FEX Options History — May 2017

In May 2017, FEX traded between $51.27 and $52.78. ATM implied volatility averaged 10.9%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.7% (HV 20d: 8.3%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days.

Notable Days

  • 2017-05-01: Highest Volume — 14 contracts
  • 2017-05-09: Largest IV spike — 32.4% change
  • 2017-05-01: Highest IV Rank — 14.0%
  • 2017-05-01: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.16$51.27$52.78$52.25$52.71
Max Pain$43.00$43.00$43.00$43.00$43.00
ATM IV10.9%9.2%13.2%13.2%11.0%
Expected Move3.0%2.6%3.8%3.8%3.1%
HV 20d8.3%7.3%10.1%7.6%9.1%
HV 60d8.6%8.3%9.2%8.5%8.5%
IV Rank8.4%4.2%14.0%14.0%8.5%
IV Percentile26.2%2.4%59.1%59.1%27.8%
Term Structure0.1%-2.8%2.5%-2.7%1.5%
VWIV34.8%29.9%45.3%29.9%45.3%
Skew 25d1.5%-4.0%5.1%-3.3%1.2%
Skew 10d1.5%-3.7%7.5%-2.6%7.5%
Call IV 25d10.7%8.2%13.1%12.8%13.0%
Put IV 25d12.2%8.4%15.5%9.6%14.2%
Bid-Ask Spread %114.70111.20117.02113.49115.38
Gamma HHI1.001.001.001.001.00
Net GEX-2.6K-3.0K-2.1K-2.6K-2.7K
Net DEX15.1K8.4K19.6K17.7K12.6K
Net VEX-113-133-75-127-92
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume1414141414
Total OI1414141414

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$52.25$0.0013.2%3.8%7.6%14.0%0.0%-3.3%-2.7%-2.6K17.7K-1270.00113.49N/AN/A014014
2017-05-02$52.08$0.0012.8%3.7%7.3%12.9%0.0%-4.0%-2.8%-2.6K17.8K-1280.00112.75N/AN/A014014
2017-05-03$51.96$0.0012.3%3.5%7.4%11.6%0.0%0.8%-1.2%-2.9K16.3K-1260.00111.84N/AN/A014014
2017-05-04$51.94$43.0013.2%2.9%7.3%13.9%0.0%5.1%-0.6%-2.7K18.3K-1330.00114.09N/AN/A014014
2017-05-05$52.17$43.0011.1%2.6%7.3%8.9%0.0%4.9%1.4%-2.7K17.4K-1250.00113.95N/AN/A014014
2017-05-08$52.04$43.009.9%2.9%7.4%5.8%0.0%2.6%0.1%-2.6K16.2K-1250.00116.22N/AN/A014014
2017-05-09$52.10$43.0013.1%2.7%7.4%13.5%0.0%3.2%1.0%-2.5K17.6K-1260.00116.61N/AN/A014014
2017-05-10$52.32$43.009.6%2.7%7.4%5.1%29.9%2.2%1.9%-2.9K13.3K-1030.00117.02N/AN/A014014
2017-05-11$52.14$43.009.3%2.7%7.4%4.5%0.0%1.4%1.7%-2.7K16.0K-1220.00115.35N/AN/A014014
2017-05-12$51.93$43.009.9%2.8%7.3%5.9%30.0%2.4%1.3%-2.6K16.4K-1240.00116.96N/AN/A014014
2017-05-15$52.21$43.009.5%2.7%7.4%4.9%31.9%2.5%2.0%-2.4K12.4K-1020.00116.60N/AN/A014014
2017-05-16$52.23$43.0010.1%2.9%7.3%6.3%32.4%1.9%1.4%-2.8K12.9K-1040.00116.02N/AN/A014014
2017-05-17$51.27$43.0011.3%3.3%10.1%9.4%31.0%1.2%-1.4%-2.6K18.9K-1320.00114.85N/AN/A014014
2017-05-18$51.49$43.0012.1%3.5%9.5%11.2%0.0%1.7%0.2%-2.9K19.4K-1280.00111.20N/AN/A014014
2017-05-19$51.75$43.0011.4%3.3%9.6%9.6%0.0%3.1%-2.1%-2.5K19.6K-1280.00113.30N/AN/A014014
2017-05-22$52.18$43.0011.4%3.3%9.2%9.5%0.0%2.2%-0.4%-2.9K15.0K-1090.00116.61N/AN/A014014
2017-05-23$52.25$43.0010.5%3.0%9.1%7.3%36.0%2.1%-0.6%-2.9K11.8K-950.00116.65N/AN/A014014
2017-05-24$52.35$43.009.2%2.6%9.1%4.2%37.0%3.0%-0.8%-3.0K8.4K-750.00116.47N/AN/A014014
2017-05-25$52.78$43.0010.8%3.1%9.5%8.0%0.0%-0.2%-0.3%-2.5K13.3K-990.00113.76N/AN/A014014
2017-05-26$52.74$43.009.3%2.7%9.3%4.5%39.6%-1.9%0.0%-2.1K9.3K-800.00111.63N/AN/A014014
2017-05-30$52.71$43.009.9%2.8%9.2%5.9%0.0%1.3%2.5%-2.2K12.3K-980.00112.58N/AN/A014014
2017-05-31$52.71$43.0011.0%3.1%9.1%8.5%45.3%1.2%1.5%-2.7K12.6K-920.00115.38N/AN/A014014