FEX Options History — September 2016

In September 2016, FEX traded between $45.80 and $47.41. ATM implied volatility averaged 12.6%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.5% (HV 20d: 12.1%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 6.58.

Notable Days

2016-09-09: Highest Volume — 49 contracts
2016-09-13: Largest IV spike — 63.5% change
2016-09-13: Highest IV Rank — 8.6%
2016-09-13: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.61	$45.80	$47.41	$46.93	$46.86
Max Pain	$43.00	$43.00	$43.00	$43.00	$43.00
ATM IV	12.6%	9.2%	19.9%	12.1%	9.2%
Expected Move	3.6%	2.6%	4.3%	3.5%	2.6%
HV 20d	12.1%	6.0%	15.2%	6.2%	15.2%
HV 60d	13.2%	10.8%	15.4%	14.0%	11.0%
IV Rank	3.4%	0.9%	8.6%	3.0%	0.9%
IV Percentile	28.5%	1.2%	82.1%	23.8%	1.2%
Term Structure	1.2%	-0.6%	3.1%	-0.6%	1.9%
VWIV	12.7%	11.4%	14.1%	11.4%	14.1%
Skew 25d	2.6%	0.9%	8.3%	0.9%	3.1%
Skew 10d	3.6%	0.1%	15.9%	1.1%	0.7%
Call IV 25d	11.5%	9.1%	13.8%	12.2%	11.3%
Put IV 25d	14.1%	12.1%	17.4%	13.1%	14.5%
Bid-Ask Spread %	108.90	101.16	121.89	111.83	109.62
Gamma HHI	0.49	0.32	0.82	0.64	0.39
Net GEX	2.1K	-3.3K	25.4K	4.5K	-2.9K
Net DEX	3.5K	-35.8K	29.5K	-28.3K	22.5K
Net VEX	-273	-346	-170	-210	-259
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.58	1.85	11.50	1.85	11.50
Total Volume	33	25	49	37	25
Total OI	41.143	37	51	37	39

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
2016-09-01	$46.93	$43.00	12.1%	3.5%	6.2%	3.0%	11.4%	0.9%	-0.6%	4.5K	-28.3K	-210	1.85	111.83	N/A	N/A	13	24	13	24
2016-09-02	$47.24	$43.00	12.5%	3.6%	6.0%	3.3%	14.1%	0.9%	0.1%	5.7K	-34.9K	-189	1.85	112.16	N/A	N/A	13	24	13	24
2016-09-06	$47.26	$0.00	9.9%	3.7%	6.0%	1.4%	0.0%	2.0%	0.5%	3.3K	-35.1K	-180	1.85	101.16	N/A	N/A	13	24	13	24
2016-09-07	$47.41	$0.00	12.3%	3.1%	6.1%	3.2%	0.0%	1.4%	2.2%	2.7K	-34.6K	-182	1.85	107.00	N/A	N/A	13	24	13	24
2016-09-08	$47.30	$0.00	12.4%	3.6%	6.1%	3.2%	0.0%	4.4%	1.1%	3.2K	-35.8K	-170	1.85	106.36	N/A	N/A	13	24	13	24
2016-09-09	$46.12	$0.00	14.7%	4.0%	10.6%	4.9%	0.0%	3.0%	1.6%	3.0K	-11.6K	-214	2.77	103.36	N/A	N/A	13	36	13	24
2016-09-12	$46.76	$0.00	12.2%	3.3%	11.8%	3.0%	0.0%	8.3%	2.8%	7.4K	-10.0K	-325	2.77	103.13	N/A	N/A	13	36	13	37
2016-09-13	$45.91	$0.00	19.9%	4.3%	13.3%	8.6%	0.0%	1.7%	1.0%	6.9K	5.5K	-346	2.77	105.05	N/A	N/A	13	36	13	37
2016-09-14	$45.80	$0.00	14.3%	4.1%	13.2%	4.6%	0.0%	1.0%	1.7%	7.1K	7.8K	-346	1.85	106.11	N/A	N/A	13	24	13	37
2016-09-15	$46.34	$0.00	14.2%	4.1%	14.0%	4.6%	0.0%	3.9%	1.4%	5.0K	1.0K	-339	1.85	105.84	N/A	N/A	13	24	13	38
2016-09-16	$46.15	$0.00	14.0%	4.0%	14.0%	4.4%	0.0%	4.2%	1.2%	25.4K	-14.5K	-333	1.85	109.31	N/A	N/A	13	24	13	38
2016-09-19	$46.31	$0.00	14.4%	4.1%	14.1%	4.7%	0.0%	2.1%	1.1%	-3.2K	29.5K	-311	11.50	109.11	N/A	N/A	2	23	2	37
2016-09-20	$46.21	$0.00	14.4%	4.1%	14.1%	4.7%	0.0%	1.9%	0.9%	-3.0K	29.4K	-309	11.50	109.28	N/A	N/A	2	23	2	37
2016-09-21	$46.60	$0.00	9.5%	2.7%	14.3%	1.1%	0.0%	2.1%	2.1%	-3.2K	27.1K	-294	11.50	110.19	N/A	N/A	2	23	2	37
2016-09-22	$46.91	$0.00	10.7%	3.1%	14.5%	2.0%	0.0%	4.1%	0.5%	-3.0K	24.8K	-294	11.50	110.49	N/A	N/A	2	23	2	37
2016-09-23	$46.69	$0.00	9.8%	2.8%	14.6%	1.3%	0.0%	1.9%	1.5%	-2.9K	25.2K	-292	11.50	112.14	N/A	N/A	2	23	2	37
2016-09-26	$46.31	$0.00	12.9%	3.7%	14.8%	3.6%	0.0%	2.8%	1.4%	-3.1K	28.5K	-300	11.50	110.62	N/A	N/A	2	23	2	37
2016-09-27	$46.54	$0.00	11.1%	3.2%	14.7%	2.3%	0.0%	1.3%	-0.4%	-3.3K	27.4K	-290	11.50	110.88	N/A	N/A	2	23	2	37
2016-09-28	$46.70	$0.00	9.4%	2.7%	14.8%	1.0%	0.0%	1.6%	3.1%	-3.1K	24.2K	-278	11.50	111.37	N/A	N/A	2	23	2	37
2016-09-29	$46.44	$0.00	14.7%	4.2%	14.9%	4.9%	0.0%	2.1%	-0.5%	-2.8K	24.9K	-281	11.50	121.89	N/A	N/A	2	23	2	37
2016-09-30	$46.86	$0.00	9.2%	2.6%	15.2%	0.9%	0.0%	3.1%	1.9%	-2.9K	22.5K	-259	11.50	109.62	N/A	N/A	2	23	2	37