FEX Options History — October 2016

Name: FEX Options Analytics - October 2016
Creator: Options Analysis Suite

In October 2016, FEX traded between $45.61 and $46.61. ATM implied volatility averaged 13.4%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.3% (HV 20d: 11.1%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 13.69.

Notable Days

2016-10-28: Highest Volume — 32 contracts
2016-10-28: Largest IV spike — 39.1% change
2016-10-31: Highest IV Rank — 6.1%
2016-10-31: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.10	$45.61	$46.61	$46.59	$45.92
ATM IV	13.4%	11.1%	16.3%	11.7%	16.3%
Expected Move	3.9%	3.2%	4.7%	3.3%	4.7%
HV 20d	11.1%	8.7%	15.4%	15.2%	8.7%
HV 60d	10.6%	10.4%	10.8%	10.4%	10.5%
IV Rank	3.9%	2.2%	6.1%	2.7%	6.1%
IV Percentile	40.8%	17.1%	71.4%	22.2%	71.4%
Term Structure	-0.1%	-3.0%	4.2%	-0.5%	-3.0%
Skew 25d	3.6%	0.2%	7.7%	2.4%	4.3%
Skew 10d	4.6%	0.2%	21.4%	3.4%	5.2%
Call IV 25d	12.3%	9.9%	16.0%	12.8%	16.0%
Put IV 25d	15.9%	12.7%	20.3%	15.3%	20.3%
Bid-Ask Spread %	110.39	102.16	117.80	110.22	115.74
Gamma HHI	0.38	0.32	0.44	0.38	0.43
Net GEX	-4.0K	-5.0K	-2.8K	-2.9K	-4.6K
Net DEX	36.9K	23.1K	45.8K	25.8K	44.4K
Net VEX	-339	-392	-263	-276	-368
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	13.69	11.50	15.00	11.50	15.00
Total Volume	29.381	25	32	25	32
Total OI	46.381	39	51	39	51

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
2016-10-03	$46.59	$0.00	11.7%	3.3%	15.2%	2.7%	0.0%	2.4%	-0.5%	-2.9K	25.8K	-276	11.50	110.22	N/A	N/A	2	23	2	37
2016-10-04	$46.31	$0.00	12.9%	3.7%	15.3%	3.6%	0.0%	2.0%	4.2%	-3.0K	26.3K	-280	11.50	109.29	N/A	N/A	2	23	2	37
2016-10-05	$46.59	$0.00	11.9%	3.4%	15.4%	2.8%	0.0%	3.4%	-1.4%	-3.3K	27.0K	-290	11.50	110.59	N/A	N/A	2	23	2	37
2016-10-06	$46.61	$0.00	12.6%	3.4%	15.4%	3.4%	0.0%	4.3%	0.2%	-3.3K	26.8K	-280	11.50	107.33	N/A	N/A	2	23	2	37
2016-10-07	$46.39	$0.00	11.1%	3.9%	12.5%	2.2%	0.0%	2.7%	0.2%	-2.8K	23.1K	-266	11.50	102.16	N/A	N/A	2	23	2	37
2016-10-10	$46.58	$0.00	11.5%	3.2%	11.6%	2.6%	0.0%	7.7%	0.4%	-3.2K	23.9K	-263	11.50	109.06	N/A	N/A	2	23	2	37
2016-10-11	$45.88	$0.00	13.1%	4.1%	10.9%	3.7%	0.0%	2.7%	-0.6%	-3.2K	30.2K	-294	14.50	107.47	N/A	N/A	2	29	2	37
2016-10-12	$45.96	$0.00	14.3%	4.1%	10.9%	4.6%	0.0%	4.2%	-0.4%	-4.6K	43.4K	-390	14.50	109.74	N/A	N/A	2	29	2	48
2016-10-13	$45.82	$0.00	13.7%	3.9%	10.1%	4.2%	0.0%	5.6%	0.7%	-5.0K	45.8K	-387	14.50	106.70	N/A	N/A	2	29	2	48
2016-10-14	$45.83	$0.00	14.7%	4.2%	10.0%	4.9%	0.0%	7.1%	-0.3%	-4.7K	44.3K	-392	14.50	108.02	N/A	N/A	2	29	2	48
2016-10-17	$45.61	$0.00	14.4%	4.1%	10.0%	4.7%	0.0%	3.4%	0.2%	-4.6K	44.9K	-390	14.50	109.05	N/A	N/A	2	29	2	48
2016-10-18	$45.94	$0.00	13.6%	3.9%	10.4%	4.1%	0.0%	4.1%	0.7%	-4.5K	42.7K	-374	14.50	109.95	N/A	N/A	2	29	2	48
2016-10-19	$46.19	$0.00	13.3%	3.8%	10.1%	3.9%	0.0%	5.3%	0.3%	-4.7K	40.3K	-363	14.50	109.72	N/A	N/A	2	29	2	48
2016-10-20	$46.12	$0.00	13.2%	3.8%	9.8%	3.8%	0.0%	1.7%	0.3%	-4.4K	40.9K	-361	14.50	110.22	N/A	N/A	2	29	2	48
2016-10-21	$46.07	$0.00	12.3%	3.5%	9.6%	3.1%	0.0%	3.5%	0.5%	-4.5K	40.6K	-359	14.50	109.95	N/A	N/A	2	29	2	48
2016-10-24	$46.31	$0.00	15.1%	4.3%	9.4%	5.2%	0.0%	0.5%	-0.9%	-4.2K	38.8K	-355	14.50	115.09	N/A	N/A	2	29	2	48
2016-10-25	$45.99	$0.00	13.8%	4.0%	9.5%	4.2%	0.0%	1.3%	-1.6%	-4.4K	41.5K	-360	14.50	116.37	N/A	N/A	2	29	2	48
2016-10-26	$45.96	$0.00	14.0%	4.0%	9.4%	4.4%	0.0%	5.4%	-1.3%	-4.5K	41.5K	-353	14.50	115.53	N/A	N/A	2	29	2	48
2016-10-27	$45.71	$0.00	11.6%	3.3%	9.4%	2.7%	0.0%	0.2%	1.6%	-4.6K	37.1K	-343	14.50	108.24	N/A	N/A	2	29	2	48
2016-10-28	$45.73	$0.00	16.2%	4.6%	8.7%	6.0%	0.0%	4.3%	-2.5%	-3.6K	45.3K	-370	15.00	117.80	N/A	N/A	2	30	2	48
2016-10-31	$45.92	$0.00	16.3%	4.7%	8.7%	6.1%	0.0%	4.3%	-3.0%	-4.6K	44.4K	-368	15.00	115.74	N/A	N/A	2	30	2	49