FEX Options History — August 2018

In August 2018, FEX traded between $60.50 and $62.99. ATM implied volatility averaged 11.7%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.4% (HV 20d: 8.3%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.00.

Notable Days

2018-08-01: Highest Volume — 70 contracts
2018-08-09: Largest IV spike — 39.5% change
2018-08-13: Highest IV Rank — 13.8%
2018-08-01: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.63	$60.50	$62.99	$60.50	$62.57
Max Pain	$47.00	$47.00	$47.00	$47.00	$47.00
ATM IV	11.7%	10.0%	16.7%	12.9%	12.2%
Expected Move	3.1%	2.3%	3.7%	3.7%	3.5%
HV 20d	8.3%	7.0%	9.2%	8.6%	8.6%
HV 60d	8.9%	8.5%	9.4%	9.0%	8.7%
IV Rank	6.5%	3.9%	13.8%	8.2%	7.1%
IV Percentile	46.2%	27.8%	84.9%	56.7%	53.2%
Term Structure	0.4%	-3.9%	3.6%	-1.4%	0.2%
VWIV	17.4%	13.3%	25.0%	13.3%	22.7%
Skew 25d	3.4%	-1.7%	8.4%	2.5%	1.9%
Skew 10d	1.3%	-3.4%	8.9%	-0.2%	0.1%
Call IV 25d	10.2%	6.3%	13.9%	12.6%	12.3%
Put IV 25d	13.6%	9.0%	17.7%	15.2%	14.1%
Bid-Ask Spread %	113.43	107.63	122.52	116.02	115.09
Gamma HHI	0.39	0.35	0.50	0.38	0.50
Net GEX	8.1K	4.8K	11.5K	10.1K	4.8K
Net DEX	-392.2K	-416.1K	-363.0K	-363.0K	-414.7K
Net VEX	-262	-380	-149	-380	-149
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 (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2018-08-01	$60.50	$0.00	12.9%	3.7%	8.6%	8.2%	0.0%	2.5%	-1.4%	10.1K	-363.0K	-380	116.02	N/A	N/A	70	70
2018-08-02	$60.84	$0.00	10.6%	3.0%	8.6%	4.9%	0.0%	-1.7%	-3.9%	10.8K	-375.0K	-321	108.89	N/A	N/A	70	70
2018-08-03	$61.00	$0.00	11.7%	3.4%	8.1%	6.5%	0.0%	4.2%	-3.9%	11.5K	-379.5K	-306	112.27	N/A	N/A	70	70
2018-08-06	$61.25	$47.00	10.0%	2.8%	7.6%	3.9%	13.3%	4.7%	2.3%	8.4K	-391.2K	-265	112.71	N/A	N/A	70	70
2018-08-07	$61.55	$47.00	10.2%	2.6%	7.8%	4.2%	14.1%	5.3%	1.9%	7.7K	-396.4K	-252	111.84	N/A	N/A	70	70
2018-08-08	$61.52	$47.00	10.7%	2.3%	7.2%	5.0%	13.5%	5.2%	1.7%	7.7K	-395.2K	-253	113.65	N/A	N/A	70	70
2018-08-09	$61.49	$47.00	14.9%	3.1%	7.0%	11.2%	14.5%	3.3%	2.7%	8.1K	-393.6K	-254	116.77	N/A	N/A	70	70
2018-08-10	$61.09	$47.00	14.4%	3.5%	7.4%	10.4%	14.3%	4.9%	-0.1%	9.2K	-384.2K	-289	112.71	N/A	N/A	70	70
2018-08-13	$60.86	$47.00	16.7%	3.3%	7.5%	13.8%	13.8%	3.8%	3.3%	9.1K	-375.9K	-324	107.63	N/A	N/A	70	70
2018-08-14	$61.31	$47.00	13.8%	3.1%	7.7%	9.5%	14.8%	4.8%	2.7%	9.6K	-390.4K	-262	113.04	N/A	N/A	70	70
2018-08-15	$60.68	$47.00	12.0%	3.5%	8.5%	7.0%	21.8%	3.5%	-1.3%	9.9K	-369.4K	-322	112.16	N/A	N/A	70	70
2018-08-16	$61.24	$47.00	11.1%	3.2%	9.1%	5.6%	15.4%	4.0%	3.1%	8.9K	-384.3K	-294	112.96	N/A	N/A	70	70
2018-08-17	$61.43	$47.00	11.7%	3.4%	9.1%	6.5%	14.8%	5.4%	2.1%	9.2K	-385.7K	-286	112.91	N/A	N/A	70	70
2018-08-20	$61.70	$47.00	10.4%	3.0%	9.2%	4.5%	16.8%	6.6%	-1.5%	8.3K	-392.7K	-250	113.77	N/A	N/A	70	70
2018-08-21	$61.95	$47.00	11.2%	3.2%	9.2%	5.7%	14.9%	8.4%	-3.0%	8.5K	-393.8K	-267	118.80	N/A	N/A	70	70
2018-08-22	$61.90	$47.00	12.2%	3.5%	8.9%	7.2%	18.4%	2.1%	-0.0%	7.6K	-395.8K	-249	122.52	N/A	N/A	70	70
2018-08-23	$61.72	$47.00	10.6%	3.0%	8.8%	4.8%	17.8%	1.9%	-1.4%	7.5K	-396.8K	-244	114.88	N/A	N/A	70	70
2018-08-24	$62.17	$47.00	10.8%	3.1%	8.5%	5.2%	20.0%	3.1%	-0.5%	7.4K	-399.8K	-249	111.47	N/A	N/A	70	70
2018-08-27	$62.61	$47.00	10.3%	3.0%	8.4%	4.5%	20.3%	1.5%	0.4%	5.2K	-407.8K	-226	112.05	N/A	N/A	70	70
2018-08-28	$62.66	$47.00	10.2%	2.9%	8.3%	4.2%	21.0%	1.0%	3.6%	4.8K	-416.1K	-152	112.01	N/A	N/A	70	70
2018-08-29	$62.99	$47.00	10.5%	3.0%	8.0%	4.6%	21.7%	1.9%	1.6%	4.9K	-414.4K	-204	112.17	N/A	N/A	70	70
2018-08-30	$62.51	$47.00	10.8%	3.1%	8.6%	5.1%	25.0%	0.1%	-0.3%	6.3K	-404.0K	-234	112.60	N/A	N/A	70	70
2018-08-31	$62.57	$47.00	12.2%	3.5%	8.6%	7.1%	22.7%	1.9%	0.2%	4.8K	-414.7K	-149	115.09	N/A	N/A	70	70