	25.1%	2.6%	3.2%	3.7K	-32.3K	-140	1.00	113.67	N/A	N/A	13	13	13	13
2016-07-20	$46.74	$40.00	9.9%	2.8%	21.7%	0.5%	26.2%	2.1%	1.7%	4.7K	-35.3K	-133	1.00	113.07	N/A	N/A	13	13	13	13
2016-07-21	$46.53	$40.00	10.8%	3.1%	21.7%	1.2%	26.4%	2.7%	-1.9%	3.7K	-30.9K	-157	1.00	110.60	N/A	N/A	13	13	13	13
2016-07-22	$46.82	$40.00	10.6%	3.0%	21.3%	1.0%	27.3%	1.7%	2.3%	4.0K	-35.1K	-138	1.00	113.01	N/A	N/A	13	13	13	13
2016-07-25	$46.80	$40.00	10.6%	3.0%	16.8%	1.0%	28.8%	1.9%	1.9%	4.4K	-34.8K	-148	1.00	113.41	N/A	N/A	13	13	13	13
2016-07-26	$47.04	$40.00	10.6%	3.0%	12.2%	1.0%	0.0%	1.4%	1.0%	4.1K	-37.5K	-138	1.00	113.03	N/A	N/A	13	13	13	13
2016-07-27	$46.80	$40.00	11.8%	3.4%	11.8%	1.9%	29.0%	3.4%	-2.0%	3.9K	-35.6K	-130	1.00	111.79	N/A	N/A	13	13	13	13
2016-07-28	$46.95	$40.00	9.6%	2.7%	10.4%	0.3%	0.0%	3.7%	1.6%	5.3K	-37.8K	-133	1.00	109.14	N/A	N/A	13	13	13	13
2016-07-29	$46.97	$40.00	9.7%	2.8%	9.4%	0.4%	0.0%	4.4%	0.2%	5.6K	-38.4K	-129	1.00	112.04	N/A	N/A	13	13	13	13