FEX Options History — October 2018

In October 2018, FEX traded between $54.91 and $62.40. ATM implied volatility averaged 18.6%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.0% (HV 20d: 12.6%). Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.08.

Notable Days

  • 2018-10-24: Highest Volume — 27 contracts
  • 2018-10-05: Largest IV spike — 144.7% change
  • 2018-10-05: Highest IV Rank — 43.0%
  • 2018-10-29: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.97$54.91$62.40$62.40$57.35
ATM IV18.6%11.8%32.1%11.8%23.9%
Expected Move5.2%3.0%8.5%3.4%6.8%
HV 20d12.6%6.0%21.7%6.0%21.7%
HV 60d10.2%7.4%14.1%7.6%14.1%
IV Rank19.3%7.3%43.0%7.8%28.4%
IV Percentile82.1%46.8%99.6%49.6%95.6%
Term Structure-1.2%-10.3%3.5%3.5%-3.6%
Skew 25d5.6%-0.2%12.6%5.3%8.9%
Skew 10d5.0%-3.9%12.0%-3.9%7.8%
Call IV 25d17.1%9.3%39.5%13.1%21.7%
Put IV 25d22.7%12.2%44.0%18.4%30.6%
Bid-Ask Spread %115.09104.97138.33104.97119.07
Gamma HHI0.440.320.660.510.37
Net GEX4.6K3.2K6.3K3.2K4.7K
Net DEX-83.4K-124.3K-40.2K-119.7K-63.0K
Net VEX-173-211-109-143-197
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.040.170.040.17
Total Volume24.78324272427
Total OI24.60924272426

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$62.40$0.0011.8%3.4%6.0%7.8%0.0%5.3%3.5%3.2K-119.7K-1430.04104.97N/AN/A231231
2018-10-02$62.30$0.0012.0%3.4%6.0%8.2%0.0%2.9%2.5%3.2K-118.2K-1440.04113.10N/AN/A231231
2018-10-03$62.39$0.0013.6%3.9%6.0%11.0%0.0%1.8%-2.7%3.3K-124.3K-1090.04107.57N/AN/A231231
2018-10-04$61.71$0.0013.1%3.0%7.1%9.5%0.0%3.7%-0.7%3.8K-114.1K-1580.04114.81N/AN/A231231
2018-10-05$61.38$0.0032.1%6.5%7.2%43.0%0.0%4.5%-10.3%3.4K-107.3K-1740.04138.33N/AN/A231231
2018-10-08$61.37$0.0017.1%4.4%6.9%16.5%0.0%5.3%0.3%4.0K-110.4K-1540.04108.33N/AN/A231231
2018-10-09$60.99$0.0016.1%4.5%7.1%14.8%0.0%7.2%1.0%4.1K-108.4K-1560.04109.41N/AN/A231231
2018-10-10$59.26$0.0017.9%5.1%12.0%17.9%0.0%-0.2%-1.7%5.2K-94.5K-1840.04109.42N/AN/A231231
2018-10-11$58.20$0.0025.1%7.2%13.0%30.7%0.0%4.2%-3.5%4.1K-77.2K-2110.04123.48N/AN/A231231
2018-10-12$58.40$0.0022.1%6.3%13.1%25.3%0.0%4.7%-3.5%4.9K-79.1K-2020.04129.52N/AN/A231231
2018-10-15$58.56$0.0017.1%4.9%13.1%16.4%0.0%6.9%-0.1%5.3K-78.2K-1870.04115.44N/AN/A231231
2018-10-16$59.52$0.0011.9%3.4%14.4%7.3%0.0%5.1%1.9%6.3K-84.4K-1750.04116.32N/AN/A231231
2018-10-17$59.30$0.0014.8%4.2%14.4%12.4%0.0%7.9%2.1%5.3K-86.5K-1880.04112.93N/AN/A231231
2018-10-18$58.69$0.0016.4%4.7%14.3%15.3%0.0%4.8%0.2%5.5K-80.4K-1860.04108.74N/AN/A231231
2018-10-19$58.41$0.0017.2%4.9%14.2%16.6%0.0%4.5%-0.7%5.9K-81.9K-1660.04113.79N/AN/A231231
2018-10-22$58.23$0.0019.7%5.6%14.2%21.0%0.0%6.6%-1.4%5.9K-78.0K-1700.04111.34N/AN/A231231
2018-10-23$57.79$0.0017.8%5.1%14.2%17.7%0.0%8.8%-1.0%5.5K-67.8K-1560.04113.55N/AN/A231231
2018-10-24$56.50$0.0018.6%5.3%15.6%19.1%0.0%2.4%3.4%5.5K-63.5K-1590.17112.87N/AN/A234231
2018-10-25$56.74$0.0016.9%4.9%16.0%16.2%0.0%7.8%-0.9%5.0K-50.5K-1920.17119.99N/AN/A234234
2018-10-26$55.59$0.0019.3%5.5%16.7%20.3%0.0%10.7%-3.8%4.2K-40.2K-1700.17116.52N/AN/A234234
2018-10-29$54.91$0.0029.8%8.5%16.8%38.9%0.0%2.4%-5.0%3.9K-45.0K-2010.17116.73N/AN/A234234
2018-10-30$56.30$0.0024.3%7.0%20.1%29.2%0.0%12.6%-3.9%4.5K-46.5K-1930.17110.95N/AN/A234234
2018-10-31$57.35$0.0023.9%6.8%21.7%28.4%0.0%8.9%-3.6%4.7K-63.0K-1970.17119.07N/AN/A234233