FEX Options History — November 2019

In November 2019, FEX traded between $62.22 and $64.26. ATM implied volatility averaged 17.2%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 9.8% (HV 20d: 7.5%). Max pain ranged from $59.00 to $62.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2019-11-07: Highest Volume — 30 contracts
2019-11-25: Largest IV spike — 99.1% change
2019-11-29: Highest IV Rank — 25.5%
2019-11-29: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.18	$62.22	$64.26	$62.22	$63.99
Max Pain	$61.84	$59.00	$62.00	$59.00	$62.00
ATM IV	17.2%	10.1%	22.9%	11.9%	22.9%
Expected Move	4.9%	3.0%	6.6%	3.4%	6.6%
HV 20d	7.5%	6.0%	11.7%	11.7%	6.4%
HV 60d	12.7%	10.5%	15.8%	15.8%	10.5%
IV Rank	15.4%	2.7%	25.5%	5.9%	25.5%
IV Percentile	52.2%	0.4%	86.1%	11.9%	86.1%
Term Structure	-1.2%	-10.4%	7.3%	6.3%	-6.2%
VWIV	15.1%	13.4%	16.0%	16.0%	15.8%
Skew 25d	5.0%	1.7%	8.8%	3.0%	3.2%
Skew 10d	3.3%	-6.6%	12.4%	-6.6%	3.1%
Call IV 25d	13.8%	9.3%	17.0%	14.5%	16.3%
Put IV 25d	18.8%	12.8%	23.3%	17.5%	19.5%
Bid-Ask Spread %	133.59	118.94	144.18	137.28	140.04
Gamma HHI	0.69	0.21	0.90	0.33	0.83
Net GEX	10.5K	159	17.0K	521	13.6K
Net DEX	-105.7K	-167.2K	-7.5K	-9.5K	-167.2K
Net VEX	-212	-300	-49	-49	-203
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	1.8	0	30	0	0
Total OI	29.9	6	39	6	38

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	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2019-11-01	$62.22	$0.00	11.9%	3.4%	11.7%	5.9%	0.0%	3.0%	6.3%	521	-9.5K	-49	137.28	N/A	N/A	0	0	5	1
2019-11-04	$62.53	$59.00	11.5%	4.4%	11.6%	5.3%	16.0%	6.7%	-2.7%	675	-10.5K	-51	124.28	N/A	N/A	0	1	5	1
2019-11-05	$62.65	$62.00	20.0%	5.1%	9.2%	20.4%	0.0%	7.6%	-2.8%	256	-8.1K	-64	119.92	N/A	N/A	0	0	5	2
2019-11-06	$62.47	$62.00	21.2%	4.8%	9.4%	22.5%	0.0%	1.7%	2.3%	159	-7.5K	-56	118.94	N/A	N/A	0	0	5	2
2019-11-07	$62.67	$62.00	13.5%	4.8%	9.3%	8.8%	13.4%	4.7%	-8.4%	242	-7.9K	-59	128.19	N/A	N/A	30	0	5	2
2019-11-08	$62.88	$62.00	10.1%	4.5%	7.7%	2.7%	0.0%	8.8%	-4.5%	14.0K	-119.5K	-300	123.97	N/A	N/A	0	0	35	2
2019-11-11	$62.83	$62.00	18.9%	4.6%	7.1%	18.5%	0.0%	8.2%	2.3%	14.2K	-119.4K	-293	123.37	N/A	N/A	0	0	35	2
2019-11-12	$62.95	$62.00	20.3%	3.4%	6.6%	20.8%	0.0%	1.9%	3.4%	15.8K	-127.4K	-281	140.49	N/A	N/A	0	0	35	2
2019-11-13	$62.91	$62.00	19.7%	5.7%	6.3%	19.9%	0.0%	4.7%	-3.7%	11.5K	-120.2K	-289	144.06	N/A	N/A	0	0	35	2
2019-11-14	$63.01	$62.00	11.4%	3.3%	6.2%	5.1%	0.0%	4.2%	6.1%	16.0K	-129.9K	-273	138.70	N/A	N/A	0	0	35	2
2019-11-15	$63.41	$62.00	14.1%	4.0%	6.4%	9.9%	0.0%	3.1%	-1.2%	15.3K	-136.6K	-258	131.23	N/A	N/A	0	0	35	2
2019-11-18	$63.44	$62.00	16.2%	4.7%	6.2%	13.7%	15.8%	5.1%	7.3%	14.5K	-139.7K	-251	122.60	N/A	N/A	0	1	35	2
2019-11-19	$63.58	$62.00	19.0%	5.4%	6.0%	18.6%	0.0%	8.6%	-2.9%	12.4K	-137.7K	-251	137.51	N/A	N/A	4	0	35	2
2019-11-20	$63.38	$62.00	18.1%	5.2%	6.3%	17.0%	0.0%	8.7%	-1.1%	14.9K	-136.4K	-279	133.46	N/A	N/A	0	0	37	2
2019-11-21	$63.19	$62.00	21.3%	6.1%	6.5%	22.7%	0.0%	5.0%	-3.8%	12.2K	-131.4K	-285	144.18	N/A	N/A	0	0	37	2
2019-11-22	$63.34	$62.00	10.5%	3.0%	6.3%	3.6%	0.0%	3.4%	5.6%	17.0K	-145.1K	-262	136.78	N/A	N/A	0	0	37	2
2019-11-25	$63.86	$62.00	21.0%	6.0%	6.7%	22.1%	0.0%	4.5%	-5.1%	12.7K	-149.3K	-253	141.89	N/A	N/A	0	0	37	1
2019-11-26	$64.01	$62.00	21.4%	6.1%	6.7%	22.9%	0.0%	4.1%	-10.4%	12.5K	-153.0K	-241	141.77	N/A	N/A	0	0	37	1
2019-11-27	$64.26	$62.00	21.4%	6.1%	6.7%	22.9%	0.0%	3.8%	-3.5%	12.0K	-158.1K	-237	143.09	N/A	N/A	0	0	37	1
2019-11-29	$63.99	$62.00	22.9%	6.6%	6.4%	25.5%	0.0%	3.2%	-6.2%	13.6K	-167.2K	-203	140.04	N/A	N/A	0	0	37	1