FEX Options History — October 2017

In October 2017, FEX traded between $55.14 and $56.26. ATM implied volatility averaged 9.9%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 5.2% (HV 20d: 4.6%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.18.

Notable Days

2017-10-30: Highest Volume — 13 contracts
2017-10-04: Largest IV spike — 57.6% change
2017-10-30: Highest IV Rank — 7.8%
2017-10-30: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.77	$55.14	$56.26	$55.14	$56.02
Max Pain	$55.00	$55.00	$55.00	$55.00	$55.00
ATM IV	9.9%	7.3%	12.6%	7.4%	11.3%
Expected Move	2.7%	2.1%	3.6%	2.1%	3.2%
HV 20d	4.6%	3.6%	6.8%	6.8%	4.8%
HV 60d	7.4%	7.3%	7.5%	7.5%	7.5%
IV Rank	3.7%	0.0%	7.8%	0.0%	5.8%
IV Percentile	22.2%	0.0%	65.5%	0.0%	43.7%
Term Structure	-0.2%	-4.5%	3.0%	1.6%	-3.7%
VWIV	14.3%	12.7%	16.7%	16.4%	12.8%
Skew 25d	3.0%	-1.9%	17.3%	-1.9%	4.1%
Skew 10d	4.5%	-1.4%	30.9%	17.3%	2.5%
Call IV 25d	10.0%	6.4%	12.5%	10.2%	12.1%
Put IV 25d	13.0%	8.3%	23.7%	8.3%	16.2%
Bid-Ask Spread %	114.02	108.13	116.83	110.08	114.02
Gamma HHI	0.95	0.79	1.00	1.00	0.79
Net GEX	190	-1.5K	8.1K	0	8.1K
Net DEX	-796	-26.7K	3.1K	0	-26.7K
Net VEX	-4	-61	0	0	-61
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.18	0.18	0.18	0.18	0.18
Total Volume	1.455	0	13	0	13
Total OI	0.864	0	13	0	13

Daily Data (22 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
2017-10-02	$55.14	$0.00	7.4%	2.1%	6.8%	0.0%	0.0%	-1.9%	1.6%	0	0	0	0.00	110.08	N/A	N/A	0	0	0	0
2017-10-03	$55.30	$0.00	7.3%	2.1%	5.3%	0.0%	0.0%	17.3%	1.4%	0	0	0	0.00	110.79	N/A	N/A	0	0	0	0
2017-10-04	$55.43	$0.00	11.5%	3.3%	5.3%	6.2%	0.0%	2.0%	-2.1%	0	0	0	0.00	113.84	N/A	N/A	0	0	0	0
2017-10-05	$55.69	$0.00	11.1%	2.5%	5.2%	5.5%	0.0%	5.0%	1.1%	0	0	0	0.00	113.83	N/A	N/A	0	0	0	0
2017-10-06	$55.63	$0.00	12.4%	2.7%	5.3%	7.5%	0.0%	4.0%	0.4%	0	0	0	0.00	114.70	N/A	N/A	0	0	0	0
2017-10-09	$55.46	$0.00	9.4%	2.5%	4.3%	3.1%	0.0%	1.8%	1.7%	0	0	0	0.00	115.87	N/A	N/A	0	0	0	0
2017-10-10	$55.60	$0.00	10.6%	2.4%	4.3%	4.8%	0.0%	2.1%	1.1%	0	0	0	0.00	115.27	N/A	N/A	0	0	0	0
2017-10-11	$55.67	$0.00	8.6%	2.5%	4.3%	1.9%	0.0%	2.2%	2.6%	0	0	0	0.00	116.74	N/A	N/A	0	0	0	0
2017-10-12	$55.64	$0.00	8.5%	2.4%	4.2%	1.8%	0.0%	2.2%	0.3%	0	0	0	0.00	115.93	N/A	N/A	0	0	0	0
2017-10-13	$55.70	$0.00	8.5%	2.4%	4.2%	1.7%	0.0%	2.3%	2.4%	0	0	0	0.00	116.59	N/A	N/A	0	0	0	0
2017-10-16	$55.72	$0.00	8.5%	2.4%	4.2%	1.7%	0.0%	2.0%	-0.1%	0	0	0	0.00	116.19	N/A	N/A	0	0	0	0
2017-10-17	$55.71	$0.00	8.8%	2.5%	4.2%	2.2%	0.0%	2.5%	3.0%	0	0	0	0.00	116.83	N/A	N/A	0	0	0	0
2017-10-18	$55.78	$0.00	8.6%	2.5%	4.2%	1.9%	0.0%	2.1%	-0.7%	0	0	0	0.00	116.41	N/A	N/A	0	0	0	0
2017-10-19	$55.86	$0.00	10.3%	2.9%	3.6%	4.4%	0.0%	0.6%	-1.3%	0	0	0	0.00	113.44	N/A	N/A	0	0	0	0
2017-10-20	$56.25	$0.00	8.9%	2.5%	4.1%	2.3%	0.0%	2.4%	-1.8%	0	0	0	0.00	116.69	N/A	N/A	0	0	0	0
2017-10-23	$56.15	$0.00	9.6%	2.7%	4.1%	3.3%	0.0%	0.4%	-1.5%	0	0	0	0.00	115.72	N/A	N/A	0	0	0	0
2017-10-24	$56.26	$0.00	11.0%	3.2%	4.1%	5.4%	0.0%	1.1%	-0.3%	0	0	0	0.00	111.54	N/A	N/A	0	0	0	0
2017-10-25	$55.87	$0.00	11.0%	3.2%	4.9%	5.5%	16.4%	3.2%	-2.3%	0	0	0	0.00	110.95	N/A	N/A	0	2	0	0
2017-10-26	$56.03	$55.00	10.7%	3.1%	5.0%	4.9%	12.7%	2.1%	-1.1%	-1.2K	2.9K	-9	0.00	108.13	N/A	N/A	0	2	0	2
2017-10-27	$56.12	$55.00	10.2%	2.9%	4.8%	4.2%	16.7%	5.7%	-1.4%	-1.3K	3.1K	-9	0.00	112.88	N/A	N/A	0	2	0	2
2017-10-30	$55.91	$55.00	12.6%	3.6%	4.9%	7.8%	12.7%	2.4%	-4.5%	-1.5K	3.1K	-8	0.18	112.04	N/A	N/A	11	2	0	2
2017-10-31	$56.02	$55.00	11.3%	3.2%	4.8%	5.8%	12.8%	4.1%	-3.7%	8.1K	-26.7K	-61	0.18	114.02	N/A	N/A	11	2	11	2