FEX Options History — May 2018

In May 2018, FEX traded between $57.79 and $60.21. ATM implied volatility averaged 12.9%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.6% (HV 20d: 11.3%). Max pain ranged from $56.00 to $60.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2018-05-24: Highest Volume — 86 contracts
  • 2018-05-25: Largest IV spike — 50.7% change
  • 2018-05-03: Highest IV Rank — 17.7%
  • 2018-05-03: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.44$57.79$60.21$58.30$59.58
Max Pain$59.64$56.00$60.00$56.00$60.00
ATM IV12.9%8.3%19.4%14.8%13.6%
Expected Move3.6%2.4%5.4%4.2%3.9%
HV 20d11.3%8.3%15.6%15.6%10.6%
HV 60d16.9%15.8%19.5%19.5%16.1%
IV Rank8.2%1.5%17.7%11.0%9.2%
IV Percentile57.3%3.2%92.5%79.4%67.9%
Term Structure0.1%-6.2%4.4%1.2%-4.0%
VWIV12.4%9.6%18.1%16.3%13.3%
Skew 25d3.4%-1.7%10.9%2.9%3.4%
Skew 10d4.0%-2.8%25.7%-2.8%3.2%
Call IV 25d12.2%8.7%16.5%16.5%14.2%
Put IV 25d15.5%9.1%23.9%19.5%17.6%
Bid-Ask Spread %111.21104.06118.64113.58107.95
Gamma HHI0.340.240.470.240.31
Net GEX1.9K-3.7K8.2K7.2K2.5K
Net DEX-286.4K-326.1K-227.6K-245.2K-319.2K
Net VEX-483-705-340-519-660
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.150.170.170.15
Total Volume77.63675867586
Total OI76.68265867586

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$58.30$56.0014.8%4.2%15.6%11.0%16.3%2.9%1.2%7.2K-245.2K-5190.17113.58N/AN/A64116411
2018-05-02$58.08$56.0016.1%4.6%14.8%12.9%18.1%1.7%-2.0%6.4K-251.1K-4760.17113.58N/AN/A64116411
2018-05-03$57.79$60.0019.4%5.4%14.8%17.7%14.2%10.9%-1.9%8.2K-227.6K-5800.17110.75N/AN/A64116411
2018-05-04$58.62$60.0013.0%3.6%13.4%8.3%10.9%5.7%0.6%3.6K-257.9K-4640.17118.64N/AN/A64116411
2018-05-07$58.70$60.0015.6%3.7%13.2%12.2%11.7%1.7%0.6%4.7K-266.8K-4380.17114.71N/AN/A64116411
2018-05-08$58.79$60.0015.4%3.9%12.6%11.9%12.2%4.3%1.4%3.8K-269.4K-4310.17112.11N/AN/A64116411
2018-05-09$59.21$60.0013.1%3.8%12.7%8.5%12.6%5.6%0.7%1.3K-283.3K-4080.17111.13N/AN/A64116411
2018-05-10$59.79$60.0010.1%2.9%12.7%4.0%10.5%3.7%2.6%9-296.3K-3920.17111.80N/AN/A64116411
2018-05-11$59.86$60.0011.7%3.4%12.0%6.5%11.3%5.0%-0.3%885-302.2K-3790.17115.31N/AN/A64116411
2018-05-14$59.85$60.009.3%2.7%11.0%3.0%9.9%0.5%3.0%-2.7K-310.4K-3400.17113.89N/AN/A64116411
2018-05-15$59.50$60.0013.7%3.9%10.5%9.5%11.1%5.6%-0.1%2.1K-291.4K-4000.17114.53N/AN/A64116411
2018-05-16$59.89$60.009.5%2.7%10.7%3.2%10.1%0.7%2.1%-2.3K-300.2K-3800.17112.09N/AN/A64116411
2018-05-17$59.95$60.009.9%2.8%10.4%3.7%10.9%3.7%2.6%-627-303.9K-3660.17112.57N/AN/A64116411
2018-05-18$59.95$60.009.2%2.6%10.0%2.8%9.6%2.1%2.7%-2.9K-304.7K-3630.17106.77N/AN/A64116411
2018-05-21$60.21$60.0013.4%3.8%10.0%8.9%15.2%1.7%-0.8%503-249.7K-3750.17111.24N/AN/A65115411
2018-05-22$60.08$60.008.3%2.4%8.6%1.5%9.7%0.1%4.4%759-299.5K-5250.17107.07N/AN/A65116511
2018-05-23$60.05$60.0012.2%3.5%8.6%7.2%11.6%4.8%-2.9%2.3K-283.3K-5240.17108.96N/AN/A65116511
2018-05-24$60.17$60.0010.1%2.9%8.3%4.1%11.6%-1.7%2.7%-3.7K-283.3K-5330.15109.25N/AN/A75116511
2018-05-25$59.97$60.0015.2%4.4%8.5%11.6%14.7%-0.5%-5.0%3.8K-326.1K-6850.15104.06N/AN/A75117511
2018-05-29$59.30$60.0014.3%4.1%9.3%10.3%12.6%5.8%-0.1%4.0K-305.5K-7050.15109.33N/AN/A75117511
2018-05-30$60.10$60.0015.9%4.6%10.1%12.7%15.2%6.3%-6.2%2.0K-324.1K-6800.15107.39N/AN/A75117511
2018-05-31$59.58$60.0013.6%3.9%10.6%9.2%13.3%3.4%-4.0%2.5K-319.2K-6600.15107.95N/AN/A75117511