FEX Options History — February 2017

In February 2017, FEX traded between $49.87 and $52.02. ATM implied volatility averaged 11.5%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 4.1% (HV 20d: 7.3%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 9.50.

Notable Days

2017-02-01: Highest Volume — 21 contracts
2017-02-07: Largest IV spike — 38.5% change
2017-02-07: Highest IV Rank — 17.4%
2017-02-28: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.08	$49.87	$52.02	$49.87	$51.76
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	11.5%	9.6%	15.1%	12.3%	13.4%
Expected Move	3.2%	2.7%	3.8%	3.5%	3.8%
HV 20d	7.3%	6.2%	8.8%	8.8%	6.2%
HV 60d	9.1%	8.8%	9.9%	9.9%	8.9%
IV Rank	8.6%	3.9%	17.4%	10.5%	13.4%
IV Percentile	28.5%	3.2%	77.4%	37.7%	59.5%
Term Structure	0.7%	-2.2%	3.3%	-1.2%	-2.2%
VWIV	22.4%	16.1%	29.0%	19.7%	27.8%
Skew 25d	2.9%	-0.3%	22.9%	22.9%	1.1%
Skew 10d	4.9%	-3.2%	19.3%	10.5%	-0.0%
Call IV 25d	11.3%	8.0%	13.9%	13.6%	13.9%
Put IV 25d	14.2%	8.7%	36.5%	36.5%	14.9%
Bid-Ask Spread %	115.00	108.91	118.99	117.23	113.34
Gamma HHI	0.62	0.28	1.00	0.74	0.66
Net GEX	-19	-380	269	269	-33
Net DEX	-8.9K	-10.3K	102	-9.2K	102
Net VEX	-6	-33	-1	-7	-1
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	39.895	38	40	40	38

Daily Data (19 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
2017-02-01	$49.87	$0.00	12.3%	3.5%	8.8%	10.5%	0.0%	22.9%	-1.2%	269	-9.2K	-7	9.50	117.23	N/A	N/A	2	19	2	38
2017-02-02	$49.88	$45.00	13.2%	3.3%	7.6%	12.7%	19.7%	4.1%	1.0%	-380	-5.6K	-33	9.50	113.09	N/A	N/A	2	19	2	38
2017-02-03	$50.32	$45.00	12.6%	3.1%	7.8%	11.4%	0.0%	0.6%	2.1%	-51	-9.8K	-3	9.50	117.37	N/A	N/A	2	19	2	38
2017-02-06	$50.20	$45.00	10.9%	3.4%	7.7%	7.2%	16.1%	3.0%	0.9%	108	-9.2K	-7	9.50	108.91	N/A	N/A	2	19	2	38
2017-02-07	$50.16	$45.00	15.1%	3.5%	7.4%	17.4%	18.6%	2.0%	2.0%	-156	-7.7K	-16	9.50	115.36	N/A	N/A	2	19	2	38
2017-02-08	$50.30	$45.00	10.2%	2.9%	7.4%	5.3%	18.7%	2.8%	3.3%	-109	-8.2K	-15	9.50	118.99	N/A	N/A	2	19	2	38
2017-02-09	$50.65	$45.00	9.6%	2.7%	7.7%	3.9%	19.9%	2.4%	2.6%	-32	-8.8K	-11	9.50	117.28	N/A	N/A	2	19	2	38
2017-02-10	$50.90	$45.00	10.3%	3.0%	7.7%	5.8%	0.0%	2.5%	1.6%	-35	-10.0K	-2	9.50	110.52	N/A	N/A	2	19	2	38
2017-02-13	$51.17	$45.00	10.4%	3.0%	7.8%	6.0%	0.0%	0.8%	2.4%	-51	-10.0K	-3	9.50	114.01	N/A	N/A	2	19	2	38
2017-02-14	$51.29	$45.00	11.2%	3.2%	7.4%	7.9%	0.0%	0.3%	1.0%	-48	-10.0K	-3	9.50	115.19	N/A	N/A	2	19	2	38
2017-02-15	$51.58	$45.00	9.8%	2.8%	7.5%	4.5%	22.5%	2.4%	1.6%	40	-9.9K	-3	9.50	115.86	N/A	N/A	2	19	2	38
2017-02-16	$51.43	$45.00	10.5%	3.0%	7.3%	6.2%	23.1%	1.0%	2.1%	42	-9.8K	-4	9.50	115.64	N/A	N/A	2	19	2	38
2017-02-17	$51.53	$45.00	10.4%	3.0%	7.3%	5.8%	21.2%	2.6%	1.2%	90	-9.8K	-3	9.50	118.58	N/A	N/A	2	19	2	38
2017-02-21	$51.95	$45.00	9.8%	2.8%	7.5%	4.5%	0.0%	-0.3%	-1.4%	-15	-10.3K	-1	9.50	111.14	N/A	N/A	2	19	2	38
2017-02-22	$51.88	$45.00	11.7%	3.3%	6.9%	9.1%	24.0%	1.4%	-1.6%	-27	-10.2K	-2	9.50	118.41	N/A	N/A	2	19	2	38
2017-02-23	$51.75	$45.00	11.0%	3.2%	6.6%	7.5%	26.3%	1.3%	-1.2%	46	-10.0K	-3	9.50	117.95	N/A	N/A	2	19	2	38
2017-02-24	$51.86	$45.00	12.4%	3.6%	6.5%	11.0%	24.5%	1.8%	0.5%	2	-10.3K	-1	9.50	112.81	N/A	N/A	2	19	2	38
2017-02-27	$52.02	$45.00	13.4%	3.8%	6.2%	13.2%	29.0%	2.2%	-1.0%	-12	-10.3K	-1	9.50	113.29	N/A	N/A	2	19	2	38
2017-02-28	$51.76	$45.00	13.4%	3.8%	6.2%	13.4%	27.8%	1.1%	-2.2%	-33	102	-1	9.50	113.34	N/A	N/A	2	19	0	38