FEX Options History — March 2017

In March 2017, FEX traded between $50.98 and $52.59. ATM implied volatility averaged 12.8%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 3.3% (HV 20d: 9.5%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 15.50.

Notable Days

  • 2017-03-02: Highest Volume — 34 contracts
  • 2017-03-14: Largest IV spike — 136.1% change
  • 2017-03-14: Highest IV Rank — 39.9%
  • 2017-03-02: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.67$50.98$52.59$52.59$51.72
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV12.8%7.5%24.2%11.7%7.5%
Expected Move3.3%2.1%4.6%3.4%2.1%
HV 20d9.5%7.9%11.1%7.9%9.0%
HV 60d9.0%8.5%9.5%9.2%8.5%
IV Rank11.9%0.0%39.9%9.2%0.0%
IV Percentile46.0%0.0%98.4%34.1%0.0%
Term Structure-0.7%-6.0%5.1%-4.2%5.1%
VWIV30.0%30.0%30.0%30.0%30.0%
Skew 25d1.7%-2.3%4.6%-0.5%-0.1%
Skew 10d2.5%-3.5%11.7%-1.5%-3.5%
Call IV 25d11.7%8.4%14.9%14.1%11.4%
Put IV 25d13.4%9.9%17.2%13.6%11.3%
Bid-Ask Spread %111.94104.25115.95115.28112.63
Gamma HHI0.980.961.001.001.00
Net GEX-2.1K-2.6K-18-18-2.3K
Net DEX19.6K6423.7K6421.4K
Net VEX-153-177-1-1-159
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.509.5016.009.5016.00
Total Volume24.73914342114
Total OI33.78314513814

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$52.59$45.0011.7%3.4%7.9%9.2%0.0%-0.5%-4.2%-1864-19.50115.28N/AN/A219038
2017-03-02$52.12$45.0015.9%4.6%8.9%19.5%30.0%0.6%-6.0%-36172-216.00111.95N/AN/A232038
2017-03-03$52.11$45.0014.4%4.1%8.9%15.9%0.0%-0.2%-4.2%-2.0K21.5K-17416.00115.95N/AN/A232051
2017-03-06$51.94$0.0014.7%2.8%8.7%16.6%0.0%2.5%2.0%-2.0K22.2K-17416.00113.25N/AN/A232051
2017-03-07$51.62$0.0014.1%2.8%9.0%14.9%0.0%1.8%2.7%-2.2K19.9K-16916.00104.25N/AN/A232051
2017-03-08$51.60$0.0014.4%2.9%9.0%15.8%0.0%4.6%0.6%-2.1K22.4K-17716.00112.44N/AN/A232051
2017-03-09$51.57$0.0012.7%2.9%9.0%11.5%0.0%2.4%2.7%-2.1K20.9K-17316.00105.55N/AN/A232051
2017-03-10$51.73$0.0015.9%3.0%8.8%19.5%0.0%3.7%0.6%-2.1K22.3K-17616.00112.11N/AN/A232051
2017-03-13$51.85$0.0010.3%3.0%8.7%5.6%0.0%1.7%1.8%-2.2K19.4K-16516.00107.16N/AN/A232051
2017-03-14$51.57$0.0024.2%3.5%8.8%39.9%0.0%3.6%-3.4%-2.2K22.8K-17416.00113.85N/AN/A232051
2017-03-15$52.14$0.0010.0%2.9%9.6%4.9%0.0%1.8%1.4%-2.2K19.7K-16016.00114.66N/AN/A232051
2017-03-16$52.00$0.0010.5%3.0%9.5%6.1%0.0%3.0%1.9%-2.2K20.0K-16716.00115.71N/AN/A232051
2017-03-17$52.03$0.0012.5%3.6%9.4%11.1%0.0%4.6%-3.1%-2.2K20.6K-16716.00111.68N/AN/A232051
2017-03-20$51.84$0.009.3%2.7%9.5%3.3%0.0%4.1%-1.4%-2.3K20.2K-1640.00114.49N/AN/A014014
2017-03-21$50.98$0.0011.7%3.3%10.8%9.1%0.0%2.9%-1.5%-2.3K21.5K-1640.00110.36N/AN/A014014
2017-03-22$51.15$0.0013.1%3.7%10.9%12.5%0.0%1.6%-3.4%-2.5K23.7K-1710.00110.29N/AN/A014014
2017-03-23$51.04$0.0012.6%3.6%10.9%11.4%0.0%0.7%-1.1%-2.4K22.8K-1700.00111.41N/AN/A014014
2017-03-24$51.07$0.0012.2%3.5%10.9%10.3%0.0%-2.2%0.3%-2.4K23.3K-1700.00111.43N/AN/A014014
2017-03-27$51.05$0.0013.0%3.7%10.8%12.3%0.0%3.8%-1.3%-2.5K23.4K-1680.00112.91N/AN/A014014
2017-03-28$51.46$0.0011.6%3.3%11.1%9.0%0.0%0.6%-0.7%-2.6K21.8K-1600.00110.26N/AN/A014014
2017-03-29$51.50$0.0012.6%3.6%9.3%11.3%0.0%0.4%-2.3%-2.5K20.4K-1600.00113.19N/AN/A014014
2017-03-30$51.70$0.009.8%2.8%9.0%4.6%0.0%-2.3%-3.1%-2.5K20.1K-1530.00113.77N/AN/A014014
2017-03-31$51.72$0.007.5%2.1%9.0%0.0%0.0%-0.1%5.1%-2.3K21.4K-1590.00112.63N/AN/A014014