FEX Options History — July 2019

Name: FEX Options Analytics - July 2019
Creator: Options Analysis Suite

In July 2019, FEX traded between $61.59 and $62.94. ATM implied volatility averaged 12.6%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 4.1% (HV 20d: 8.5%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2019-07-12: Highest Volume — 2 contracts
2019-07-30: Largest IV spike — 35.2% change
2019-07-30: Highest IV Rank — 25.4%
2019-07-30: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.21	$61.59	$62.94	$61.66	$62.38
ATM IV	12.6%	10.7%	15.9%	12.3%	14.8%
Expected Move	3.6%	3.1%	4.6%	3.5%	4.2%
HV 20d	8.5%	7.8%	11.4%	11.4%	8.0%
HV 60d	13.3%	13.2%	13.5%	13.4%	13.4%
IV Rank	13.3%	4.8%	25.4%	12.6%	21.1%
IV Percentile	28.9%	8.7%	60.3%	26.6%	50.0%
Term Structure	0.0%	-3.7%	3.2%	0.3%	-2.5%
Skew 25d	3.5%	-1.1%	7.9%	1.9%	2.1%
Skew 10d	3.4%	-0.5%	10.8%	1.9%	1.5%
Call IV 25d	10.8%	7.4%	14.4%	13.3%	13.6%
Put IV 25d	14.3%	11.7%	20.5%	15.2%	15.7%
Bid-Ask Spread %	121.39	112.53	131.50	122.42	127.63
Gamma HHI	0.31	0.22	0.39	0.37	0.24
Net GEX	1.8K	1.2K	2.7K	2.2K	1.9K
Net DEX	-19.6K	-24.8K	-14.7K	-22.2K	-16.5K
Net VEX	-79	-98	-63	-69	-91
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	0.364	0	2	0	1
Total OI	9.5	8	12	8	12

Daily Data (22 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	Put Vol	Call OI	Put OI
2019-07-01	$61.66	$0.00	12.3%	3.5%	11.4%	12.6%	0.0%	1.9%	0.3%	2.2K	-22.2K	-69	122.42	N/A	N/A	0	0	8	0
2019-07-02	$61.59	$0.00	13.6%	3.9%	8.6%	17.8%	0.0%	6.8%	0.2%	2.0K	-20.8K	-72	120.04	N/A	N/A	0	0	8	0
2019-07-03	$62.11	$0.00	12.2%	3.5%	8.6%	12.5%	0.0%	3.4%	1.4%	2.1K	-22.8K	-73	121.14	N/A	N/A	0	0	8	0
2019-07-05	$62.09	$0.00	11.7%	3.5%	8.5%	10.5%	0.0%	6.0%	0.1%	2.2K	-22.3K	-73	112.53	N/A	N/A	0	0	8	0
2019-07-08	$61.82	$0.00	14.0%	4.3%	8.6%	19.5%	0.0%	5.3%	-1.8%	2.0K	-22.1K	-72	114.45	N/A	N/A	0	0	8	0
2019-07-09	$61.81	$0.00	14.8%	4.0%	8.5%	22.5%	0.0%	-1.1%	1.0%	2.1K	-21.3K	-72	114.93	N/A	N/A	0	0	8	0
2019-07-10	$61.91	$0.00	11.3%	3.2%	8.4%	8.6%	0.0%	2.3%	1.0%	2.4K	-23.3K	-63	123.08	N/A	N/A	0	0	8	0
2019-07-11	$62.00	$0.00	13.9%	4.0%	8.3%	19.0%	0.0%	7.9%	-2.1%	2.3K	-22.9K	-68	115.16	N/A	N/A	0	0	8	0
2019-07-12	$62.52	$0.00	11.2%	3.2%	8.6%	8.3%	0.0%	4.4%	-0.5%	2.7K	-24.8K	-66	118.22	N/A	N/A	0	2	8	0
2019-07-15	$62.44	$0.00	14.8%	4.2%	8.5%	22.2%	0.0%	4.9%	-1.3%	1.4K	-17.0K	-91	113.64	N/A	N/A	0	0	8	2
2019-07-16	$62.40	$0.00	11.5%	3.3%	8.4%	9.5%	0.0%	3.5%	1.5%	1.5K	-17.6K	-84	124.05	N/A	N/A	0	0	8	2
2019-07-17	$61.89	$0.00	11.3%	3.2%	8.5%	8.7%	0.0%	2.3%	1.5%	1.4K	-14.7K	-84	123.24	N/A	N/A	0	0	8	2
2019-07-18	$62.00	$0.00	11.1%	3.2%	8.4%	8.1%	0.0%	2.7%	1.6%	1.5K	-15.8K	-83	122.15	N/A	N/A	0	0	8	2
2019-07-19	$61.99	$0.00	11.3%	3.2%	8.1%	8.5%	0.0%	2.3%	0.8%	1.5K	-16.6K	-80	122.69	N/A	N/A	0	0	8	2
2019-07-22	$61.84	$0.00	11.6%	3.3%	8.1%	9.1%	0.0%	2.7%	0.7%	1.6K	-15.8K	-79	123.05	N/A	N/A	0	0	8	2
2019-07-23	$62.38	$0.00	11.7%	3.3%	8.2%	9.5%	0.0%	3.9%	3.2%	1.4K	-18.2K	-78	123.65	N/A	N/A	0	0	8	2
2019-07-24	$62.94	$0.00	10.7%	3.1%	7.9%	4.8%	0.0%	2.6%	1.0%	1.5K	-20.6K	-78	122.75	N/A	N/A	0	1	8	2
2019-07-25	$62.60	$0.00	11.3%	3.2%	8.3%	7.3%	0.0%	2.4%	0.4%	1.3K	-18.0K	-90	123.16	N/A	N/A	0	1	8	3
2019-07-26	$62.93	$0.00	14.3%	4.1%	8.3%	19.1%	0.0%	3.6%	-1.4%	1.2K	-19.5K	-98	131.50	N/A	N/A	0	1	8	3
2019-07-29	$62.67	$0.00	11.8%	3.4%	8.3%	9.0%	0.0%	2.9%	-1.1%	1.3K	-18.4K	-87	120.85	N/A	N/A	1	0	8	3
2019-07-30	$62.62	$0.00	15.9%	4.6%	7.8%	25.4%	0.0%	4.8%	-3.7%	1.5K	-20.1K	-97	130.36	N/A	N/A	1	0	9	3
2019-07-31	$62.38	$0.00	14.8%	4.2%	8.0%	21.1%	0.0%	2.1%	-2.5%	1.9K	-16.5K	-91	127.63	N/A	N/A	1	0	9	3