FEX Options History — September 2018 In September 2018, FEX traded between $62.05 and $63.06. ATM implied volatility averaged 11.8%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 4.4% (HV 20d: 7.4%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.02.
Notable Days 2018-09-07 : Highest Volume — 71 contracts2018-09-17 : Largest IV spike — 41.2% change2018-09-12 : Highest IV Rank — 11.3%2018-09-12 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $62.59 $62.05 $63.06 $62.59 $62.44 Max Pain $47.00 $47.00 $47.00 $47.00 $47.00 ATM IV 11.8% 9.5% 15.0% 12.5% 13.7% Expected Move 3.4% 2.7% 4.3% 3.6% 3.9% HV 20d 7.4% 6.0% 8.7% 8.5% 6.0% HV 60d 8.3% 7.7% 8.7% 8.6% 7.8% IV Rank 7.2% 3.2% 11.3% 7.7% 11.1% IV Percentile 46.4% 18.3% 75.8% 56.0% 65.9% Term Structure 1.2% -4.7% 15.8% 1.5% -3.3% VWIV 24.7% 24.6% 24.9% 24.6% 24.9% Skew 25d 2.5% 0.5% 7.4% 1.5% 4.0% Skew 10d 2.4% -4.5% 7.1% 3.5% -4.5% Call IV 25d 11.9% 8.7% 17.1% 13.2% 13.0% Put IV 25d 14.4% 9.8% 19.8% 14.6% 17.0% Bid-Ask Spread % 118.87 104.17 133.52 113.11 114.27 Gamma HHI 0.50 0.35 0.69 0.51 0.58 Net GEX 3.9K 2.7K 5.6K 4.6K 3.6K Net DEX -336.9K -424.6K -116.9K -415.0K -121.5K Net VEX -152 -221 -107 -147 -133 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.02 0.00 0.04 0.00 0.04 Total Volume 58.474 24 71 70 24 Total OI 58.421 24 71 70 24
Daily Data (19 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 2018-09-04 $62.59 $47.00 12.5% 3.6% 8.5% 7.7% 24.6% 1.5% 1.5% 4.6K -415.0K -147 0.00 113.11 N/A N/A 70 0 70 0 2018-09-05 $62.47 $47.00 13.5% 3.9% 8.5% 9.1% 24.9% 1.1% -4.7% 5.4K -408.9K -206 0.00 110.78 N/A N/A 70 0 70 0 2018-09-06 $62.33 $0.00 12.6% 3.0% 8.5% 7.8% 0.0% 5.0% 3.1% 4.9K -413.6K -139 0.00 116.69 N/A N/A 70 0 70 0 2018-09-07 $62.05 $0.00 10.9% 3.7% 8.7% 5.3% 0.0% 4.1% 1.3% 5.6K -401.4K -221 0.01 104.17 N/A N/A 70 1 70 0 2018-09-10 $62.32 $0.00 10.3% 3.6% 8.4% 4.4% 0.0% 7.4% 0.9% 3.9K -402.0K -220 0.01 112.57 N/A N/A 70 1 70 1 2018-09-11 $62.48 $0.00 13.6% 3.3% 8.2% 9.2% 0.0% 0.5% 2.0% 5.0K -408.5K -172 0.01 120.53 N/A N/A 70 1 70 1 2018-09-12 $62.55 $0.00 15.0% 4.3% 7.9% 11.3% 0.0% 2.7% 1.5% 3.9K -404.6K -202 0.01 133.52 N/A N/A 70 1 70 1 2018-09-13 $62.70 $0.00 9.8% 2.8% 6.7% 3.6% 0.0% 1.5% 1.5% 4.2K -416.4K -147 0.01 123.28 N/A N/A 70 1 70 1 2018-09-14 $62.87 $0.00 9.5% 2.7% 6.1% 3.2% 0.0% 2.2% 1.9% 3.5K -419.7K -134 0.01 123.39 N/A N/A 70 1 70 1 2018-09-17 $62.37 $0.00 13.4% 3.8% 6.9% 10.6% 0.0% 1.4% -1.5% 5.1K -410.6K -155 0.01 126.42 N/A N/A 70 1 70 1 2018-09-18 $62.81 $0.00 12.6% 3.6% 7.1% 9.3% 0.0% 2.4% -0.9% 3.3K -417.3K -145 0.01 126.88 N/A N/A 70 1 70 1 2018-09-19 $62.68 $0.00 9.9% 2.8% 7.1% 4.5% 0.0% 2.1% 1.2% 3.3K -419.3K -125 0.01 118.86 N/A N/A 70 1 70 1 2018-09-20 $63.05 $0.00 9.8% 2.8% 7.3% 4.4% 0.0% 1.7% 1.3% 2.8K -424.6K -112 0.01 119.91 N/A N/A 70 1 70 1 2018-09-21 $63.06 $0.00 13.1% 3.7% 7.2% 10.1% 0.0% 1.5% -1.0% 2.7K -423.8K -119 0.01 125.21 N/A N/A 70 1 70 1 2018-09-24 $62.73 $0.00 10.4% 3.0% 7.1% 5.5% 0.0% 1.8% 15.8% 2.8K -127.5K -107 0.04 122.04 N/A N/A 23 1 23 1 2018-09-25 $62.71 $0.00 10.7% 3.1% 6.7% 5.8% 0.0% 1.5% -0.7% 3.0K -123.4K -134 0.04 120.37 N/A N/A 23 1 23 1 2018-09-26 $62.62 $0.00 10.3% 2.9% 6.7% 5.2% 0.0% 1.1% 2.2% 3.2K -125.2K -117 0.04 116.32 N/A N/A 23 1 23 1 2018-09-27 $62.37 $0.00 12.1% 3.5% 6.5% 8.5% 0.0% 4.9% 0.3% 3.2K -116.9K -156 0.04 110.21 N/A N/A 23 1 23 1 2018-09-28 $62.44 $0.00 13.7% 3.9% 6.0% 11.1% 0.0% 4.0% -3.3% 3.6K -121.5K -133 0.04 114.27 N/A N/A 23 1 23 1
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