FEX Options History — February 2018 In February 2018, FEX traded between $56.81 and $61.40. ATM implied volatility averaged 20.0%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.2% (HV 20d: 19.8%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.11.
Notable Days 2018-02-01 : Highest Volume — 14 contracts2018-02-05 : Largest IV spike — 318.3% change2018-02-05 : Highest IV Rank — 84.0%2018-02-05 : Largest Expected Move — 11.1%Monthly Statistics Metric Avg Min Max Open Close Price $59.21 $56.81 $61.40 $61.40 $59.44 Max Pain $65.00 $65.00 $65.00 $65.00 $65.00 ATM IV 20.0% 9.3% 64.4% 14.9% 17.3% Expected Move 5.2% 2.7% 11.1% 3.5% 5.0% HV 20d 19.8% 9.5% 22.4% 9.5% 22.3% HV 60d 13.0% 7.8% 14.6% 7.8% 14.6% IV Rank 18.7% 3.0% 84.0% 11.2% 14.7% IV Percentile 89.6% 19.8% 99.6% 94.0% 95.6% Term Structure -0.1% -4.2% 6.6% 1.2% -1.3% VWIV 23.9% 12.4% 81.3% 12.4% 24.6% Skew 25d 6.4% -2.3% 14.6% 1.8% -2.3% Skew 10d 5.0% -26.0% 15.2% 3.1% 4.5% Call IV 25d 15.0% 8.2% 42.5% 10.6% 15.5% Put IV 25d 21.4% 12.4% 49.3% 12.4% 13.2% Bid-Ask Spread % 114.69 101.93 139.63 114.67 115.23 Gamma HHI 0.90 0.57 1.00 0.57 1.00 Net GEX 3.6K 1 20.1K 2.7K 12 Net DEX -19.5K -66.0K -1 -53.8K -11 Net VEX -20 -58 0 -42 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.11 0.00 0.17 0.17 0.00 Total Volume 9.211 1 14 14 1 Total OI 8.684 1 14 14 1
Daily Data (19 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 2018-02-01 $61.40 $65.00 14.9% 3.5% 9.5% 11.2% 12.4% 1.8% 1.2% 2.7K -53.8K -42 0.17 114.67 N/A N/A 12 2 12 2 2018-02-02 $60.21 $65.00 15.4% 4.2% 12.1% 11.9% 15.0% 1.1% 0.3% 3.8K -45.5K -49 0.17 111.39 N/A N/A 12 2 12 2 2018-02-05 $58.26 $65.00 64.4% 11.1% 16.8% 84.0% 81.3% 6.8% 6.6% 1.8K -26.7K -58 0.17 139.63 N/A N/A 12 2 12 2 2018-02-06 $58.71 $65.00 28.4% 5.9% 17.0% 31.1% 21.7% 14.6% -2.0% 3.6K -21.3K -50 0.17 115.39 N/A N/A 12 2 12 2 2018-02-07 $58.79 $65.00 17.3% 5.0% 17.0% 14.7% 21.8% 4.5% -0.8% 4.2K -20.4K -47 0.17 116.08 N/A N/A 12 2 12 2 2018-02-08 $56.81 $65.00 25.8% 7.4% 20.7% 27.2% 22.2% 8.1% -4.2% 4.2K -4.1K -32 0.17 101.93 N/A N/A 12 2 12 2 2018-02-09 $57.39 $65.00 24.9% 7.1% 20.7% 25.8% 25.4% 14.1% -2.7% 4.4K -4.6K -30 0.17 111.35 N/A N/A 12 2 12 2 2018-02-12 $58.11 $65.00 21.0% 6.0% 21.1% 20.2% 28.1% 6.7% -1.2% 5.4K -24.4K -26 0.17 120.78 N/A N/A 12 2 12 0 2018-02-13 $58.33 $65.00 18.9% 5.4% 21.2% 17.0% 21.7% 11.6% 1.6% 8.4K -23.3K -23 0.17 113.25 N/A N/A 12 2 12 0 2018-02-14 $59.22 $65.00 16.2% 4.6% 21.7% 13.1% 19.5% 9.2% 0.5% 20.1K -34.2K -17 0.17 111.39 N/A N/A 12 2 12 0 2018-02-15 $59.68 $65.00 14.7% 4.2% 22.0% 10.9% 16.2% 8.9% 1.3% 9.7K -45.3K -13 0.17 112.66 N/A N/A 12 2 12 0 2018-02-16 $59.97 $65.00 14.9% 4.3% 21.9% 11.2% 18.7% 6.9% 0.1% 52 -66.0K -1 0.17 113.35 N/A N/A 12 2 12 0 2018-02-20 $59.57 $65.00 15.1% 4.3% 21.7% 11.5% 20.8% 5.2% -0.3% 23 -25 0 0.00 113.82 N/A N/A 1 0 1 0 2018-02-21 $59.30 $65.00 16.8% 4.8% 21.6% 13.9% 20.7% 6.3% -1.6% 16 -16 0 0.00 113.03 N/A N/A 1 0 1 0 2018-02-22 $59.20 $65.00 16.8% 4.8% 21.6% 14.0% 22.2% 3.4% -2.8% 8 -7 0 0.00 113.55 N/A N/A 1 0 1 0 2018-02-23 $60.04 $65.00 11.6% 3.3% 22.4% 6.3% 21.7% 4.5% 2.2% 1 -1 0 0.00 115.41 N/A N/A 1 0 1 0 2018-02-26 $60.55 $65.00 9.3% 2.7% 22.3% 3.0% 17.7% 3.6% 3.5% 4 -2 0 0.00 113.86 N/A N/A 1 0 1 0 2018-02-27 $59.97 $65.00 16.5% 4.7% 22.4% 13.6% 22.2% 6.6% -2.4% 39 -42 0 0.00 112.30 N/A N/A 1 0 1 0 2018-02-28 $59.44 $65.00 17.3% 5.0% 22.3% 14.7% 24.6% -2.3% -1.3% 12 -11 0 0.00 115.23 N/A N/A 1 0 1 0
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