FEX Options History — November 2018

In November 2018, FEX traded between $55.80 and $59.32. ATM implied volatility averaged 21.3%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.9% (HV 20d: 20.4%). Max pain ranged from $52.00 to $52.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.17.

Notable Days

2018-11-01: Highest Volume — 27 contracts
2018-11-05: Largest IV spike — 66.6% change
2018-11-13: Highest IV Rank — 47.8%
2018-11-23: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.53	$55.80	$59.32	$57.86	$58.12
Max Pain	$52.00	$52.00	$52.00	$52.00	$52.00
ATM IV	21.3%	14.8%	34.8%	18.3%	19.2%
Expected Move	5.5%	4.3%	7.6%	5.2%	5.5%
HV 20d	20.4%	17.2%	22.3%	22.0%	17.2%
HV 60d	15.2%	14.2%	16.5%	14.2%	16.5%
IV Rank	23.9%	12.5%	47.8%	18.5%	20.1%
IV Percentile	87.6%	61.1%	99.6%	86.9%	83.7%
Term Structure	-1.2%	-9.0%	10.8%	-3.6%	-1.7%
VWIV	19.4%	15.8%	25.4%	24.1%	20.1%
Skew 25d	5.5%	1.1%	8.8%	8.6%	8.0%
Skew 10d	8.4%	-1.0%	17.8%	12.2%	4.3%
Call IV 25d	17.7%	13.7%	24.1%	18.2%	18.9%
Put IV 25d	23.2%	18.3%	32.1%	26.7%	26.9%
Bid-Ask Spread %	113.27	96.65	128.14	114.71	109.93
Gamma HHI	0.38	0.33	0.50	0.37	0.39
Net GEX	5.3K	4.2K	6.3K	5.6K	5.9K
Net DEX	-67.8K	-91.1K	-47.2K	-64.8K	-74.7K
Net VEX	-146	-200	-98	-190	-98
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.17	0.17	0.17	0.17
Total Volume	27	27	27	27	27
Total OI	26	26	26	26	26

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
2018-11-01	$57.86	$0.00	18.3%	5.2%	22.0%	18.5%	0.0%	8.6%	-3.6%	5.6K	-64.8K	-190	0.17	114.71	N/A	N/A	23	4	23	3
2018-11-02	$57.61	$0.00	19.8%	5.7%	22.0%	21.3%	0.0%	2.5%	-2.8%	5.1K	-70.2K	-186	0.17	112.98	N/A	N/A	23	4	23	3
2018-11-05	$57.91	$52.00	33.1%	6.4%	22.2%	44.6%	24.1%	8.8%	-9.0%	4.2K	-69.6K	-200	0.17	126.06	N/A	N/A	23	4	23	3
2018-11-06	$58.15	$52.00	22.1%	5.4%	22.3%	25.4%	19.1%	6.0%	-0.8%	5.8K	-68.7K	-176	0.17	107.55	N/A	N/A	23	4	23	3
2018-11-07	$59.32	$52.00	16.4%	4.6%	21.3%	15.3%	15.8%	5.0%	-0.5%	5.8K	-85.5K	-160	0.17	111.65	N/A	N/A	23	4	23	3
2018-11-08	$59.02	$52.00	19.5%	4.3%	20.3%	20.6%	16.9%	6.0%	1.8%	6.3K	-91.1K	-155	0.17	113.53	N/A	N/A	23	4	23	3
2018-11-09	$58.71	$52.00	24.8%	5.2%	20.4%	30.1%	20.7%	4.8%	-5.2%	5.0K	-79.2K	-176	0.17	120.32	N/A	N/A	23	4	23	3
2018-11-12	$57.76	$52.00	23.0%	5.4%	21.2%	27.0%	16.2%	4.2%	-0.2%	5.7K	-79.9K	-149	0.17	107.11	N/A	N/A	23	4	23	3
2018-11-13	$57.54	$52.00	34.8%	5.0%	20.2%	47.8%	19.7%	4.2%	-0.1%	5.1K	-69.9K	-148	0.17	114.80	N/A	N/A	23	4	23	3
2018-11-14	$57.25	$52.00	20.3%	5.8%	20.3%	22.1%	19.7%	2.9%	-0.5%	5.2K	-69.6K	-152	0.17	112.38	N/A	N/A	23	4	23	3
2018-11-15	$57.48	$52.00	21.0%	6.0%	20.1%	23.4%	19.0%	7.2%	-0.7%	5.6K	-61.4K	-149	0.17	110.14	N/A	N/A	23	4	23	3
2018-11-16	$57.81	$52.00	17.7%	5.1%	20.2%	17.5%	17.4%	7.7%	0.4%	5.9K	-65.1K	-154	0.17	109.20	N/A	N/A	23	4	23	3
2018-11-19	$56.64	$52.00	20.0%	5.7%	21.4%	21.6%	17.3%	1.1%	10.8%	5.2K	-63.4K	-136	0.17	108.68	N/A	N/A	23	4	23	3
2018-11-20	$55.80	$52.00	21.1%	6.1%	21.8%	23.6%	19.6%	8.1%	-0.7%	4.6K	-47.2K	-137	0.17	96.65	N/A	N/A	23	4	23	3
2018-11-21	$56.18	$52.00	19.7%	5.7%	20.6%	21.1%	19.3%	7.8%	-1.4%	5.0K	-52.6K	-126	0.17	113.12	N/A	N/A	23	4	23	3
2018-11-23	$55.90	$52.00	26.7%	7.6%	20.6%	33.4%	25.4%	2.8%	-8.6%	4.7K	-52.5K	-146	0.17	128.14	N/A	N/A	23	4	23	3
2018-11-26	$56.72	$52.00	16.8%	4.8%	19.8%	15.8%	20.2%	2.5%	-0.3%	5.1K	-59.5K	-106	0.17	117.84	N/A	N/A	23	4	23	3
2018-11-27	$56.65	$52.00	19.4%	5.6%	19.2%	20.5%	19.7%	6.7%	-0.1%	4.9K	-55.5K	-112	0.17	112.37	N/A	N/A	23	4	23	3
2018-11-28	$57.82	$52.00	14.8%	4.3%	18.6%	12.5%	19.2%	4.2%	-0.6%	5.7K	-70.4K	-98	0.17	116.57	N/A	N/A	23	4	23	3
2018-11-29	$57.96	$52.00	18.7%	5.4%	17.4%	19.3%	18.5%	6.3%	-2.3%	5.7K	-74.1K	-102	0.17	115.00	N/A	N/A	23	4	23	3
2018-11-30	$58.12	$52.00	19.2%	5.5%	17.2%	20.1%	20.1%	8.0%	-1.7%	5.9K	-74.7K	-98	0.17	109.93	N/A	N/A	23	4	23	3