FEX Options History — December 2017

In December 2017, FEX traded between $57.54 and $58.95. ATM implied volatility averaged 11.0%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 3.8% (HV 20d: 7.3%). Max pain ranged from $58.00 to $58.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.09.

Notable Days

2017-12-20: Highest Volume — 12 contracts
2017-12-12: Largest IV drop — 35.7% change
2017-12-11: Highest IV Rank — 16.8%
2017-12-01: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.36	$57.54	$58.95	$57.98	$58.59
Max Pain	$58.00	$58.00	$58.00	$58.00	$58.00
ATM IV	11.0%	8.1%	18.8%	12.9%	8.9%
Expected Move	2.6%	2.3%	3.7%	3.7%	2.6%
HV 20d	7.3%	6.6%	7.8%	6.6%	6.8%
HV 60d	5.7%	5.3%	6.0%	5.5%	6.0%
IV Rank	5.4%	1.1%	16.8%	8.3%	2.4%
IV Percentile	40.7%	2.4%	96.4%	76.2%	10.7%
Term Structure	0.1%	-3.4%	3.7%	-3.4%	-0.4%
VWIV	9.9%	7.6%	13.0%	10.6%	12.8%
Skew 25d	2.7%	0.1%	5.5%	0.1%	3.3%
Skew 10d	3.9%	-1.7%	13.0%	0.6%	0.7%
Call IV 25d	9.5%	6.6%	13.5%	13.5%	8.3%
Put IV 25d	12.2%	9.8%	17.5%	13.6%	11.5%
Bid-Ask Spread %	112.64	103.26	117.08	116.40	112.13
Gamma HHI	0.94	0.78	1.00	1.00	0.83
Net GEX	1.3K	-915	6.9K	0	6.0K
Net DEX	-6.9K	-30.4K	3.3K	0	-29.7K
Net VEX	-36	-108	0	0	-100
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.09	0.09	0.09	0.09	0.09
Total Volume	4.85	1	12	1	12
Total OI	4.25	0	12	0	12

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
2017-12-01	$57.98	$0.00	12.9%	3.7%	6.6%	8.3%	0.0%	0.1%	-3.4%	0	0	0	0.00	116.40	N/A	N/A	0	1	0	0
2017-12-04	$57.90	$58.00	13.6%	3.0%	6.7%	9.3%	10.6%	3.3%	1.1%	-626	2.5K	-8	0.00	107.35	N/A	N/A	0	1	0	1
2017-12-05	$57.59	$58.00	13.1%	2.8%	7.1%	8.6%	8.7%	4.3%	-0.6%	-546	3.0K	-8	0.00	107.63	N/A	N/A	0	1	0	1
2017-12-06	$57.54	$58.00	13.9%	2.6%	7.0%	9.7%	7.6%	4.4%	0.6%	-617	3.3K	-8	0.00	103.26	N/A	N/A	0	1	0	1
2017-12-07	$57.93	$58.00	13.1%	2.3%	7.3%	8.5%	7.6%	4.3%	1.8%	-702	3.1K	-8	0.00	107.49	N/A	N/A	0	1	0	1
2017-12-08	$58.29	$58.00	14.3%	2.8%	7.2%	10.2%	10.5%	4.2%	1.5%	-583	2.8K	-8	0.00	113.42	N/A	N/A	0	1	0	1
2017-12-11	$58.37	$58.00	18.8%	2.3%	7.2%	16.8%	9.5%	5.5%	3.7%	-611	2.5K	-7	0.00	110.47	N/A	N/A	0	1	0	1
2017-12-12	$58.31	$58.00	12.0%	2.4%	7.2%	7.0%	7.9%	4.0%	1.3%	-664	2.8K	-7	0.00	114.51	N/A	N/A	0	1	0	1
2017-12-13	$58.24	$58.00	10.0%	2.9%	7.3%	3.9%	10.2%	0.8%	0.0%	-625	2.9K	-7	0.00	114.44	N/A	N/A	0	1	0	1
2017-12-14	$57.93	$58.00	8.1%	2.3%	7.3%	1.1%	8.1%	0.8%	1.7%	-915	2.8K	-7	0.00	114.77	N/A	N/A	0	1	0	1
2017-12-15	$58.44	$58.00	8.7%	2.5%	7.2%	2.0%	8.8%	0.8%	1.2%	-906	2.6K	-7	0.00	116.21	N/A	N/A	0	1	0	1
2017-12-18	$58.95	$58.00	8.7%	2.5%	7.6%	2.0%	10.8%	1.3%	-1.5%	-813	1.9K	-6	0.00	112.85	N/A	N/A	0	1	0	1
2017-12-19	$58.81	$58.00	8.3%	2.4%	7.8%	1.5%	9.8%	2.1%	-0.9%	-657	2.0K	-6	0.00	114.97	N/A	N/A	0	1	0	1
2017-12-20	$58.85	$58.00	8.5%	2.4%	7.7%	1.8%	12.1%	1.4%	0.1%	-753	2.2K	-6	0.09	115.24	N/A	N/A	11	1	0	1
2017-12-21	$58.67	$58.00	8.8%	2.5%	7.8%	2.2%	10.2%	1.5%	-2.4%	6.9K	-30.4K	-108	0.09	115.29	N/A	N/A	11	1	11	1
2017-12-22	$58.67	$58.00	8.9%	2.6%	7.8%	2.3%	9.7%	0.2%	1.6%	5.0K	-27.0K	-106	0.09	117.08	N/A	N/A	11	1	11	1
2017-12-26	$58.63	$58.00	9.4%	2.7%	7.8%	3.0%	10.7%	3.4%	-0.4%	6.2K	-28.2K	-103	0.09	110.44	N/A	N/A	11	1	11	1
2017-12-27	$58.67	$58.00	11.2%	3.2%	7.0%	5.8%	13.0%	5.4%	-0.2%	5.0K	-27.5K	-101	0.09	113.54	N/A	N/A	11	1	11	1
2017-12-28	$58.84	$58.00	8.9%	2.6%	7.0%	2.4%	9.9%	2.3%	-2.8%	6.4K	-29.5K	-100	0.09	115.40	N/A	N/A	11	1	11	1
2017-12-29	$58.59	$58.00	8.9%	2.6%	6.8%	2.4%	12.8%	3.3%	-0.4%	6.0K	-29.7K	-100	0.09	112.13	N/A	N/A	11	1	11	1