FEX Options History — April 2018

In April 2018, FEX traded between $57.11 and $59.98. ATM implied volatility averaged 16.6%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 4.9% (HV 20d: 21.4%). Max pain ranged from $56.00 to $59.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.24.

Notable Days

2018-04-04: Highest Volume — 103 contracts
2018-04-06: Largest IV spike — 38.2% change
2018-04-02: Highest IV Rank — 24.5%
2018-04-02: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.65	$57.11	$59.98	$57.11	$58.57
Max Pain	$56.43	$56.00	$59.00	$59.00	$56.00
ATM IV	16.6%	12.3%	24.0%	24.0%	14.1%
Expected Move	4.6%	3.5%	6.9%	6.9%	4.0%
HV 20d	21.4%	15.8%	23.9%	20.9%	15.8%
HV 60d	19.6%	18.6%	19.9%	18.6%	19.9%
IV Rank	13.6%	7.4%	24.5%	24.5%	9.9%
IV Percentile	83.2%	61.9%	97.6%	97.6%	75.4%
Term Structure	-0.8%	-5.3%	4.4%	-1.9%	-1.4%
VWIV	17.5%	14.4%	22.0%	22.0%	18.0%
Skew 25d	4.9%	-3.7%	10.8%	-3.7%	2.9%
Skew 10d	6.3%	-1.9%	18.0%	6.2%	-1.9%
Call IV 25d	13.9%	9.9%	23.0%	23.0%	14.1%
Put IV 25d	18.8%	14.1%	27.1%	19.3%	17.1%
Bid-Ask Spread %	109.92	101.45	115.69	110.78	114.45
Gamma HHI	0.26	0.17	0.68	0.22	0.25
Net GEX	549	-52.8K	6.7K	2.3K	5.5K
Net DEX	-240.1K	-328.6K	15.9K	15.9K	-260.9K
Net VEX	-588	-737	-313	-313	-525
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.24	0.17	0.28	0.28	0.17
Total Volume	94.429	69	103	100	75
Total OI	91.81	54	103	54	75

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
2018-04-02	$57.11	$59.00	24.0%	6.9%	20.9%	24.5%	22.0%	-3.7%	-1.9%	2.3K	15.9K	-313	0.28	110.78	N/A	N/A	78	22	32	22
2018-04-03	$57.73	$59.00	20.2%	5.8%	21.0%	19.0%	19.0%	6.3%	-1.6%	5.6K	-193.7K	-701	0.28	109.58	N/A	N/A	78	22	78	22
2018-04-04	$58.51	$59.00	15.0%	4.3%	21.6%	11.3%	17.4%	9.3%	-0.3%	5.1K	-219.6K	-737	0.27	108.84	N/A	N/A	81	22	78	22
2018-04-05	$58.84	$56.00	16.7%	4.6%	21.7%	13.8%	15.4%	10.0%	-0.0%	3.9K	-249.7K	-691	0.27	106.17	N/A	N/A	81	22	81	22
2018-04-06	$57.55	$56.00	23.0%	5.6%	23.0%	23.1%	21.6%	4.5%	-0.9%	6.2K	-197.2K	-714	0.27	103.41	N/A	N/A	81	22	81	22
2018-04-09	$57.96	$56.00	21.8%	5.5%	22.2%	21.3%	21.0%	7.9%	-1.5%	5.3K	-213.6K	-673	0.27	101.45	N/A	N/A	81	22	81	22
2018-04-10	$58.60	$56.00	20.2%	5.3%	22.7%	18.9%	20.8%	10.8%	-0.1%	5.5K	-232.0K	-706	0.27	106.88	N/A	N/A	81	22	81	22
2018-04-11	$58.33	$56.00	18.0%	5.2%	22.6%	15.8%	16.5%	2.9%	0.5%	5.6K	-228.7K	-718	0.27	112.79	N/A	N/A	81	22	81	22
2018-04-12	$58.91	$56.00	16.2%	4.6%	23.0%	13.0%	15.4%	4.6%	-0.7%	3.0K	-249.3K	-653	0.27	112.17	N/A	N/A	81	22	81	22
2018-04-13	$58.28	$56.00	16.9%	4.8%	23.2%	14.1%	14.6%	2.3%	-2.2%	434	-241.9K	-650	0.27	111.00	N/A	N/A	81	22	81	22
2018-04-16	$59.11	$56.00	12.3%	3.5%	23.8%	7.4%	14.4%	6.5%	4.4%	-6.0K	-275.1K	-591	0.27	105.39	N/A	N/A	81	22	81	22
2018-04-17	$59.75	$56.00	13.2%	3.8%	23.8%	8.7%	17.5%	7.9%	-5.3%	4.3K	-298.2K	-577	0.27	108.18	N/A	N/A	81	22	81	22
2018-04-18	$59.98	$56.00	12.9%	3.7%	23.8%	8.3%	18.2%	1.9%	-0.9%	-2.2K	-328.6K	-467	0.27	115.67	N/A	N/A	81	22	81	22
2018-04-19	$59.60	$56.00	13.3%	3.8%	23.9%	8.8%	15.7%	2.5%	-0.3%	-5.2K	-309.0K	-471	0.27	115.69	N/A	N/A	81	22	81	22
2018-04-20	$59.13	$56.00	14.2%	4.1%	22.0%	10.2%	15.5%	2.1%	0.5%	-52.8K	-307.4K	-476	0.27	112.01	N/A	N/A	81	22	81	22
2018-04-23	$59.08	$56.00	15.1%	4.3%	20.7%	11.5%	17.4%	1.9%	-0.3%	2.9K	-250.8K	-454	0.19	113.21	N/A	N/A	58	11	58	11
2018-04-24	$58.30	$56.00	14.3%	4.1%	19.5%	10.3%	14.5%	1.3%	0.0%	4.2K	-232.7K	-489	0.17	110.66	N/A	N/A	64	11	58	11
2018-04-25	$58.45	$56.00	18.5%	5.3%	18.5%	16.5%	15.7%	8.0%	-3.8%	5.7K	-248.3K	-590	0.17	105.42	N/A	N/A	64	11	64	11
2018-04-26	$58.89	$56.00	13.9%	4.0%	18.6%	9.7%	18.7%	6.8%	1.2%	6.7K	-264.8K	-554	0.17	110.19	N/A	N/A	64	11	64	11
2018-04-27	$58.87	$56.00	14.1%	4.0%	17.9%	10.0%	17.6%	6.2%	-1.4%	5.7K	-255.5K	-608	0.17	114.35	N/A	N/A	64	11	64	11
2018-04-30	$58.57	$56.00	14.1%	4.0%	15.8%	9.9%	18.0%	2.9%	-1.4%	5.5K	-260.9K	-525	0.17	114.45	N/A	N/A	64	11	64	11