FEX Options History — June 2017

In June 2017, FEX traded between $53.07 and $53.80. ATM implied volatility averaged 11.2%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.6% (HV 20d: 8.5%). 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 10 of 22 days.

Notable Days

  • 2017-06-01: Highest Volume — 14 contracts
  • 2017-06-29: Largest IV spike — 61.3% change
  • 2017-06-13: Highest IV Rank — 22.6%
  • 2017-06-29: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.35$53.07$53.80$53.29$53.28
Max Pain$43.00$43.00$43.00$43.00$43.00
ATM IV11.2%8.6%16.8%11.1%12.9%
Expected Move2.9%2.4%4.0%3.2%3.7%
HV 20d8.5%6.9%10.1%9.8%7.6%
HV 60d8.3%7.8%8.8%8.7%8.2%
IV Rank9.0%2.7%22.6%8.8%13.1%
IV Percentile32.2%0.8%90.9%29.8%63.1%
Term Structure-0.2%-5.3%1.3%-0.7%-0.6%
Skew 25d0.5%-3.2%2.8%0.7%-3.2%
Skew 10d3.1%-2.7%16.2%1.7%1.4%
Call IV 25d10.3%7.4%12.9%11.6%12.3%
Put IV 25d10.9%8.3%13.1%12.4%9.1%
Bid-Ask Spread %115.14110.57129.32114.02113.40
Gamma HHI1.001.001.001.001.00
Net GEX-1.3K-2.1K0-1.5K0
Net DEX3.0K08.6K4.5K0
Net VEX-28-760-460
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume13.54513141413
Total OI13.54513141413

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$53.29$43.0011.1%3.2%9.8%8.8%0.0%0.7%-0.7%-1.5K4.5K-460.00114.02N/AN/A014014
2017-06-02$53.48$43.0011.2%3.2%9.8%9.0%0.0%-1.4%-1.2%-1.6K5.6K-540.00110.59N/AN/A014014
2017-06-05$53.39$0.0012.3%3.0%9.8%11.8%0.0%2.7%0.8%0000.00115.28N/AN/A014014
2017-06-06$53.07$0.0011.8%2.6%10.0%10.4%0.0%1.5%1.0%-2.0K6.2K-560.00116.72N/AN/A014014
2017-06-07$53.30$0.0011.8%3.1%10.1%10.6%0.0%2.8%0.4%-1.8K6.7K-600.00129.32N/AN/A014014
2017-06-08$53.32$0.0011.7%3.0%10.0%10.4%0.0%2.0%1.1%-1.9K8.6K-760.00112.38N/AN/A014014
2017-06-09$53.25$0.0014.8%2.8%9.9%17.7%0.0%-0.8%1.2%-1.9K7.5K-630.00112.20N/AN/A014014
2017-06-12$53.22$0.0012.8%2.8%9.8%12.9%0.0%0.8%1.2%-2.1K3.3K-330.00116.15N/AN/A014014
2017-06-13$53.60$0.0016.8%2.4%9.9%22.6%0.0%0.7%-0.9%-317000.00116.81N/AN/A014014
2017-06-14$53.49$0.0010.0%2.9%10.0%6.1%0.0%1.0%0.7%-1.9K1.8K-200.00114.95N/AN/A014014
2017-06-15$53.31$0.009.2%2.6%7.0%4.1%0.0%2.0%1.3%-2.0K2.6K-250.00116.51N/AN/A014014
2017-06-16$53.34$0.009.8%2.8%6.9%5.8%0.0%2.7%1.3%-2.1K1.8K-190.00117.10N/AN/A014014
2017-06-19$53.80$0.008.6%2.5%7.3%2.7%0.0%1.6%-0.6%0000.00115.71N/AN/A013013
2017-06-20$53.42$0.009.6%2.8%7.5%5.3%0.0%0.5%-0.4%-1.3K3.5K-330.00114.71N/AN/A013013
2017-06-21$53.40$0.009.9%2.9%7.6%6.0%0.0%-0.1%-0.9%-43000.00115.58N/AN/A013013
2017-06-22$53.31$0.009.8%2.8%7.6%5.5%0.0%0.7%-1.0%-1.5K2.4K-260.00115.68N/AN/A013013
2017-06-23$53.27$0.009.7%2.8%7.1%5.5%0.0%-0.1%-1.2%-1.3K3.0K-320.00115.99N/AN/A013013
2017-06-26$53.44$0.009.5%2.7%7.2%4.9%0.0%-2.7%-0.9%-1.2K844-100.00115.26N/AN/A013013
2017-06-27$53.11$0.0010.3%3.0%7.6%6.9%0.0%-1.5%-0.5%-1.1K2.4K-240.00111.85N/AN/A013013
2017-06-28$53.49$0.008.6%2.5%7.9%2.7%0.0%0.9%0.6%-1.1K2.6K-250.00112.37N/AN/A013013
2017-06-29$53.07$0.0013.8%4.0%7.5%15.5%0.0%0.8%-5.3%-1.1K2.2K-210.00110.57N/AN/A013013
2017-06-30$53.28$0.0012.9%3.7%7.6%13.1%0.0%-3.2%-0.6%0000.00113.40N/AN/A013013