FEX Options History — August 2016

In August 2016, FEX traded between $46.23 and $47.27. ATM implied volatility averaged 10.9%, placing in the 1.6% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.0% (HV 20d: 7.9%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.18.

Notable Days

2016-08-31: Highest Volume — 37 contracts
2016-08-08: Largest IV spike — 45.7% change
2016-08-08: Highest IV Rank — 3.6%
2016-08-29: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.92	$46.23	$47.27	$46.70	$47.08
Max Pain	$42.61	$40.00	$43.00	$40.00	$43.00
ATM IV	10.9%	8.0%	14.1%	10.7%	10.4%
Expected Move	3.1%	2.3%	3.6%	3.1%	3.0%
HV 20d	7.9%	6.1%	9.8%	9.7%	6.1%
HV 60d	14.2%	13.9%	14.7%	14.5%	14.0%
IV Rank	1.6%	0.0%	3.6%	1.1%	1.8%
IV Percentile	11.1%	0.0%	33.7%	7.1%	7.5%
Term Structure	1.9%	-1.6%	6.2%	-1.6%	1.3%
VWIV	11.8%	9.0%	32.7%	32.7%	10.4%
Skew 25d	1.7%	-2.3%	4.1%	4.1%	1.4%
Skew 10d	3.5%	0.1%	18.5%	3.7%	2.5%
Call IV 25d	11.3%	7.4%	13.5%	11.8%	11.4%
Put IV 25d	13.0%	9.2%	15.9%	15.9%	12.8%
Bid-Ask Spread %	110.73	105.37	130.78	111.73	112.68
Gamma HHI	0.71	0.63	0.82	0.70	0.64
Net GEX	5.2K	4.2K	9.1K	4.2K	5.0K
Net DEX	-39.8K	-48.7K	-28.1K	-37.8K	-37.3K
Net VEX	-116	-166	-83	-122	-138
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	1.08	1.85	1.08	1.85
Total Volume	24.609	0	37	27	37
Total OI	27.696	26	32	26	32

Daily Data (23 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
2016-08-01	$46.70	$40.00	10.7%	3.1%	9.7%	1.1%	32.7%	4.1%	-1.6%	4.2K	-37.8K	-122	1.08	111.73	N/A	N/A	13	14	13	13
2016-08-02	$46.23	$40.00	12.0%	3.4%	9.7%	2.0%	0.0%	-2.3%	-0.5%	4.2K	-29.2K	-145	1.08	107.94	N/A	N/A	13	14	13	14
2016-08-03	$46.48	$40.00	11.6%	3.3%	9.8%	1.8%	0.0%	0.3%	1.1%	4.8K	-30.9K	-146	1.15	111.49	N/A	N/A	13	15	13	14
2016-08-04	$46.46	$43.00	14.0%	3.4%	9.8%	3.5%	12.1%	3.8%	2.5%	4.3K	-28.1K	-166	1.15	108.06	N/A	N/A	13	15	13	15
2016-08-05	$46.84	$43.00	9.7%	3.1%	8.0%	0.4%	9.7%	1.4%	2.1%	4.9K	-36.0K	-135	1.15	105.37	N/A	N/A	13	15	13	15
2016-08-08	$46.87	$43.00	14.1%	3.1%	7.9%	3.6%	10.2%	2.3%	1.5%	4.6K	-38.1K	-134	1.15	108.23	N/A	N/A	13	15	13	15
2016-08-09	$46.83	$43.00	9.3%	2.5%	7.4%	0.1%	9.8%	0.4%	4.5%	5.9K	-38.9K	-131	1.15	107.05	N/A	N/A	13	15	13	15
2016-08-10	$46.73	$43.00	10.9%	3.1%	7.5%	1.2%	10.6%	2.3%	1.6%	5.3K	-36.3K	-127	1.15	107.19	N/A	N/A	13	15	13	15
2016-08-11	$47.09	$43.00	9.0%	2.6%	7.8%	0.0%	10.2%	-0.0%	6.1%	7.2K	-44.5K	-109	1.15	107.94	N/A	N/A	13	15	13	15
2016-08-12	$47.07	$43.00	10.2%	2.9%	7.7%	0.9%	10.0%	1.9%	3.0%	5.4K	-41.3K	-123	1.15	110.31	N/A	N/A	13	15	13	15
2016-08-15	$47.22	$43.00	10.4%	3.0%	7.8%	1.0%	10.8%	2.2%	3.3%	4.3K	-43.8K	-112	1.15	110.00	N/A	N/A	13	15	13	15
2016-08-16	$46.93	$43.00	11.6%	3.3%	8.1%	1.9%	9.6%	2.2%	1.2%	4.4K	-42.1K	-111	1.15	108.08	N/A	N/A	13	15	13	15
2016-08-17	$46.92	$43.00	11.1%	3.2%	7.9%	1.5%	0.0%	0.5%	1.9%	5.6K	-41.0K	-102	0.00	109.17	N/A	N/A	0	0	13	15
2016-08-18	$47.07	$43.00	8.0%	2.3%	7.7%	0.0%	0.0%	2.7%	6.2%	9.1K	-48.7K	-83	0.00	108.42	N/A	N/A	0	0	13	15
2016-08-19	$47.09	$43.00	10.0%	2.9%	7.4%	1.5%	10.5%	2.3%	3.9%	4.2K	-38.5K	-117	1.15	109.39	N/A	N/A	13	15	13	15
2016-08-22	$47.07	$43.00	9.6%	2.7%	7.4%	1.2%	9.0%	4.0%	1.1%	5.2K	-40.3K	-101	1.08	111.48	N/A	N/A	13	14	13	14
2016-08-23	$47.27	$43.00	10.7%	3.1%	7.4%	2.0%	13.2%	1.6%	0.7%	5.0K	-46.5K	-91	1.08	112.83	N/A	N/A	13	14	13	14
2016-08-24	$47.02	$43.00	10.6%	3.0%	7.4%	1.9%	0.0%	1.5%	1.6%	5.1K	-44.0K	-98	0.00	130.78	N/A	N/A	0	0	13	14
2016-08-25	$47.02	$43.00	11.3%	3.2%	7.3%	2.4%	12.7%	1.9%	0.8%	5.7K	-43.0K	-100	1.08	112.61	N/A	N/A	13	14	13	14
2016-08-26	$46.86	$43.00	11.9%	3.4%	7.4%	2.8%	10.3%	1.3%	0.1%	5.3K	-41.4K	-101	1.08	110.94	N/A	N/A	13	14	13	14
2016-08-29	$47.15	$43.00	12.6%	3.6%	7.4%	3.3%	11.2%	1.0%	-1.1%	6.0K	-42.9K	-98	1.08	111.56	N/A	N/A	13	14	13	14
2016-08-30	$47.16	$43.00	10.4%	3.0%	6.3%	1.8%	9.9%	2.7%	2.7%	4.5K	-43.9K	-84	1.46	113.53	N/A	N/A	13	19	13	14
2016-08-31	$47.08	$43.00	10.4%	3.0%	6.1%	1.8%	10.4%	1.4%	1.3%	5.0K	-37.3K	-138	1.85	112.68	N/A	N/A	13	24	13	19