FEX Options History — July 2017 In July 2017, FEX traded between $52.79 and $54.38. ATM implied volatility averaged 10.4%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 2.1% (HV 20d: 8.2%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days.
Notable Days 2017-07-03 : Highest Volume — 13 contracts2017-07-11 : Largest IV spike — 41.0% change2017-07-11 : Highest IV Rank — 13.6%2017-07-05 : Largest Expected Move — 3.5%Monthly Statistics Metric Avg Min Max Open Close Price $53.86 $52.79 $54.38 $53.27 $54.13 ATM IV 10.4% 8.7% 13.1% 11.6% 12.1% Expected Move 2.9% 2.5% 3.5% 3.3% 3.5% HV 20d 8.2% 6.9% 9.0% 7.5% 6.9% HV 60d 8.4% 8.1% 8.7% 8.2% 8.1% IV Rank 7.1% 2.9% 13.6% 10.0% 11.2% IV Percentile 24.0% 1.6% 67.5% 40.1% 49.6% Term Structure -1.0% -3.5% 1.0% -2.7% -3.5% Skew 25d 1.6% -3.4% 4.4% 1.1% 1.4% Skew 10d 2.8% -3.2% 14.3% -0.1% -0.2% Call IV 25d 10.3% 7.9% 12.6% 12.6% 11.6% Put IV 25d 12.0% 7.5% 15.4% 13.7% 13.0% Bid-Ask Spread % 115.18 109.70 118.36 115.61 111.44 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -820 -1.9K 0 -1.2K -1.0K Net DEX 1.7K 0 6.4K 2.8K 2.7K Net VEX -16 -51 0 -26 -20 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 13 13 13 13 13 Total OI 13 13 13 13 13
Daily Data (20 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 2017-07-03 $53.27 $0.00 11.6% 3.3% 7.5% 10.0% 0.0% 1.1% -2.7% -1.2K 2.8K -26 0.00 115.61 N/A N/A 0 13 0 13 2017-07-05 $53.39 $0.00 12.2% 3.5% 7.2% 11.5% 0.0% 4.2% -2.4% -1.3K 1.1K -11 0.00 113.34 N/A N/A 0 13 0 13 2017-07-06 $52.79 $0.00 12.3% 2.6% 8.2% 11.7% 0.0% 2.4% 1.0% -1.9K 6.4K -51 0.00 113.29 N/A N/A 0 13 0 13 2017-07-07 $53.30 $0.00 11.9% 2.8% 8.9% 10.8% 0.0% 1.5% 1.0% -16 0 0 0.00 113.02 N/A N/A 0 13 0 13 2017-07-10 $53.36 $0.00 9.3% 2.9% 8.9% 4.3% 0.0% 3.3% 0.5% -1.2K 2.7K -27 0.00 109.70 N/A N/A 0 13 0 13 2017-07-11 $53.27 $0.00 13.1% 3.0% 8.9% 13.6% 0.0% 2.2% 0.4% -1.2K 2.7K -27 0.00 111.81 N/A N/A 0 13 0 13 2017-07-12 $53.68 $0.00 9.1% 2.6% 9.0% 3.9% 0.0% 2.8% 0.0% -624 32 0 0.00 117.44 N/A N/A 0 13 0 13 2017-07-13 $53.79 $0.00 8.7% 2.5% 9.0% 2.9% 0.0% 2.5% 0.3% 0 0 0 0.00 117.83 N/A N/A 0 13 0 13 2017-07-14 $54.07 $0.00 8.9% 2.6% 9.0% 3.6% 0.0% 2.1% 0.2% -804 1.8K -19 0.00 116.70 N/A N/A 0 13 0 13 2017-07-17 $54.04 $0.00 9.5% 2.7% 9.0% 5.0% 0.0% 1.7% -2.9% -496 887 -10 0.00 116.47 N/A N/A 0 13 0 13 2017-07-18 $53.99 $0.00 9.4% 2.7% 8.5% 4.7% 0.0% 1.7% 0.7% -705 1.4K -15 0.00 116.65 N/A N/A 0 13 0 13 2017-07-19 $54.29 $0.00 9.8% 2.8% 8.3% 5.6% 0.0% 0.5% -0.7% 0 0 0 0.00 116.89 N/A N/A 0 13 0 13 2017-07-20 $54.31 $0.00 9.4% 2.7% 8.3% 4.6% 0.0% 1.8% -0.9% -912 2.4K -22 0.00 116.81 N/A N/A 0 13 0 13 2017-07-21 $54.32 $0.00 9.7% 2.8% 8.2% 5.5% 0.0% 1.9% -1.4% -139 168 -2 0.00 118.28 N/A N/A 0 13 0 13 2017-07-24 $54.33 $0.00 9.8% 2.8% 8.2% 5.8% 0.0% 1.9% -1.0% -872 2.2K -21 0.00 118.36 N/A N/A 0 13 0 13 2017-07-25 $54.38 $0.00 10.3% 2.9% 8.2% 6.7% 0.0% -3.4% -1.6% -797 1.9K -17 0.00 117.50 N/A N/A 0 13 0 13 2017-07-26 $54.25 $0.00 10.1% 2.9% 7.8% 6.3% 0.0% -2.8% -2.0% -884 2.2K -21 0.00 115.44 N/A N/A 0 13 0 13 2017-07-27 $54.06 $0.00 10.5% 3.0% 7.7% 7.3% 0.0% 1.0% -2.4% -1.1K 1.3K -11 0.00 112.61 N/A N/A 0 13 0 13 2017-07-28 $54.09 $0.00 10.1% 2.9% 7.0% 6.3% 0.0% 4.4% -2.0% -1.2K 1.4K -12 0.00 114.34 N/A N/A 0 13 0 13 2017-07-31 $54.13 $0.00 12.1% 3.5% 6.9% 11.2% 0.0% 1.4% -3.5% -1.0K 2.7K -20 0.00 111.44 N/A N/A 0 13 0 13
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