FEX Options History — November 2016

In November 2016, FEX traded between $44.97 and $48.72. ATM implied volatility averaged 15.5%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.9% (HV 20d: 10.6%). Max pain ranged from $39.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 13.12.

Notable Days

2016-11-17: Highest Volume — 38 contracts
2016-11-09: Largest IV drop — 39.2% change
2016-11-04: Highest IV Rank — 10.1%
2016-11-02: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.27	$44.97	$48.72	$45.52	$48.46
Max Pain	$44.68	$39.00	$45.00	$39.00	$45.00
ATM IV	15.5%	12.6%	21.8%	19.0%	14.7%
Expected Move	4.2%	3.6%	5.9%	5.5%	4.2%
HV 20d	10.6%	8.8%	11.5%	9.0%	10.1%
HV 60d	11.6%	10.7%	12.1%	10.7%	12.0%
IV Rank	5.5%	3.4%	10.1%	8.0%	4.9%
IV Percentile	58.1%	36.1%	92.5%	84.9%	62.3%
Term Structure	-0.5%	-3.5%	3.6%	-3.5%	-3.0%
VWIV	18.5%	14.8%	28.8%	18.5%	22.3%
Skew 25d	3.7%	1.1%	9.2%	3.4%	2.1%
Skew 10d	-0.9%	-111.3%	11.5%	3.4%	3.4%
Call IV 25d	14.1%	10.5%	20.5%	16.9%	15.0%
Put IV 25d	17.8%	11.5%	27.8%	20.3%	17.1%
Bid-Ask Spread %	114.98	102.73	158.81	112.46	118.66
Gamma HHI	0.30	0.23	0.38	0.38	0.26
Net GEX	-4.5K	-6.3K	-3.0K	-4.9K	-3.5K
Net DEX	25.9K	-777	55.0K	48.0K	6.9K
Net VEX	-284	-400	-156	-382	-211
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	13.12	8.50	17.00	15.00	8.50
Total Volume	36.381	32	38	32	38
Total OI	55.095	51	57	51	57

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
2016-11-01	$45.52	$0.00	19.0%	5.5%	9.0%	8.0%	0.0%	3.4%	-3.5%	-4.9K	48.0K	-382	15.00	112.46	N/A	N/A	2	30	2	49
2016-11-02	$45.26	$0.00	20.7%	5.9%	8.8%	9.3%	0.0%	7.3%	-3.1%	-5.3K	53.3K	-395	15.00	113.30	N/A	N/A	2	30	2	49
2016-11-03	$44.97	$39.00	19.8%	5.0%	8.9%	8.6%	18.5%	9.2%	-0.6%	-5.2K	52.3K	-392	16.00	107.30	N/A	N/A	2	32	2	49
2016-11-04	$45.05	$45.00	21.8%	5.1%	8.9%	10.1%	18.3%	5.1%	-0.2%	-5.8K	55.0K	-400	17.00	102.73	N/A	N/A	2	34	2	51
2016-11-07	$45.94	$45.00	20.9%	4.5%	11.5%	9.4%	20.3%	3.5%	-0.2%	-5.8K	52.2K	-383	17.00	111.64	N/A	N/A	2	34	2	53
2016-11-08	$46.31	$45.00	20.9%	4.6%	10.6%	9.4%	15.5%	1.9%	-0.2%	-5.6K	42.8K	-344	17.00	110.92	N/A	N/A	2	34	2	53
2016-11-09	$46.75	$45.00	12.7%	3.6%	11.0%	3.4%	16.3%	6.9%	0.5%	-6.3K	34.4K	-304	17.00	112.29	N/A	N/A	2	34	2	53
2016-11-10	$47.08	$45.00	14.5%	4.2%	11.1%	4.8%	14.9%	5.5%	-0.3%	-4.9K	30.9K	-312	17.00	102.92	N/A	N/A	2	34	2	53
2016-11-11	$47.19	$45.00	13.2%	3.8%	11.1%	3.8%	16.2%	3.1%	0.8%	-5.1K	33.6K	-307	17.00	114.88	N/A	N/A	2	34	2	53
2016-11-14	$47.49	$45.00	14.6%	4.2%	11.0%	4.8%	17.6%	6.7%	-0.6%	-4.5K	24.0K	-279	17.00	111.78	N/A	N/A	2	34	2	53
2016-11-15	$47.93	$45.00	13.4%	3.9%	11.1%	4.0%	16.3%	3.1%	1.2%	-4.3K	22.7K	-262	17.00	106.77	N/A	N/A	2	34	2	53
2016-11-16	$47.77	$45.00	12.9%	3.7%	11.2%	3.6%	17.8%	2.3%	0.5%	-5.3K	26.7K	-273	17.00	116.86	N/A	N/A	2	34	2	53
2016-11-17	$48.13	$45.00	12.8%	3.7%	11.3%	3.5%	17.6%	2.9%	3.6%	-4.0K	18.4K	-243	8.50	115.09	N/A	N/A	4	34	2	53
2016-11-18	$48.04	$45.00	14.2%	4.1%	11.4%	4.5%	16.4%	1.8%	2.4%	-3.4K	12.8K	-265	8.50	116.22	N/A	N/A	4	34	4	53
2016-11-21	$48.28	$45.00	12.6%	3.6%	11.4%	3.4%	18.3%	2.8%	-0.4%	-3.4K	11.1K	-251	8.50	118.00	N/A	N/A	4	34	4	53
2016-11-22	$48.43	$45.00	12.8%	3.7%	10.9%	3.5%	14.8%	1.1%	0.6%	-3.3K	8.1K	-232	8.50	109.20	N/A	N/A	4	34	4	53
2016-11-23	$48.57	$45.00	13.5%	3.9%	10.8%	4.0%	18.9%	1.8%	-3.1%	-4.0K	-777	-156	8.50	117.91	N/A	N/A	4	34	4	53
2016-11-25	$48.72	$45.00	13.4%	3.8%	10.4%	3.9%	20.7%	3.0%	-0.5%	-3.0K	840	-174	8.50	118.42	N/A	N/A	4	34	4	53
2016-11-28	$48.37	$45.00	13.6%	3.9%	11.0%	4.1%	22.2%	1.4%	-0.7%	-3.1K	4.3K	-200	8.50	118.51	N/A	N/A	4	34	4	53
2016-11-29	$48.44	$45.00	14.3%	4.1%	11.0%	4.6%	28.8%	2.1%	-2.6%	-3.5K	5.7K	-191	8.50	158.81	N/A	N/A	4	34	4	53
2016-11-30	$48.46	$45.00	14.7%	4.2%	10.1%	4.9%	22.3%	2.1%	-3.0%	-3.5K	6.9K	-211	8.50	118.66	N/A	N/A	4	34	4	53