FEX Options History — January 2018

In January 2018, FEX traded between $58.93 and $62.77. ATM implied volatility averaged 10.8%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.4% (HV 20d: 7.4%). Max pain ranged from $58.00 to $59.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.09.

Notable Days

2018-01-25: Highest Volume — 14 contracts
2018-01-05: Largest IV spike — 39.2% change
2018-01-30: Highest IV Rank — 11.9%
2018-01-30: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.00	$58.93	$62.77	$58.93	$61.54
Max Pain	$58.90	$58.00	$59.00	$58.00	$59.00
ATM IV	10.8%	7.8%	15.4%	9.5%	15.2%
Expected Move	3.1%	2.3%	4.4%	2.7%	4.4%
HV 20d	7.4%	6.5%	9.6%	6.9%	9.6%
HV 60d	6.7%	6.1%	7.7%	6.1%	7.7%
IV Rank	5.2%	0.7%	11.9%	3.3%	11.6%
IV Percentile	43.7%	1.6%	96.4%	21.0%	95.6%
Term Structure	-0.7%	-6.4%	3.1%	0.1%	-6.4%
VWIV	12.8%	8.0%	18.9%	12.0%	17.8%
Skew 25d	2.7%	-1.7%	8.2%	3.4%	8.2%
Skew 10d	2.2%	-1.5%	9.5%	-1.5%	3.3%
Call IV 25d	10.4%	7.2%	14.7%	8.4%	11.7%
Put IV 25d	13.1%	9.1%	21.5%	11.8%	19.9%
Bid-Ask Spread %	114.71	110.08	118.15	114.47	115.18
Gamma HHI	0.81	0.41	1.00	0.79	0.60
Net GEX	4.6K	-1.0K	9.4K	6.5K	3.2K
Net DEX	-54.3K	-68.2K	-30.2K	-30.2K	-53.2K
Net VEX	-50	-94	-4	-94	-44
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.09	0.00	0.17	0.09	0.17
Total Volume	12.905	12	14	12	14
Total OI	12.762	12	14	12	14

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
2018-01-02	$58.93	$58.00	9.5%	2.7%	6.9%	3.3%	12.0%	3.4%	0.1%	6.5K	-30.2K	-94	0.09	114.47	N/A	N/A	11	1	11	1
2018-01-03	$59.34	$58.00	10.5%	3.0%	7.2%	4.7%	8.0%	-1.7%	-1.8%	6.0K	-34.4K	-91	0.09	116.35	N/A	N/A	11	1	11	1
2018-01-04	$59.52	$59.00	7.8%	2.5%	6.8%	0.7%	9.8%	4.7%	0.8%	7.1K	-40.1K	-88	0.09	110.73	N/A	N/A	11	1	11	1
2018-01-05	$59.87	$59.00	10.8%	2.7%	6.9%	5.2%	8.3%	1.4%	-2.0%	6.1K	-41.6K	-86	0.09	113.82	N/A	N/A	11	1	11	1
2018-01-08	$60.08	$59.00	10.8%	3.2%	6.7%	5.2%	9.5%	3.4%	0.1%	6.9K	-44.5K	-77	0.08	111.15	N/A	N/A	12	1	11	1
2018-01-09	$60.11	$59.00	10.6%	3.2%	6.5%	4.8%	9.3%	2.6%	0.5%	5.7K	-46.6K	-77	0.08	110.08	N/A	N/A	12	1	12	1
2018-01-10	$59.99	$59.00	8.7%	2.5%	6.6%	2.0%	9.1%	1.3%	0.7%	5.6K	-43.4K	-77	0.08	114.53	N/A	N/A	12	1	12	1
2018-01-11	$60.61	$59.00	8.1%	2.3%	7.3%	1.1%	8.5%	0.8%	1.5%	9.4K	-57.2K	-45	0.08	114.90	N/A	N/A	12	1	12	1
2018-01-12	$61.02	$59.00	8.7%	2.5%	7.4%	2.1%	9.5%	2.1%	3.1%	4.7K	-58.2K	-49	0.08	115.71	N/A	N/A	12	1	12	1
2018-01-16	$60.70	$59.00	9.1%	2.6%	7.3%	2.6%	9.0%	1.0%	1.2%	4.8K	-57.7K	-45	0.08	114.22	N/A	N/A	12	1	12	1
2018-01-17	$61.28	$59.00	9.6%	2.8%	7.4%	3.4%	15.3%	1.1%	2.6%	6.7K	-63.7K	-23	0.08	116.85	N/A	N/A	12	1	12	1
2018-01-18	$61.17	$59.00	10.9%	3.1%	7.2%	5.3%	13.6%	1.1%	-0.0%	4.7K	-58.6K	-46	0.08	116.49	N/A	N/A	12	1	12	1
2018-01-19	$61.56	$59.00	9.6%	2.7%	7.2%	3.3%	0.0%	1.0%	-2.6%	2.8K	-68.2K	-4	0.08	118.15	N/A	N/A	12	1	12	1
2018-01-22	$62.05	$59.00	11.4%	3.3%	7.4%	6.0%	14.4%	2.6%	-3.8%	4.8K	-66.3K	-19	0.00	113.22	N/A	N/A	12	0	12	0
2018-01-23	$62.26	$59.00	11.2%	3.2%	7.1%	5.7%	17.4%	2.4%	0.6%	2.6K	-65.1K	-24	0.00	117.66	N/A	N/A	12	0	12	0
2018-01-24	$62.15	$59.00	11.4%	3.3%	7.2%	6.0%	17.4%	1.1%	0.8%	3.0K	-63.7K	-32	0.00	114.47	N/A	N/A	12	0	12	0
2018-01-25	$62.11	$59.00	13.0%	3.7%	7.2%	8.3%	16.7%	4.1%	-0.3%	3.3K	-62.0K	-35	0.17	115.34	N/A	N/A	12	2	12	0
2018-01-26	$62.77	$59.00	10.5%	3.0%	7.7%	4.7%	15.7%	4.2%	-1.3%	-1.0K	-67.4K	-13	0.17	117.33	N/A	N/A	12	2	12	2
2018-01-29	$62.36	$59.00	14.4%	4.1%	8.4%	10.4%	16.4%	6.1%	-2.6%	914	-64.6K	-25	0.17	113.63	N/A	N/A	12	2	12	2
2018-01-30	$61.66	$59.00	15.4%	4.4%	9.5%	11.9%	18.9%	6.8%	-6.2%	2.7K	-53.9K	-47	0.17	114.61	N/A	N/A	12	2	12	2
2018-01-31	$61.54	$59.00	15.2%	4.4%	9.6%	11.6%	17.8%	8.2%	-6.4%	3.2K	-53.2K	-44	0.17	115.18	N/A	N/A	12	2	12	2