FEX Options History — October 2019

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

In October 2019, FEX traded between $58.74 and $61.91. ATM implied volatility averaged 20.3%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.9% (HV 20d: 14.4%). Max pain ranged from $58.00 to $58.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days.

Notable Days

2019-10-03: Highest Volume — 1 contracts
2019-10-21: Largest IV spike — 104.6% change
2019-10-08: Highest IV Rank — 44.4%
2019-10-08: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.48	$58.74	$61.91	$60.00	$61.47
Max Pain	$58.00	$58.00	$58.00	$58.00	$58.00
ATM IV	20.3%	8.5%	34.7%	17.9%	14.1%
Expected Move	5.6%	2.4%	7.5%	5.1%	4.0%
HV 20d	14.4%	11.4%	16.3%	11.9%	11.8%
HV 60d	17.2%	16.0%	17.8%	16.3%	16.0%
IV Rank	18.6%	0.0%	44.4%	13.5%	9.9%
IV Percentile	67.2%	0.0%	98.8%	65.5%	26.2%
Term Structure	-1.4%	-7.9%	11.5%	11.5%	0.1%
Skew 25d	6.1%	1.6%	18.7%	2.5%	3.3%
Skew 10d	3.1%	-5.1%	12.0%	2.0%	-5.1%
Call IV 25d	15.8%	9.8%	19.8%	15.3%	9.8%
Put IV 25d	21.9%	13.1%	36.7%	17.8%	13.1%
Bid-Ask Spread %	135.44	105.04	145.09	117.88	132.92
Gamma HHI	0.39	0.26	0.64	0.39	0.36
Net GEX	13.8K	300	34.4K	23.2K	442
Net DEX	-110.5K	-253.4K	-7.0K	-184.9K	-8.0K
Net VEX	-134	-263	-51	-257	-51
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
Total Volume	0.043	0	1	0	0
Total OI	34.174	6	53	53	6

Daily Data (23 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	Put Vol	Call OI	Put OI
2019-10-01	$60.00	$58.00	17.9%	5.1%	11.9%	13.5%	0.0%	2.5%	11.5%	23.2K	-184.9K	-257	117.88	N/A	N/A	0	51	2
2019-10-02	$58.81	$58.00	19.4%	5.6%	13.3%	16.2%	0.0%	1.6%	-1.5%	24.2K	-113.4K	-253	122.64	N/A	N/A	0	51	2
2019-10-03	$59.07	$0.00	21.4%	5.4%	11.7%	20.0%	0.0%	4.5%	-0.1%	20.7K	-133.5K	-263	130.26	N/A	N/A	1	51	2
2019-10-04	$59.84	$0.00	16.9%	6.6%	12.8%	11.6%	0.0%	10.7%	-4.3%	29.7K	-158.8K	-233	122.39	N/A	N/A	0	51	2
2019-10-07	$59.73	$0.00	27.1%	4.7%	12.7%	30.4%	0.0%	6.9%	6.0%	21.1K	-173.4K	-229	135.50	N/A	N/A	0	51	1
2019-10-08	$58.74	$0.00	34.7%	7.5%	13.8%	44.4%	0.0%	18.7%	-7.2%	17.6K	-128.8K	-225	128.82	N/A	N/A	0	51	1
2019-10-09	$59.15	$0.00	21.7%	6.2%	13.9%	20.5%	0.0%	6.0%	-7.9%	19.9K	-139.1K	-220	128.63	N/A	N/A	0	51	1
2019-10-10	$59.51	$0.00	22.7%	6.5%	14.0%	22.2%	0.0%	7.4%	-3.4%	17.3K	-154.2K	-210	143.38	N/A	N/A	0	51	1
2019-10-11	$60.51	$0.00	21.1%	6.0%	15.5%	19.4%	0.0%	5.9%	-2.7%	17.4K	-187.6K	-194	144.26	N/A	N/A	0	51	1
2019-10-14	$60.15	$0.00	18.8%	5.4%	15.6%	15.1%	0.0%	4.8%	-0.6%	34.4K	-200.8K	-128	141.53	N/A	N/A	0	51	1
2019-10-15	$60.73	$0.00	20.4%	5.9%	16.0%	18.2%	0.0%	5.7%	-2.5%	26.2K	-225.3K	-119	144.54	N/A	N/A	0	51	1
2019-10-16	$60.47	$0.00	22.1%	6.3%	16.1%	21.1%	0.0%	4.6%	-3.4%	30.1K	-216.8K	-107	143.96	N/A	N/A	0	51	1
2019-10-17	$60.69	$0.00	22.1%	6.3%	16.1%	21.1%	0.0%	7.7%	-2.0%	19.5K	-199.5K	-104	145.09	N/A	N/A	0	51	1
2019-10-18	$60.66	$0.00	11.1%	3.2%	16.1%	1.0%	0.0%	17.1%	1.6%	11.9K	-253.4K	-56	137.23	N/A	N/A	0	51	1
2019-10-21	$61.07	$0.00	22.7%	6.5%	16.3%	22.4%	0.0%	5.1%	-1.9%	300	-7.4K	-56	144.97	N/A	N/A	0	5	1
2019-10-22	$61.00	$0.00	15.2%	4.3%	15.7%	8.4%	0.0%	7.8%	2.4%	344	-7.5K	-54	105.04	N/A	N/A	0	5	1
2019-10-23	$61.01	$0.00	23.3%	6.7%	15.7%	23.4%	0.0%	4.2%	-3.0%	443	-7.0K	-55	144.13	N/A	N/A	0	5	1
2019-10-24	$61.19	$0.00	23.3%	6.7%	15.7%	23.5%	0.0%	3.6%	-3.7%	408	-7.5K	-54	144.83	N/A	N/A	0	5	1
2019-10-25	$61.56	$0.00	8.5%	2.4%	15.5%	0.0%	0.0%	4.4%	-2.2%	530	-8.3K	-53	137.40	N/A	N/A	0	5	1
2019-10-28	$61.80	$0.00	12.3%	3.5%	15.3%	6.8%	0.0%	3.8%	5.5%	353	-8.6K	-52	130.42	N/A	N/A	0	5	1
2019-10-29	$61.91	$0.00	24.6%	7.0%	13.9%	28.5%	0.0%	2.3%	-6.3%	355	-9.1K	-53	144.51	N/A	N/A	0	5	1
2019-10-30	$61.86	$0.00	25.1%	7.2%	11.4%	29.4%	0.0%	1.6%	-6.7%	494	-9.5K	-60	144.82	N/A	N/A	0	5	1
2019-10-31	$61.47	$0.00	14.1%	4.0%	11.8%	9.9%	0.0%	3.3%	0.1%	442	-8.0K	-51	132.92	N/A	N/A	0	5	1