FEX Options History — November 2017

In November 2017, FEX traded between $56.05 and $58.13. ATM implied volatility averaged 10.3%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 5.1% (HV 20d: 5.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.18.

Notable Days

2017-11-01: Highest Volume — 13 contracts
2017-11-14: Largest IV spike — 42.0% change
2017-11-01: Highest IV Rank — 9.6%
2017-11-01: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.67	$56.05	$58.13	$56.08	$58.13
Max Pain	$55.00	$55.00	$55.00	$55.00	$55.00
ATM IV	10.3%	7.8%	13.8%	13.8%	11.4%
Expected Move	3.0%	2.2%	4.0%	4.0%	3.3%
HV 20d	5.2%	4.4%	6.4%	4.8%	6.4%
HV 60d	6.1%	5.4%	7.5%	7.5%	5.5%
IV Rank	4.4%	0.7%	9.6%	9.6%	6.0%
IV Percentile	31.6%	1.2%	80.6%	80.6%	52.4%
Term Structure	0.9%	-3.2%	5.2%	-3.2%	-1.2%
VWIV	12.5%	12.5%	12.5%	12.5%	12.5%
Skew 25d	3.5%	0.1%	6.0%	0.3%	2.3%
Skew 10d	3.9%	-2.2%	7.5%	1.3%	3.9%
Call IV 25d	9.7%	6.4%	14.1%	14.1%	12.6%
Put IV 25d	13.2%	10.5%	17.7%	14.4%	14.9%
Bid-Ask Spread %	110.74	104.47	132.49	113.55	114.91
Gamma HHI	0.86	0.78	1.00	0.79	0.90
Net GEX	7.4K	0	20.8K	7.3K	0
Net DEX	-23.2K	-62.3K	0	-32.1K	0
Net VEX	-20	-58	0	-58	0
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	8.048	0	13	13	0
Total OI	8.048	0	13	13	0

Daily Data (21 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
2017-11-01	$56.08	$55.00	13.8%	4.0%	4.8%	9.6%	12.5%	0.3%	-3.2%	7.3K	-32.1K	-58	0.18	113.55	N/A	N/A	11	2	11	2
2017-11-02	$56.12	$0.00	9.2%	3.1%	4.5%	2.8%	0.0%	5.1%	0.2%	12.1K	-30.7K	-52	0.18	106.96	N/A	N/A	11	2	11	2
2017-11-03	$56.17	$0.00	11.5%	2.8%	4.5%	6.1%	0.0%	5.1%	2.2%	9.7K	-31.1K	-53	0.18	110.18	N/A	N/A	11	2	11	2
2017-11-06	$56.33	$0.00	9.3%	2.9%	4.4%	3.0%	0.0%	4.6%	1.0%	14.1K	-37.7K	-40	0.18	104.47	N/A	N/A	11	2	11	2
2017-11-07	$56.22	$0.00	9.6%	2.6%	4.4%	3.4%	0.0%	3.1%	3.1%	14.2K	-38.9K	-41	0.18	106.29	N/A	N/A	11	2	11	2
2017-11-08	$56.39	$0.00	9.2%	2.6%	4.5%	2.8%	0.0%	3.4%	2.4%	18.5K	-40.0K	-33	0.18	105.26	N/A	N/A	11	2	11	2
2017-11-09	$56.17	$0.00	9.0%	2.6%	4.8%	2.6%	0.0%	3.9%	2.8%	9.9K	-30.0K	-40	0.18	111.31	N/A	N/A	11	2	11	2
2017-11-10	$56.21	$0.00	11.1%	3.2%	4.8%	5.6%	0.0%	5.8%	1.8%	8.5K	-30.8K	-38	0.18	111.90	N/A	N/A	11	2	11	2
2017-11-13	$56.37	$0.00	8.0%	2.3%	4.8%	0.9%	0.0%	5.0%	5.2%	15.7K	-38.2K	-23	0.18	108.64	N/A	N/A	11	2	11	2
2017-11-14	$56.35	$0.00	11.3%	3.2%	4.8%	5.9%	0.0%	5.4%	1.5%	20.8K	-40.2K	-19	0.18	104.86	N/A	N/A	11	2	11	2
2017-11-15	$56.05	$0.00	11.7%	3.3%	5.3%	6.4%	0.0%	4.2%	-0.1%	13.3K	-29.6K	-19	0.18	106.80	N/A	N/A	11	2	11	2
2017-11-16	$56.57	$0.00	8.8%	2.5%	6.2%	2.2%	0.0%	6.0%	1.7%	11.9K	-45.4K	-11	0.18	106.67	N/A	N/A	11	2	11	2
2017-11-17	$56.62	$0.00	7.8%	2.2%	5.7%	0.7%	0.0%	5.2%	3.6%	0	-62.3K	0	0.18	111.10	N/A	N/A	11	2	11	2
2017-11-20	$56.77	$0.00	9.7%	2.8%	5.7%	3.4%	0.0%	4.7%	-1.7%	0	0	0	0.00	105.93	N/A	N/A	0	0	0	0
2017-11-21	$57.06	$0.00	8.8%	2.5%	5.9%	2.1%	0.0%	4.2%	1.3%	0	0	0	0.00	109.63	N/A	N/A	0	0	0	0
2017-11-22	$56.99	$0.00	11.5%	3.3%	5.2%	6.2%	0.0%	0.7%	0.5%	0	0	0	0.00	112.68	N/A	N/A	0	0	0	0
2017-11-24	$57.07	$0.00	10.7%	3.1%	5.2%	5.0%	0.0%	0.1%	0.3%	0	0	0	0.00	114.04	N/A	N/A	0	0	0	0
2017-11-27	$57.04	$0.00	11.8%	3.4%	5.2%	6.7%	0.0%	1.3%	-2.3%	0	0	0	0.00	132.49	N/A	N/A	0	0	0	0
2017-11-28	$57.66	$0.00	10.6%	3.0%	6.0%	4.8%	0.0%	1.8%	-0.2%	0	0	0	0.00	113.16	N/A	N/A	0	0	0	0
2017-11-29	$57.69	$0.00	11.9%	3.4%	6.0%	6.8%	0.0%	0.9%	-1.1%	0	0	0	0.00	114.67	N/A	N/A	0	0	0	0
2017-11-30	$58.13	$0.00	11.4%	3.3%	6.4%	6.0%	0.0%	2.3%	-1.2%	0	0	0	0.00	114.91	N/A	N/A	0	0	0	0