FEX Options History — June 2018

In June 2018, FEX traded between $59.23 and $61.35. ATM implied volatility averaged 14.1%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 4.5% (HV 20d: 9.5%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.08.

Notable Days

2018-06-01: Highest Volume — 86 contracts
2018-06-25: Largest IV spike — 83.8% change
2018-06-12: Highest IV Rank — 23.8%
2018-06-01: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.55	$59.23	$61.35	$60.11	$59.45
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	14.1%	8.5%	23.5%	17.0%	14.8%
Expected Move	3.3%	2.4%	4.9%	4.9%	4.3%
HV 20d	9.5%	8.6%	11.4%	10.6%	9.0%
HV 60d	14.4%	11.7%	16.2%	16.2%	11.7%
IV Rank	9.9%	1.8%	23.8%	14.3%	11.1%
IV Percentile	61.5%	5.6%	96.8%	88.5%	74.2%
Term Structure	1.2%	-7.1%	19.4%	-7.1%	-0.2%
VWIV	16.4%	16.4%	16.4%	16.4%	16.4%
Skew 25d	4.4%	-0.2%	8.1%	4.7%	8.1%
Skew 10d	3.2%	1.0%	7.4%	2.0%	5.4%
Call IV 25d	11.2%	8.0%	14.6%	14.6%	13.2%
Put IV 25d	15.7%	10.7%	21.4%	19.3%	21.4%
Bid-Ask Spread %	112.51	105.78	115.62	105.78	113.44
Gamma HHI	0.34	0.27	0.39	0.32	0.34
Net GEX	5.6K	-2.1K	11.9K	2.6K	9.6K
Net DEX	-357.2K	-392.7K	-323.4K	-331.6K	-335.8K
Net VEX	-525	-622	-446	-621	-515
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.15	0.15	0.00
Total Volume	78.381	70	86	86	70
Total OI	78.381	70	86	86	70

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
2018-06-01	$60.11	$60.00	17.0%	4.9%	10.6%	14.3%	16.4%	4.7%	-7.1%	2.6K	-331.6K	-621	0.15	105.78	N/A	N/A	75	11	75	11
2018-06-04	$60.35	$0.00	17.5%	3.2%	9.6%	15.0%	0.0%	5.4%	1.0%	2.2K	-344.4K	-581	0.15	114.08	N/A	N/A	75	11	75	11
2018-06-05	$60.42	$0.00	17.0%	3.0%	9.6%	14.2%	0.0%	5.3%	2.5%	1.4K	-341.4K	-622	0.15	113.56	N/A	N/A	75	11	75	11
2018-06-06	$60.82	$0.00	16.1%	3.1%	9.8%	12.9%	0.0%	4.5%	-2.6%	3.0K	-356.8K	-583	0.15	110.18	N/A	N/A	75	11	75	11
2018-06-07	$60.84	$0.00	13.8%	2.8%	9.6%	9.5%	0.0%	-0.2%	1.0%	-2.1K	-365.9K	-554	0.15	113.40	N/A	N/A	75	11	75	11
2018-06-08	$61.05	$0.00	16.2%	3.2%	9.1%	13.0%	0.0%	6.2%	-0.5%	1.5K	-369.9K	-545	0.15	111.68	N/A	N/A	75	11	75	11
2018-06-11	$61.26	$0.00	20.7%	3.5%	9.2%	19.7%	0.0%	4.4%	0.4%	1.5K	-373.2K	-562	0.15	109.58	N/A	N/A	75	11	75	11
2018-06-12	$61.32	$0.00	23.5%	2.4%	9.2%	23.8%	0.0%	4.2%	5.5%	2.3K	-384.3K	-484	0.15	109.39	N/A	N/A	75	11	75	11
2018-06-13	$61.25	$0.00	11.5%	3.3%	8.8%	6.2%	0.0%	5.3%	1.3%	1.8K	-375.5K	-536	0.15	114.98	N/A	N/A	75	11	75	11
2018-06-14	$61.35	$0.00	9.0%	2.6%	8.6%	2.4%	0.0%	2.7%	3.6%	2.7K	-389.6K	-489	0.15	109.23	N/A	N/A	75	11	75	11
2018-06-15	$61.21	$0.00	9.6%	2.8%	8.7%	3.4%	0.0%	3.6%	2.2%	11.9K	-392.7K	-492	0.15	113.71	N/A	N/A	75	11	75	11
2018-06-18	$61.19	$0.00	11.9%	3.4%	8.7%	6.8%	0.0%	5.4%	19.4%	8.4K	-363.7K	-476	0.00	114.15	N/A	N/A	70	0	70	0
2018-06-19	$60.89	$0.00	10.0%	2.9%	8.9%	4.0%	0.0%	5.3%	-0.7%	8.2K	-354.6K	-507	0.00	113.68	N/A	N/A	70	0	70	0
2018-06-20	$61.18	$0.00	9.7%	2.8%	8.9%	3.5%	0.0%	6.3%	0.4%	8.1K	-366.7K	-466	0.00	112.22	N/A	N/A	70	0	70	0
2018-06-21	$60.47	$0.00	12.9%	3.7%	10.0%	8.3%	0.0%	4.5%	1.3%	8.5K	-356.6K	-481	0.00	115.20	N/A	N/A	70	0	70	0
2018-06-22	$60.60	$0.00	8.5%	2.4%	10.0%	1.8%	0.0%	2.7%	0.7%	9.2K	-364.7K	-446	0.00	115.62	N/A	N/A	70	0	70	0
2018-06-25	$59.67	$0.00	15.7%	4.5%	11.4%	12.3%	0.0%	3.1%	-3.8%	8.9K	-337.6K	-507	0.00	114.47	N/A	N/A	70	0	70	0
2018-06-26	$59.75	$0.00	11.8%	3.4%	10.6%	6.5%	0.0%	2.2%	-0.0%	9.4K	-336.8K	-525	0.00	114.51	N/A	N/A	70	0	70	0
2018-06-27	$59.23	$0.00	14.6%	4.2%	9.9%	10.7%	0.0%	2.7%	0.4%	9.1K	-335.9K	-507	0.00	111.94	N/A	N/A	70	0	70	0
2018-06-28	$59.23	$0.00	13.6%	3.9%	9.5%	9.2%	0.0%	6.8%	0.9%	9.7K	-323.4K	-532	0.00	111.90	N/A	N/A	70	0	70	0
2018-06-29	$59.45	$0.00	14.8%	4.3%	9.0%	11.1%	0.0%	8.1%	-0.2%	9.6K	-335.8K	-515	0.00	113.44	N/A	N/A	70	0	70	0