FEX Options History — September 2017 In September 2017, FEX traded between $53.36 and $54.88. ATM implied volatility averaged 15.1%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 6.5% (HV 20d: 8.6%). Max pain ranged from $49.00 to $49.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days.
Notable Days 2017-09-01 : Highest Volume — 13 contracts2017-09-14 : Largest IV spike — 638.2% change2017-09-14 : Highest IV Rank — 100.0%2017-09-14 : Largest Expected Move — 21.6%Monthly Statistics Metric Avg Min Max Open Close Price $54.19 $53.36 $54.88 $53.92 $54.88 Max Pain $49.00 $49.00 $49.00 $49.00 $49.00 ATM IV 15.1% 7.9% 75.3% 11.5% 10.4% Expected Move 3.8% 2.3% 21.6% 3.3% 3.0% HV 20d 8.6% 6.7% 10.9% 10.3% 6.7% HV 60d 8.2% 7.7% 8.6% 8.1% 7.7% IV Rank 14.0% 0.7% 100.0% 9.9% 4.3% IV Percentile 43.9% 0.4% 100.0% 38.9% 26.6% Term Structure -1.2% -28.7% 3.6% -1.0% -0.0% VWIV 29.0% 29.0% 29.0% 29.0% 29.0% Skew 25d 2.6% -2.7% 8.1% 2.7% -0.1% Skew 10d 3.7% -4.6% 41.1% 0.7% -0.3% Call IV 25d 14.7% 7.3% 100.9% 10.5% 11.1% Put IV 25d 17.3% 7.9% 109.0% 13.2% 11.0% Bid-Ask Spread % 116.62 105.99 166.16 114.40 112.92 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -66 -342 0 -233 0 Net DEX 75 0 417 291 0 Net VEX -0 -2 0 -2 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 6.5 0 13 13 0 Total OI 6.5 0 13 13 0
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 2017-09-01 $53.92 $49.00 11.5% 3.3% 10.3% 9.9% 29.0% 2.7% -1.0% -233 291 -2 0.00 114.40 N/A N/A 0 13 0 13 2017-09-05 $53.36 $0.00 13.7% 3.0% 10.9% 15.1% 0.0% 3.8% 3.6% -342 417 -2 0.00 109.09 N/A N/A 0 13 0 13 2017-09-06 $53.54 $0.00 13.5% 2.9% 10.9% 14.5% 0.0% 4.6% -0.9% -201 218 -1 0.00 113.15 N/A N/A 0 13 0 13 2017-09-07 $53.45 $0.00 15.2% 3.2% 10.9% 18.8% 0.0% 4.9% 3.1% -209 224 -1 0.00 113.34 N/A N/A 0 13 0 13 2017-09-08 $53.55 $0.00 14.8% 3.1% 9.6% 17.9% 0.0% 7.0% -1.5% -245 283 -1 0.00 112.88 N/A N/A 0 13 0 13 2017-09-11 $54.15 $0.00 19.4% 2.8% 10.3% 29.0% 0.0% 6.5% 0.5% -32 26 0 0.00 114.51 N/A N/A 0 13 0 13 2017-09-12 $54.32 $0.00 19.5% 2.8% 9.8% 29.1% 0.0% 2.5% 2.2% -4 3 0 0.00 115.26 N/A N/A 0 13 0 13 2017-09-13 $54.35 $0.00 10.2% 2.9% 9.8% 6.6% 0.0% 1.7% 0.6% -1 0 0 0.00 116.86 N/A N/A 0 13 0 13 2017-09-14 $54.27 $0.00 75.3% 21.6% 9.8% 100.0% 0.0% 8.1% -28.7% -49 45 0 0.00 166.16 N/A N/A 0 13 0 13 2017-09-15 $54.38 $0.00 8.9% 2.6% 7.8% 2.1% 0.0% 2.4% 2.0% 0 0 0 0.00 117.76 N/A N/A 0 13 0 13 2017-09-18 $54.49 $0.00 10.7% 3.1% 7.7% 4.8% 0.0% 1.4% -0.2% 0 0 0 0.00 112.95 N/A N/A 0 0 0 0 2017-09-19 $54.44 $0.00 10.0% 2.9% 7.7% 3.7% 0.0% 1.3% -2.0% 0 0 0 0.00 115.25 N/A N/A 0 0 0 0 2017-09-20 $54.47 $0.00 9.6% 2.8% 6.9% 3.2% 0.0% -1.3% -0.6% 0 0 0 0.00 117.92 N/A N/A 0 0 0 0 2017-09-21 $54.23 $0.00 9.4% 2.7% 7.1% 2.8% 0.0% 2.4% 0.1% 0 0 0 0.00 116.75 N/A N/A 0 0 0 0 2017-09-22 $54.32 $0.00 9.8% 2.8% 7.0% 3.4% 0.0% 1.0% -0.2% 0 0 0 0.00 111.75 N/A N/A 0 0 0 0 2017-09-25 $54.21 $0.00 12.5% 3.6% 7.0% 7.4% 0.0% -2.7% -2.5% 0 0 0 0.00 112.90 N/A N/A 0 0 0 0 2017-09-26 $54.29 $0.00 10.1% 2.9% 7.0% 3.9% 0.0% 1.8% -0.5% 0 0 0 0.00 116.63 N/A N/A 0 0 0 0 2017-09-27 $54.57 $0.00 9.7% 2.8% 7.1% 3.2% 0.0% 2.7% -0.2% 0 0 0 0.00 115.98 N/A N/A 0 0 0 0 2017-09-28 $54.61 $0.00 7.9% 2.3% 7.0% 0.7% 0.0% 1.0% 1.2% 0 0 0 0.00 105.99 N/A N/A 0 0 0 0 2017-09-29 $54.88 $0.00 10.4% 3.0% 6.7% 4.3% 0.0% -0.1% -0.0% 0 0 0 0.00 112.92 N/A N/A 0 0 0 0
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