FEX Options History — August 2017 In August 2017, FEX traded between $52.65 and $54.15. ATM implied volatility averaged 11.6%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 4.0% (HV 20d: 7.6%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 11 of 23 days.
Notable Days 2017-08-01 : Highest Volume — 13 contracts2017-08-29 : Largest IV spike — 48.5% change2017-08-23 : Highest IV Rank — 17.6%2017-08-23 : Largest Expected Move — 4.2%Monthly Statistics Metric Avg Min Max Open Close Price $53.40 $52.65 $54.15 $54.15 $53.74 Max Pain $49.00 $49.00 $49.00 $49.00 $49.00 ATM IV 11.6% 8.4% 14.7% 9.3% 12.3% Expected Move 3.1% 2.4% 4.2% 2.7% 3.5% HV 20d 7.6% 4.0% 10.2% 6.9% 10.2% HV 60d 8.1% 7.5% 8.5% 8.1% 8.1% IV Rank 10.0% 2.2% 17.6% 4.3% 11.7% IV Percentile 43.1% 0.4% 88.1% 5.2% 51.6% Term Structure -0.2% -5.2% 3.8% -0.7% -1.7% VWIV 19.6% 15.3% 27.5% 18.0% 27.5% Skew 25d 3.0% -3.1% 9.6% 0.2% 4.6% Skew 10d 3.5% -0.6% 22.4% -0.4% 0.1% Call IV 25d 10.3% 6.8% 12.3% 8.2% 10.1% Put IV 25d 13.3% 8.1% 18.1% 8.4% 14.8% Bid-Ask Spread % 112.81 107.28 117.59 111.29 113.38 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -722 -2.1K 0 -846 -44 Net DEX 1.6K 0 7.2K 2.0K 36 Net VEX -10 -34 0 -16 0 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 (23 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 2017-08-01 $54.15 $0.00 9.3% 2.7% 6.9% 4.3% 0.0% 0.2% -0.7% -846 2.0K -16 0.00 111.29 N/A N/A 0 13 0 13 2017-08-02 $53.95 $0.00 10.0% 2.9% 7.0% 6.2% 0.0% -0.2% 0.3% -884 885 -8 0.00 111.44 N/A N/A 0 13 0 13 2017-08-03 $53.87 $49.00 13.4% 2.4% 5.6% 14.3% 18.0% 2.5% 1.9% -982 2.4K -19 0.00 117.59 N/A N/A 0 13 0 13 2017-08-04 $53.92 $49.00 12.0% 2.7% 4.5% 11.0% 15.3% 3.1% 1.1% -667 1.3K -11 0.00 110.54 N/A N/A 0 13 0 13 2017-08-07 $54.04 $49.00 13.7% 3.1% 4.6% 15.0% 18.8% 3.3% 0.0% -141 160 -2 0.00 114.42 N/A N/A 0 13 0 13 2017-08-08 $53.86 $49.00 13.2% 2.5% 4.7% 14.0% 19.1% 5.9% 2.2% -799 1.8K -13 0.00 112.12 N/A N/A 0 13 0 13 2017-08-09 $53.74 $49.00 10.1% 2.9% 4.0% 6.4% 18.9% 3.6% -0.3% -1.4K 3.0K -19 0.00 113.50 N/A N/A 0 13 0 13 2017-08-10 $52.98 $49.00 11.8% 3.4% 6.4% 10.4% 18.3% 5.6% 1.4% -1.7K 4.9K -28 0.00 111.67 N/A N/A 0 13 0 13 2017-08-11 $53.01 $49.00 13.3% 3.8% 6.0% 14.2% 0.0% 3.0% -0.2% -856 210 0 0.00 112.49 N/A N/A 0 13 0 13 2017-08-14 $53.52 $49.00 10.6% 3.0% 7.1% 7.5% 19.3% 6.0% -0.8% -1.5K 2.8K -17 0.00 115.26 N/A N/A 0 13 0 13 2017-08-15 $53.50 $49.00 12.4% 3.5% 7.1% 11.9% 19.7% 2.1% 1.4% -1.1K 2.4K -17 0.00 115.46 N/A N/A 0 13 0 13 2017-08-16 $53.63 $49.00 11.1% 3.2% 6.8% 8.9% 20.3% 2.5% -2.0% -1.1K 1.9K -12 0.00 115.48 N/A N/A 0 13 0 13 2017-08-17 $52.81 $49.00 10.8% 3.1% 8.6% 8.0% 20.3% 1.8% 2.7% -598 872 -7 0.00 113.17 N/A N/A 0 13 0 13 2017-08-18 $52.71 $49.00 12.7% 3.6% 8.6% 12.8% 18.7% 6.6% -3.3% -2.1K 7.2K -34 0.00 110.39 N/A N/A 0 13 0 13 2017-08-21 $52.65 $49.00 11.2% 3.2% 8.6% 8.9% 17.3% 2.2% -3.0% -1.5K 3.2K -17 0.00 111.92 N/A N/A 0 13 0 13 2017-08-22 $53.22 $49.00 12.1% 3.5% 9.6% 11.2% 0.0% 4.7% -2.4% 0 0 0 0.00 112.21 N/A N/A 0 13 0 13 2017-08-23 $53.13 $49.00 14.7% 4.2% 9.6% 17.6% 0.0% 3.9% -5.2% 0 0 0 0.00 114.44 N/A N/A 0 13 0 13 2017-08-24 $53.00 $49.00 10.8% 3.1% 9.5% 8.2% 0.0% 9.6% -0.2% 0 0 0 0.00 107.28 N/A N/A 0 13 0 13 2017-08-25 $53.18 $49.00 8.8% 2.5% 9.7% 3.2% 16.3% 3.2% 1.5% -5 2 0 0.00 112.07 N/A N/A 0 13 0 13 2017-08-28 $53.11 $49.00 8.4% 2.4% 9.6% 2.2% 0.0% 0.8% 3.8% 0 0 0 0.00 110.72 N/A N/A 0 13 0 13 2017-08-29 $53.08 $49.00 12.5% 3.6% 9.6% 12.1% 0.0% -3.0% -2.2% 0 0 0 0.00 116.06 N/A N/A 0 13 0 13 2017-08-30 $53.35 $49.00 11.4% 3.3% 9.8% 9.5% 26.2% -3.1% 0.1% -445 595 -3 0.00 111.82 N/A N/A 0 13 0 13 2017-08-31 $53.74 $49.00 12.3% 3.5% 10.2% 11.7% 27.5% 4.6% -1.7% -44 36 0 0.00 113.38 N/A N/A 0 13 0 13
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