FEX Options History — January 2017

Name: FEX Options Analytics - January 2017
Creator: Options Analysis Suite

In January 2017, FEX traded between $49.06 and $50.38. ATM implied volatility averaged 18.4%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 8.5% (HV 20d: 9.9%). Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 9.50.

Notable Days

2017-01-03: Highest Volume — 21 contracts
2017-01-23: Largest IV spike — 371.8% change
2017-01-12: Highest IV Rank — 100.0%
2017-01-23: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.64	$49.06	$50.38	$49.06	$49.92
ATM IV	18.4%	10.0%	48.7%	12.8%	11.6%
Expected Move	6.3%	2.9%	14.0%	3.7%	3.3%
HV 20d	9.9%	9.1%	11.8%	11.0%	9.1%
HV 60d	10.2%	10.0%	10.6%	10.3%	10.0%
IV Rank	31.5%	5.6%	100.0%	22.0%	8.9%
IV Percentile	43.5%	7.1%	100.0%	39.7%	26.2%
Term Structure	-9.1%	-35.0%	25.3%	25.3%	-1.5%
Skew 25d	11.2%	1.1%	36.2%	1.1%	27.4%
Skew 10d	6.1%	0.5%	40.4%	5.0%	10.7%
Call IV 25d	12.4%	10.8%	15.4%	15.4%	12.9%
Put IV 25d	23.6%	12.8%	49.3%	16.6%	40.3%
Bid-Ask Spread %	116.78	111.13	119.07	114.72	116.68
Gamma HHI	0.52	0.26	0.81	0.26	0.41
Net GEX	-3	-1.8K	534	-1.8K	86
Net DEX	-7.3K	-9.3K	-225	-225	-8.4K
Net VEX	-23	-81	-7	-81	-13
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.50	9.50	9.50	9.50	9.50
Total Volume	21	21	21	21	21
Total OI	40	40	40	40	40

Daily Data (20 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
2017-01-03	$49.06	$0.00	12.8%	3.7%	11.0%	22.0%	0.0%	1.1%	25.3%	-1.8K	-225	-81	9.50	114.72	N/A	N/A	2	19	2	38
2017-01-04	$49.67	$0.00	10.0%	2.9%	11.5%	9.5%	0.0%	1.7%	1.2%	208	-8.0K	-19	9.50	117.28	N/A	N/A	2	19	2	38
2017-01-05	$49.35	$0.00	11.7%	11.1%	11.8%	17.3%	0.0%	3.7%	-23.2%	-916	-3.0K	-60	9.50	111.13	N/A	N/A	2	19	2	38
2017-01-06	$49.58	$0.00	13.6%	2.9%	10.1%	25.8%	0.0%	3.7%	0.0%	-615	-4.0K	-51	9.50	114.95	N/A	N/A	2	19	2	38
2017-01-09	$49.30	$0.00	14.6%	11.2%	10.1%	30.3%	0.0%	2.4%	-25.5%	-249	-6.2K	-31	9.50	117.30	N/A	N/A	2	19	2	38
2017-01-10	$49.48	$0.00	13.9%	11.3%	10.2%	27.3%	0.0%	2.9%	-25.4%	120	-7.9K	-15	9.50	117.34	N/A	N/A	2	19	2	38
2017-01-11	$49.57	$0.00	12.5%	3.6%	10.0%	22.7%	0.0%	8.9%	-2.4%	478	-8.2K	-13	9.50	116.47	N/A	N/A	2	19	2	38
2017-01-12	$49.49	$0.00	40.6%	11.6%	9.8%	100.0%	0.0%	10.6%	-26.6%	534	-8.3K	-12	9.50	116.17	N/A	N/A	2	19	2	38
2017-01-13	$49.63	$0.00	11.4%	3.3%	9.4%	10.6%	0.0%	7.8%	-2.4%	48	-8.0K	-16	9.50	116.90	N/A	N/A	2	19	2	38
2017-01-17	$49.37	$0.00	43.9%	12.6%	9.5%	100.0%	0.0%	1.8%	-31.8%	-26	-7.2K	-22	9.50	115.94	N/A	N/A	2	19	2	38
2017-01-18	$49.57	$0.00	10.4%	3.0%	9.4%	6.8%	0.0%	3.5%	0.3%	439	-8.4K	-12	9.50	117.60	N/A	N/A	2	19	2	38
2017-01-19	$49.36	$0.00	45.3%	13.0%	9.5%	100.0%	0.0%	2.0%	-31.8%	39	-7.5K	-20	9.50	116.85	N/A	N/A	2	19	2	38
2017-01-20	$49.54	$0.00	10.3%	3.0%	9.4%	6.3%	0.0%	2.6%	-0.3%	441	-8.4K	-12	9.50	118.29	N/A	N/A	2	19	2	38
2017-01-23	$49.44	$0.00	48.7%	14.0%	9.3%	100.0%	0.0%	12.4%	-35.0%	167	-8.1K	-14	9.50	116.93	N/A	N/A	2	19	2	38
2017-01-24	$49.99	$0.00	10.3%	2.9%	9.8%	5.6%	0.0%	20.5%	1.7%	451	-9.0K	-9	9.50	118.39	N/A	N/A	2	19	2	38
2017-01-25	$50.38	$0.00	12.4%	3.6%	10.1%	10.9%	0.0%	32.0%	-1.5%	351	-8.8K	-10	9.50	117.61	N/A	N/A	2	19	2	38
2017-01-26	$50.27	$0.00	11.4%	3.3%	10.1%	8.4%	0.0%	36.2%	-1.5%	-324	-7.2K	-25	9.50	119.07	N/A	N/A	2	19	2	38
2017-01-27	$50.08	$0.00	10.9%	3.1%	9.2%	7.3%	0.0%	27.1%	-0.9%	139	-9.3K	-7	9.50	118.98	N/A	N/A	2	19	2	38
2017-01-30	$49.81	$0.00	12.1%	3.5%	9.5%	10.2%	0.0%	16.2%	-0.5%	340	-9.1K	-8	9.50	117.00	N/A	N/A	2	19	2	38
2017-01-31	$49.92	$0.00	11.6%	3.3%	9.1%	8.9%	0.0%	27.4%	-1.5%	86	-8.4K	-13	9.50	116.68	N/A	N/A	2	19	2	38