FEX Options History — April 2017

In April 2017, FEX traded between $50.79 and $52.44. ATM implied volatility averaged 12.4%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.5% (HV 20d: 8.0%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days.

Notable Days

  • 2017-04-03: Highest Volume — 14 contracts
  • 2017-04-21: Largest IV spike — 54.4% change
  • 2017-04-21: Highest IV Rank — 20.0%
  • 2017-04-21: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.48$50.79$52.44$51.39$52.13
ATM IV12.4%8.9%15.7%8.9%13.0%
Expected Move3.6%2.6%4.5%2.6%3.7%
HV 20d8.0%5.5%9.2%9.2%7.6%
HV 60d8.4%8.3%8.5%8.5%8.5%
IV Rank12.0%3.6%20.0%3.6%13.4%
IV Percentile46.6%0.8%88.1%0.8%53.6%
Term Structure-1.6%-3.4%3.0%0.2%-2.9%
Skew 25d3.3%-2.6%11.7%11.7%1.5%
Skew 10d4.7%-1.1%29.1%29.1%0.5%
Call IV 25d11.9%8.5%13.7%12.5%11.8%
Put IV 25d15.2%8.7%24.2%24.2%13.3%
Bid-Ask Spread %112.10106.85132.04107.76110.31
Gamma HHI0.990.971.001.001.00
Net GEX-2.6K-3.2K-2.2K-2.5K-2.7K
Net DEX20.6K15.4K24.4K21.1K15.4K
Net VEX-147-160-121-158-121
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume1414141414
Total OI1414141414

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$51.39$0.008.9%2.6%9.2%3.6%0.0%11.7%0.2%-2.5K21.1K-1580.00107.76N/AN/A014014
2017-04-04$51.30$0.009.2%2.6%9.0%4.1%0.0%-0.6%3.0%-2.5K22.1K-1570.00111.11N/AN/A014014
2017-04-05$51.15$0.0011.7%3.3%9.0%10.2%0.0%1.7%-1.5%-2.5K22.0K-1580.00114.46N/AN/A014014
2017-04-06$51.33$0.009.3%3.4%9.1%4.6%0.0%3.2%-0.2%-2.5K21.4K-1570.00107.67N/AN/A014014
2017-04-07$51.30$0.0013.9%4.0%9.0%15.6%0.0%6.0%-2.5%-2.4K22.4K-1570.00109.83N/AN/A014014
2017-04-10$51.36$0.0013.9%4.1%9.0%15.7%0.0%6.5%-2.9%-2.4K22.0K-1550.00106.85N/AN/A014014
2017-04-11$51.23$0.0014.0%3.5%8.8%15.8%0.0%4.1%-0.0%-2.6K22.5K-1540.00111.15N/AN/A014014
2017-04-12$51.03$0.0015.0%4.3%7.8%18.2%0.0%3.0%-2.1%-2.2K23.8K-1600.00108.96N/AN/A014014
2017-04-13$50.79$0.0012.4%3.6%7.9%11.9%0.0%5.4%-1.1%-2.4K24.4K-1600.00110.91N/AN/A014014
2017-04-17$50.79$0.0014.1%4.1%7.9%16.2%0.0%1.8%-3.4%-2.6K23.0K-1570.00113.54N/AN/A014014
2017-04-18$51.02$0.0014.9%4.3%8.1%18.1%0.0%6.1%-3.3%-2.7K23.3K-1550.00110.69N/AN/A014014
2017-04-19$51.01$0.0012.6%3.6%5.5%12.5%0.0%4.8%-1.7%-2.7K22.1K-1500.00115.03N/AN/A014014
2017-04-20$51.56$0.0010.2%2.9%6.6%6.6%0.0%1.6%-1.0%-3.2K18.6K-1380.00115.08N/AN/A014014
2017-04-21$51.46$0.0015.7%4.5%6.6%20.0%0.0%1.4%-2.9%-2.6K21.3K-1490.00112.15N/AN/A014014
2017-04-24$52.04$0.0010.4%3.0%7.6%7.1%0.0%5.2%-0.0%-2.5K15.6K-1240.00109.17N/AN/A014014
2017-04-25$52.30$0.0012.6%3.6%7.7%12.4%0.0%1.4%-3.0%-2.7K16.9K-1270.00132.04N/AN/A014014
2017-04-26$52.42$0.0011.3%3.2%7.3%9.3%0.0%-2.6%-1.8%-2.6K16.2K-1280.00113.61N/AN/A014014
2017-04-27$52.44$0.0013.0%3.7%7.3%13.4%0.0%0.9%-2.9%-2.4K17.8K-1300.00109.60N/AN/A014014
2017-04-28$52.13$0.0013.0%3.7%7.6%13.4%0.0%1.5%-2.9%-2.7K15.4K-1210.00110.31N/AN/A014014