FEX Options History — February 2019

In February 2019, FEX traded between $57.21 and $59.51. ATM implied volatility averaged 14.8%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 5.0% (HV 20d: 9.8%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.00.

Notable Days

2019-02-04: Highest Volume — 3 contracts
2019-02-07: Largest IV spike — 22.0% change
2019-02-13: Highest IV Rank — 31.3%
2019-02-13: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.50	$57.21	$59.51	$57.21	$59.25
Max Pain	$55.00	$55.00	$55.00	$55.00	$55.00
ATM IV	14.8%	12.8%	17.7%	15.0%	15.3%
Expected Move	4.2%	3.7%	4.8%	4.3%	4.4%
HV 20d	9.8%	7.0%	14.2%	14.2%	7.0%
HV 60d	19.4%	18.4%	20.3%	20.3%	18.4%
IV Rank	22.2%	12.0%	31.3%	12.0%	26.6%
IV Percentile	46.8%	29.4%	67.1%	49.6%	54.4%
Term Structure	-0.0%	-1.9%	2.3%	0.6%	-0.8%
Skew 25d	4.4%	1.7%	7.1%	6.8%	1.9%
Skew 10d	3.6%	1.2%	6.8%	3.6%	3.6%
Call IV 25d	12.0%	9.9%	14.5%	13.0%	12.1%
Put IV 25d	16.4%	13.8%	19.7%	19.7%	14.1%
Bid-Ask Spread %	117.97	113.22	120.54	117.09	119.91
Gamma HHI	0.68	0.50	1.00	1.00	0.67
Net GEX	219	-1.0K	850	-945	658
Net DEX	-6.4K	-10.4K	4.0K	4.0K	-9.6K
Net VEX	-44	-57	-15	-17	-41
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	0.316	0	3	0	0
Total OI	5.684	3	6	3	6

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2019-02-01	$57.21	$55.00	15.0%	4.3%	14.2%	12.0%	0.0%	6.8%	0.6%	-945	4.0K	-17	117.09	N/A	N/A	0	0	3
2019-02-04	$57.43	$55.00	17.7%	4.1%	11.0%	16.7%	0.0%	4.2%	0.7%	-1.0K	3.3K	-15	118.69	N/A	N/A	3	0	3
2019-02-05	$57.69	$55.00	15.6%	4.3%	10.4%	13.0%	0.0%	5.4%	-0.4%	-56	-4.6K	-56	116.15	N/A	N/A	3	3	3
2019-02-06	$57.64	$55.00	13.0%	3.7%	10.4%	17.7%	0.0%	5.4%	0.6%	-77	-4.4K	-56	118.85	N/A	N/A	0	3	3
2019-02-07	$57.32	$55.00	15.8%	4.5%	10.7%	28.5%	0.0%	3.3%	-0.0%	-133	-3.7K	-57	116.08	N/A	N/A	0	3	3
2019-02-08	$57.35	$55.00	16.5%	4.7%	10.7%	31.0%	0.0%	5.5%	-0.0%	-147	-3.5K	-56	115.26	N/A	N/A	0	3	3
2019-02-11	$57.61	$55.00	14.6%	4.2%	10.8%	23.8%	0.0%	5.6%	-0.2%	-77	-4.6K	-53	119.08	N/A	N/A	0	3	3
2019-02-12	$58.33	$55.00	14.8%	4.2%	10.8%	24.4%	0.0%	7.1%	1.0%	192	-6.7K	-50	117.49	N/A	N/A	0	3	3
2019-02-13	$58.56	$55.00	16.6%	4.8%	10.7%	31.3%	0.0%	4.0%	-1.8%	127	-6.6K	-51	113.22	N/A	N/A	0	3	3
2019-02-14	$58.55	$55.00	13.0%	3.7%	10.8%	17.7%	0.0%	5.4%	1.2%	175	-6.7K	-50	114.68	N/A	N/A	0	3	3
2019-02-15	$59.06	$55.00	14.4%	4.1%	10.9%	23.0%	0.0%	6.6%	-0.2%	572	-9.2K	-41	119.99	N/A	N/A	0	3	3
2019-02-19	$59.34	$55.00	13.7%	3.9%	10.2%	20.4%	0.0%	4.0%	-0.2%	838	-9.7K	-41	119.03	N/A	N/A	0	3	3
2019-02-20	$59.43	$55.00	13.9%	4.0%	7.8%	21.0%	0.0%	4.5%	2.3%	513	-9.9K	-42	118.54	N/A	N/A	0	3	3
2019-02-21	$59.15	$55.00	14.8%	4.2%	8.4%	24.6%	0.0%	5.2%	0.1%	543	-9.5K	-43	116.43	N/A	N/A	0	3	3
2019-02-22	$59.47	$55.00	14.1%	4.1%	8.4%	22.0%	0.0%	2.2%	0.4%	850	-9.9K	-40	120.54	N/A	N/A	0	3	3
2019-02-25	$59.51	$55.00	12.8%	3.7%	7.9%	16.8%	0.0%	2.0%	-1.9%	832	-10.4K	-40	120.27	N/A	N/A	0	3	3
2019-02-26	$59.39	$55.00	14.8%	4.2%	7.4%	24.4%	0.0%	1.7%	-0.5%	640	-9.7K	-41	120.01	N/A	N/A	0	3	3
2019-02-27	$59.30	$55.00	15.3%	4.4%	7.5%	26.6%	0.0%	3.0%	-1.6%	701	-9.7K	-40	120.05	N/A	N/A	0	3	3
2019-02-28	$59.25	$55.00	15.3%	4.4%	7.0%	26.6%	0.0%	1.9%	-0.8%	658	-9.6K	-41	119.91	N/A	N/A	0	3	3