FEX Options History — December 2016

In December 2016, FEX traded between $48.13 and $49.90. ATM implied volatility averaged 13.7%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 4.0% (HV 20d: 9.7%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 8.93.

Notable Days

2016-12-01: Highest Volume — 38 contracts
2016-12-14: Largest IV drop — 56.9% change
2016-12-13: Highest IV Rank — 71.2%
2016-12-01: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.24	$48.13	$49.90	$48.13	$48.64
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	13.7%	10.1%	23.4%	15.1%	13.4%
Expected Move	3.4%	2.8%	4.3%	4.3%	3.8%
HV 20d	9.7%	7.8%	10.7%	10.3%	10.6%
HV 60d	10.4%	10.0%	12.1%	12.1%	10.2%
IV Rank	23.7%	5.0%	71.2%	5.2%	25.0%
IV Percentile	45.0%	7.9%	98.0%	68.3%	47.2%
Term Structure	7.7%	-6.0%	22.7%	-6.0%	19.7%
VWIV	22.7%	21.8%	23.6%	21.8%	23.6%
Skew 25d	2.1%	-0.3%	5.0%	0.0%	3.0%
Skew 10d	3.4%	0.6%	10.7%	1.2%	3.9%
Call IV 25d	12.5%	9.4%	16.5%	16.5%	13.8%
Put IV 25d	14.6%	10.7%	18.4%	16.5%	16.8%
Bid-Ask Spread %	133.71	111.51	166.74	117.56	115.30
Gamma HHI	0.28	0.25	0.45	0.25	0.28
Net GEX	-2.0K	-3.7K	-376	-3.7K	-2.7K
Net DEX	-709	-15.1K	16.4K	16.4K	10.5K
Net VEX	-124	-266	-30	-266	-156
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.93	8.50	9.50	8.50	9.50
Total Volume	30.714	21	38	38	21
Total OI	49.714	40	57	57	40

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
2016-12-01	$48.13	$45.00	15.1%	4.3%	10.3%	5.2%	21.8%	0.0%	-6.0%	-3.7K	16.4K	-266	8.50	117.56	N/A	N/A	4	34	4	53
2016-12-02	$48.19	$45.00	14.9%	4.3%	9.7%	5.0%	23.6%	2.4%	0.3%	-3.6K	7.3K	-215	8.50	118.28	N/A	N/A	4	34	4	53
2016-12-05	$48.54	$0.00	14.5%	3.2%	9.7%	30.2%	0.0%	4.2%	0.3%	-3.6K	11.7K	-242	8.50	111.51	N/A	N/A	4	34	4	53
2016-12-06	$48.75	$0.00	16.0%	3.2%	7.8%	36.9%	0.0%	5.0%	0.8%	-3.1K	7.9K	-223	8.50	133.34	N/A	N/A	4	34	4	53
2016-12-07	$49.61	$0.00	12.2%	2.8%	9.2%	19.3%	0.0%	3.7%	0.7%	-2.1K	-3.7K	-145	8.50	135.51	N/A	N/A	4	34	4	53
2016-12-08	$49.88	$0.00	14.2%	3.3%	8.9%	28.9%	0.0%	1.6%	1.2%	-2.1K	-2.3K	-159	8.50	135.58	N/A	N/A	4	34	4	53
2016-12-09	$49.88	$0.00	18.1%	3.1%	8.9%	46.5%	0.0%	2.2%	1.7%	-510	-15.1K	-41	8.50	136.38	N/A	N/A	4	34	4	53
2016-12-12	$49.60	$0.00	16.8%	3.3%	9.4%	40.8%	0.0%	1.5%	0.5%	-1.9K	-8.6K	-108	8.50	130.71	N/A	N/A	4	34	4	53
2016-12-13	$49.90	$0.00	23.4%	3.7%	9.4%	71.2%	0.0%	4.5%	-0.0%	-498	-14.4K	-44	8.50	155.66	N/A	N/A	4	34	4	53
2016-12-14	$49.51	$0.00	10.1%	2.9%	9.7%	9.8%	0.0%	1.1%	1.8%	-1.8K	-10.0K	-89	8.50	163.32	N/A	N/A	4	34	4	53
2016-12-15	$49.68	$0.00	10.7%	3.1%	9.5%	12.6%	0.0%	2.5%	1.6%	-2.2K	-8.7K	-100	8.50	165.84	N/A	N/A	4	34	4	53
2016-12-16	$49.39	$0.00	11.4%	3.3%	9.7%	15.7%	0.0%	0.9%	1.2%	-1.8K	-8.2K	-111	8.50	165.58	N/A	N/A	4	34	4	53
2016-12-19	$49.45	$0.00	11.1%	3.2%	9.6%	14.6%	0.0%	1.9%	19.4%	-2.3K	8.1K	-156	9.50	166.74	N/A	N/A	2	19	2	38
2016-12-20	$49.69	$0.00	11.7%	3.4%	9.6%	17.2%	0.0%	1.7%	-1.2%	-376	-6.2K	-30	9.50	160.67	N/A	N/A	2	19	2	38
2016-12-21	$49.47	$0.00	13.1%	3.7%	9.8%	23.5%	0.0%	1.0%	19.4%	-1.0K	-2.6K	-71	9.50	115.60	N/A	N/A	2	19	2	38
2016-12-22	$49.16	$0.00	11.1%	3.2%	10.1%	14.2%	0.0%	1.7%	20.1%	-1.1K	-2.1K	-71	9.50	117.19	N/A	N/A	2	19	2	38
2016-12-23	$49.28	$0.00	11.5%	3.3%	10.1%	16.0%	0.0%	2.0%	19.6%	-1.2K	-977	-83	9.50	118.07	N/A	N/A	2	19	2	38
2016-12-27	$49.50	$0.00	12.2%	3.5%	9.7%	19.6%	0.0%	1.8%	19.5%	-1.4K	-2.9K	-64	9.50	117.41	N/A	N/A	2	19	2	38
2016-12-28	$48.94	$0.00	12.6%	3.6%	10.7%	21.2%	0.0%	-0.3%	19.2%	-1.9K	2.0K	-102	9.50	116.14	N/A	N/A	2	19	2	38
2016-12-29	$48.92	$0.00	13.0%	3.7%	10.7%	23.1%	0.0%	1.0%	22.7%	-2.3K	6.8K	-133	9.50	111.56	N/A	N/A	2	19	2	38
2016-12-30	$48.64	$0.00	13.4%	3.8%	10.6%	25.0%	0.0%	3.0%	19.7%	-2.7K	10.5K	-156	9.50	115.30	N/A	N/A	2	19	2	38