FEX Options History — December 2018 In December 2018, FEX traded between $49.29 and $58.69. ATM implied volatility averaged 24.3%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.4% (HV 20d: 20.9%). Max pain ranged from $52.00 to $52.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 6 of 20 days.
Notable Days 2018-12-04 : Largest IV spike — 43.3% change2018-12-24 : Highest IV Rank — 40.8%2018-12-24 : Largest Expected Move — 8.9%Monthly Statistics Metric Avg Min Max Open Close Price $53.84 $49.29 $58.69 $58.69 $52.06 Max Pain $52.00 $52.00 $52.00 $52.00 $52.00 ATM IV 24.3% 14.7% 30.9% 14.7% 25.7% Expected Move 6.7% 4.2% 8.9% 4.2% 7.4% HV 20d 20.9% 17.4% 25.5% 17.4% 24.6% HV 60d 18.8% 16.7% 21.5% 16.7% 21.5% IV Rank 29.1% 12.2% 40.8% 12.2% 31.7% IV Percentile 91.5% 57.9% 98.4% 57.9% 93.3% Term Structure -1.6% -8.0% 1.5% 0.3% -1.3% Skew 25d 5.3% 1.2% 18.5% 1.6% 9.3% Skew 10d 8.6% 1.1% 21.5% 3.0% 6.2% Call IV 25d 20.2% 14.9% 25.7% 15.5% 21.2% Put IV 25d 25.5% 17.1% 39.6% 17.1% 30.4% Bid-Ask Spread % 113.58 96.75 133.56 119.57 116.88 Gamma HHI 0.63 0.34 1.00 0.56 1.00 Net GEX 3.3K -615 6.6K 6.1K -615 Net DEX -25.3K -83.6K 12.2K -83.6K 10.7K Net VEX -55 -89 -20 -81 -24 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 20.25 3 26 26 3
Daily Data (20 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 2018-12-03 $58.69 $52.00 14.7% 4.2% 17.4% 12.2% 0.0% 1.6% 0.3% 6.1K -83.6K -81 0.00 119.57 N/A N/A 0 0 23 3 2018-12-04 $56.91 $52.00 21.1% 6.0% 20.6% 23.5% 0.0% 1.2% -3.6% 5.2K -64.7K -89 0.00 112.91 N/A N/A 0 0 23 3 2018-12-05 $56.86 $52.00 20.2% 5.8% 20.5% 22.0% 0.0% 3.1% -3.1% 5.2K -64.6K -89 0.00 118.38 N/A N/A 0 0 23 3 2018-12-06 $56.68 $0.00 21.4% 4.7% 19.0% 24.1% 0.0% 5.3% 0.9% 5.3K -55.3K -88 0.00 107.22 N/A N/A 0 0 23 3 2018-12-07 $55.94 $0.00 22.9% 5.7% 19.4% 26.7% 0.0% 2.4% -0.8% 4.9K -50.9K -83 0.00 109.64 N/A N/A 0 0 23 3 2018-12-10 $55.36 $0.00 26.1% 6.4% 19.5% 32.3% 0.0% 6.3% -1.2% 4.9K -40.9K -77 0.00 106.37 N/A N/A 0 0 23 3 2018-12-11 $55.34 $0.00 23.9% 6.1% 18.9% 28.5% 0.0% 3.8% -0.3% 4.9K -46.8K -70 0.00 104.20 N/A N/A 0 0 23 3 2018-12-12 $55.85 $0.00 21.3% 6.1% 19.3% 23.9% 0.0% 7.5% -2.0% 4.7K -49.3K -69 0.00 96.75 N/A N/A 0 0 23 3 2018-12-13 $55.35 $0.00 19.9% 5.7% 19.4% 21.4% 0.0% 3.4% 0.7% 4.8K -43.1K -67 0.00 113.83 N/A N/A 0 0 23 3 2018-12-14 $54.40 $0.00 20.0% 5.7% 20.1% 21.6% 0.0% 3.9% 1.5% 5.4K -39.0K -64 0.00 103.62 N/A N/A 0 0 23 3 2018-12-17 $53.11 $0.00 27.0% 7.8% 21.2% 34.0% 0.0% 2.0% -2.2% 4.8K -15.4K -56 0.00 111.30 N/A N/A 0 0 23 3 2018-12-18 $53.10 $0.00 23.0% 6.6% 20.3% 26.8% 0.0% 1.9% 0.2% 6.6K -15.2K -51 0.00 110.90 N/A N/A 0 0 23 3 2018-12-19 $52.17 $0.00 25.6% 7.3% 20.5% 31.4% 0.0% 3.7% -3.5% 3.6K -9.3K -44 0.00 133.56 N/A N/A 0 0 23 3 2018-12-20 $51.24 $0.00 27.0% 7.8% 20.8% 34.0% 0.0% 7.2% 0.4% 2.1K 5.6K -29 0.00 116.14 N/A N/A 0 0 23 3 2018-12-21 $50.46 $0.00 27.3% 7.8% 21.1% 34.4% 0.0% 2.2% -5.3% -455 11.7K -22 0.00 115.98 N/A N/A 0 0 23 3 2018-12-24 $49.29 $0.00 30.9% 8.9% 20.7% 40.8% 0.0% 4.0% -1.5% -359 11.9K -20 0.00 117.54 N/A N/A 0 0 0 3 2018-12-26 $51.05 $0.00 29.1% 8.3% 25.5% 37.6% 0.0% 16.3% -8.0% -458 12.2K -20 0.00 119.86 N/A N/A 0 0 0 3 2018-12-27 $51.43 $0.00 30.8% 8.8% 24.2% 40.7% 0.0% 18.5% -1.8% -487 10.9K -24 0.00 116.55 N/A N/A 0 0 0 3 2018-12-28 $51.57 $0.00 27.3% 7.8% 24.2% 34.4% 0.0% 3.2% -1.7% -538 9.9K -27 0.00 120.44 N/A N/A 0 0 0 3 2018-12-31 $52.06 $0.00 25.7% 7.4% 24.6% 31.7% 0.0% 9.3% -1.3% -615 10.7K -24 0.00 116.88 N/A N/A 0 0 0 3
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