FEX Options History — March 2018

In March 2018, FEX traded between $57.33 and $61.07. ATM implied volatility averaged 17.4%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.6% (HV 20d: 16.8%). Max pain ranged from $57.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.13.

Notable Days

2018-03-26: Highest Volume — 54 contracts
2018-03-22: Largest IV spike — 53.8% change
2018-03-13: Highest IV Rank — 27.7%
2018-03-23: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.52	$57.33	$61.07	$58.67	$58.44
Max Pain	$61.07	$57.00	$65.00	$65.00	$59.00
ATM IV	17.4%	11.0%	26.1%	19.0%	18.3%
Expected Move	4.4%	3.2%	6.5%	5.5%	5.3%
HV 20d	16.8%	12.7%	22.9%	22.6%	19.5%
HV 60d	15.8%	14.8%	18.1%	14.8%	18.1%
IV Rank	14.9%	5.5%	27.7%	17.2%	16.2%
IV Percentile	89.0%	47.2%	98.8%	96.4%	93.3%
Term Structure	1.0%	-3.0%	3.1%	0.4%	0.2%
VWIV	16.3%	8.0%	29.6%	28.7%	18.3%
Skew 25d	5.0%	-2.2%	10.1%	-2.2%	10.0%
Skew 10d	5.8%	1.0%	16.0%	7.1%	4.2%
Call IV 25d	13.5%	9.3%	21.3%	20.2%	19.6%
Put IV 25d	18.5%	13.2%	29.6%	18.0%	29.6%
Bid-Ask Spread %	112.76	105.62	125.39	113.83	117.96
Gamma HHI	0.78	0.21	1.00	1.00	0.21
Net GEX	2.6K	2	9.3K	5	1.7K
Net DEX	-13.6K	-92.8K	4.4K	-4	-13.9K
Net VEX	-88	-349	0	0	-348
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.69	0.00	0.69
Total Volume	17.571	1	54	1	54
Total OI	15	1	54	1	54

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
2018-03-01	$58.67	$65.00	19.0%	5.5%	22.6%	17.2%	28.7%	-2.2%	0.4%	5	-4	0	0.00	113.83	N/A	N/A	1	0	1	0
2018-03-02	$59.07	$65.00	16.1%	4.6%	22.9%	13.0%	29.6%	4.2%	0.3%	3	-2	0	0.00	115.07	N/A	N/A	1	0	1	0
2018-03-05	$59.69	$0.00	15.0%	3.8%	22.3%	11.3%	0.0%	9.4%	3.1%	2	-2	0	0.00	109.17	N/A	N/A	1	0	1	0
2018-03-06	$59.89	$0.00	15.3%	3.6%	18.7%	11.8%	0.0%	5.4%	2.5%	2	-1	0	0.00	105.62	N/A	N/A	1	0	1	0
2018-03-07	$59.91	$0.00	17.0%	4.1%	18.5%	14.3%	0.0%	8.3%	2.7%	6	-5	0	0.00	107.96	N/A	N/A	1	0	1	0
2018-03-08	$60.00	$0.00	18.1%	3.5%	18.5%	15.8%	0.0%	5.3%	1.5%	3	-2	0	0.00	107.56	N/A	N/A	1	0	1	0
2018-03-09	$61.00	$0.00	16.4%	3.4%	13.9%	13.3%	0.0%	6.9%	1.7%	21	-16	0	0.00	113.54	N/A	N/A	1	0	1	0
2018-03-12	$61.07	$0.00	23.9%	3.7%	13.7%	24.5%	0.0%	4.4%	1.5%	16	-11	0	0.00	110.47	N/A	N/A	1	0	1	0
2018-03-13	$60.74	$0.00	26.1%	3.6%	13.5%	27.7%	12.8%	3.4%	2.0%	34	-32	0	0.00	111.72	N/A	N/A	12	0	1	0
2018-03-14	$60.42	$62.00	14.1%	4.0%	13.8%	10.0%	10.8%	2.6%	1.7%	5.8K	-19.0K	-78	0.00	112.97	N/A	N/A	12	0	12	0
2018-03-15	$60.33	$62.00	13.4%	3.8%	12.9%	8.9%	10.8%	2.9%	2.8%	5.7K	-16.0K	-67	0.00	114.36	N/A	N/A	12	0	12	0
2018-03-16	$60.65	$62.00	11.0%	3.2%	12.7%	5.5%	11.5%	1.7%	2.7%	5.6K	-17.1K	-68	0.00	116.81	N/A	N/A	12	0	12	0
2018-03-19	$59.91	$62.00	13.6%	3.9%	13.4%	9.2%	8.0%	4.4%	1.5%	4.3K	-11.5K	-53	0.00	111.39	N/A	N/A	11	0	11	0
2018-03-20	$60.02	$62.00	14.3%	4.1%	13.2%	10.2%	9.5%	4.7%	0.2%	4.6K	-13.2K	-58	0.00	112.92	N/A	N/A	11	0	11	0
2018-03-21	$60.08	$62.00	13.9%	4.0%	13.1%	9.7%	12.3%	2.5%	1.2%	5.2K	-14.9K	-62	0.00	125.39	N/A	N/A	11	0	11	0
2018-03-22	$58.50	$62.00	21.4%	6.1%	16.3%	20.7%	16.0%	4.4%	-1.1%	2.8K	-12.5K	-54	0.00	109.67	N/A	N/A	32	0	11	0
2018-03-23	$57.33	$57.00	22.7%	6.5%	16.7%	22.7%	21.6%	-0.1%	-1.4%	8.2K	-78.3K	-200	0.00	108.45	N/A	N/A	32	0	32	0
2018-03-26	$58.73	$57.00	16.4%	4.7%	18.9%	13.3%	16.6%	6.8%	1.0%	9.3K	-92.8K	-175	0.69	110.66	N/A	N/A	32	22	32	0
2018-03-27	$57.78	$59.00	19.7%	5.7%	19.4%	18.2%	19.6%	10.1%	0.4%	517	-1.2K	-349	0.69	115.01	N/A	N/A	32	22	32	22
2018-03-28	$57.59	$59.00	20.0%	5.7%	19.2%	18.6%	17.8%	9.2%	-3.0%	730	4.4K	-339	0.69	117.45	N/A	N/A	32	22	32	22
2018-03-29	$58.44	$59.00	18.3%	5.3%	19.5%	16.2%	18.3%	10.0%	0.2%	1.7K	-13.9K	-348	0.69	117.96	N/A	N/A	32	22	32	22