FEX Options History — July 2018 In July 2018, FEX traded between $59.23 and $61.37. ATM implied volatility averaged 10.6%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 1.3% (HV 20d: 9.3%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2018-07-02 : Highest Volume — 70 contracts2018-07-20 : Largest IV spike — 35.5% change2018-07-03 : Highest IV Rank — 10.9%2018-07-03 : Largest Expected Move — 4.2%Monthly Statistics Metric Avg Min Max Open Close Price $60.55 $59.23 $61.37 $59.27 $60.80 ATM IV 10.6% 9.0% 14.7% 14.0% 12.1% Expected Move 3.1% 2.6% 4.2% 4.0% 3.5% HV 20d 9.3% 7.2% 10.6% 8.8% 8.3% HV 60d 9.8% 9.0% 10.8% 10.8% 9.0% IV Rank 4.8% 2.5% 10.9% 9.8% 7.1% IV Percentile 33.4% 13.5% 73.0% 68.7% 52.4% Term Structure 0.3% -2.7% 1.9% 0.6% -2.2% Skew 25d 2.7% -0.0% 6.7% -0.0% 1.8% Skew 10d 2.2% -1.7% 8.9% -1.7% 2.9% Call IV 25d 10.1% 6.4% 14.7% 14.7% 12.6% Put IV 25d 12.8% 8.9% 20.3% 14.6% 14.4% Bid-Ask Spread % 114.46 108.24 118.42 110.47 116.34 Gamma HHI 0.37 0.33 0.39 0.35 0.38 Net GEX 9.4K 8.8K 10.0K 10.0K 9.7K Net DEX -360.9K -379.2K -327.6K -327.6K -372.4K Net VEX -416 -518 -348 -517 -356 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 70 70 70 70 70 Total OI 70 70 70 70 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 2018-07-02 $59.27 $0.00 14.0% 4.0% 8.8% 9.8% 0.0% -0.0% 0.6% 10.0K -327.6K -517 0.00 110.47 N/A N/A 70 0 70 0 2018-07-03 $59.23 $0.00 14.7% 4.2% 8.8% 10.9% 0.0% 5.7% -0.8% 9.7K -330.7K -518 0.00 110.59 N/A N/A 70 0 70 0 2018-07-05 $59.56 $0.00 12.7% 3.4% 8.7% 8.0% 0.0% 5.1% -0.5% 9.8K -334.9K -490 0.00 114.65 N/A N/A 70 0 70 0 2018-07-06 $60.09 $0.00 9.0% 3.4% 9.4% 2.5% 0.0% 5.9% 1.7% 9.6K -346.2K -464 0.00 108.24 N/A N/A 70 0 70 0 2018-07-09 $60.63 $0.00 9.6% 3.1% 9.9% 3.4% 0.0% 6.7% -0.5% 9.2K -357.2K -444 0.00 113.73 N/A N/A 70 0 70 0 2018-07-10 $60.78 $0.00 10.2% 2.8% 9.8% 4.2% 0.0% 2.1% 1.4% 9.1K -366.6K -417 0.00 117.70 N/A N/A 70 0 70 0 2018-07-11 $60.33 $0.00 10.5% 3.0% 10.1% 4.8% 0.0% 1.9% 1.3% 9.7K -353.3K -450 0.00 115.81 N/A N/A 70 0 70 0 2018-07-12 $60.68 $0.00 9.5% 2.7% 10.4% 3.2% 0.0% 2.2% 1.5% 9.4K -362.5K -427 0.00 117.71 N/A N/A 70 0 70 0 2018-07-13 $60.72 $0.00 9.8% 2.8% 10.4% 3.6% 0.0% 1.9% 0.7% 9.3K -359.4K -438 0.00 117.66 N/A N/A 70 0 70 0 2018-07-16 $60.55 $0.00 9.8% 2.8% 10.4% 3.7% 0.0% 1.8% 1.0% 9.5K -364.5K -403 0.00 118.31 N/A N/A 70 0 70 0 2018-07-17 $60.88 $0.00 9.8% 2.8% 10.6% 3.6% 0.0% 2.1% 1.9% 9.8K -362.8K -419 0.00 117.52 N/A N/A 70 0 70 0 2018-07-18 $61.05 $0.00 9.0% 2.6% 10.5% 2.5% 0.0% 3.3% 1.6% 9.1K -369.1K -398 0.00 112.59 N/A N/A 70 0 70 0 2018-07-19 $60.97 $0.00 9.1% 2.6% 10.4% 2.6% 0.0% 3.6% 1.5% 9.1K -369.7K -394 0.00 111.20 N/A N/A 70 0 70 0 2018-07-20 $60.78 $0.00 12.3% 3.5% 9.5% 7.4% 0.0% 2.6% -2.7% 9.3K -365.0K -406 0.00 115.74 N/A N/A 70 0 70 0 2018-07-23 $60.80 $0.00 9.3% 2.7% 9.5% 2.9% 0.0% 2.4% 1.5% 9.2K -363.1K -408 0.00 111.78 N/A N/A 70 0 70 0 2018-07-24 $60.61 $0.00 10.7% 3.1% 7.6% 5.1% 0.0% 3.0% -1.9% 9.3K -371.6K -359 0.00 116.56 N/A N/A 70 0 70 0 2018-07-25 $61.04 $0.00 10.2% 2.9% 8.0% 4.2% 0.0% 1.7% 0.6% 9.6K -377.2K -352 0.00 118.42 N/A N/A 70 0 70 0 2018-07-26 $61.37 $0.00 9.7% 2.8% 7.2% 3.5% 0.0% 1.5% -0.3% 8.8K -379.2K -357 0.00 112.53 N/A N/A 70 0 70 0 2018-07-27 $60.86 $0.00 10.4% 3.0% 8.0% 4.6% 0.0% 0.8% -0.3% 8.9K -376.9K -348 0.00 113.53 N/A N/A 70 0 70 0 2018-07-30 $60.51 $0.00 9.6% 2.8% 8.4% 3.4% 0.0% 1.5% 0.2% 9.5K -369.7K -367 0.00 112.55 N/A N/A 70 0 70 0 2018-07-31 $60.80 $0.00 12.1% 3.5% 8.3% 7.1% 0.0% 1.8% -2.2% 9.7K -372.4K -356 0.00 116.34 N/A N/A 70 0 70 0
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