FEX Options History — December 2019

In December 2019, FEX traded between $62.90 and $65.33. ATM implied volatility averaged 21.0%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 12.5% (HV 20d: 8.5%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.13.

Notable Days

2019-12-12: Highest Volume — 30 contracts
2019-12-17: Largest IV spike — 55.0% change
2019-12-09: Highest IV Rank — 38.4%
2019-12-04: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.39	$62.90	$65.33	$63.57	$65.26
Max Pain	$60.29	$60.00	$62.00	$62.00	$60.00
ATM IV	21.0%	12.5%	30.1%	24.9%	17.0%
Expected Move	5.6%	3.6%	7.8%	7.1%	4.9%
HV 20d	8.5%	5.9%	9.3%	5.9%	8.5%
HV 60d	10.7%	8.9%	11.3%	10.6%	8.9%
IV Rank	22.2%	7.1%	38.4%	29.1%	15.1%
IV Percentile	72.1%	16.7%	97.2%	90.9%	59.1%
Term Structure	-2.1%	-8.7%	7.9%	-8.0%	-6.5%
VWIV	23.2%	21.9%	24.5%	23.0%	21.9%
Skew 25d	5.4%	1.2%	11.9%	4.6%	11.9%
Skew 10d	0.8%	-3.4%	5.7%	-2.7%	3.1%
Call IV 25d	14.8%	8.8%	20.5%	18.8%	15.0%
Put IV 25d	20.2%	13.7%	29.2%	23.4%	26.9%
Bid-Ask Spread %	140.28	116.68	144.69	142.85	136.76
Gamma HHI	0.58	0.28	0.86	0.80	0.36
Net GEX	6.0K	-2.2K	21.4K	12.7K	270
Net DEX	-90.8K	-172.6K	-10.3K	-141.4K	-20.1K
Net VEX	-154	-238	-56	-224	-60
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.50	0.00	0.50
Total Volume	4.19	0	30	1	30
Total OI	38.333	27	62	38	27

Daily Data (21 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
2019-12-02	$63.57	$62.00	24.9%	7.1%	5.9%	29.1%	0.0%	4.6%	-8.0%	12.7K	-141.4K	-224	0.00	142.85	N/A	N/A	0	1	37	1
2019-12-03	$62.90	$62.00	27.2%	7.8%	7.0%	33.1%	0.0%	10.6%	-8.4%	14.6K	-126.8K	-232	0.00	143.14	N/A	N/A	0	1	37	2
2019-12-04	$63.42	$62.00	27.3%	7.8%	7.5%	33.3%	0.0%	6.7%	-8.7%	16.4K	-136.2K	-219	0.00	143.86	N/A	N/A	0	0	37	3
2019-12-05	$63.45	$60.00	28.1%	5.8%	7.4%	34.7%	0.0%	6.4%	-2.8%	13.2K	-138.6K	-220	0.00	143.63	N/A	N/A	0	0	37	3
2019-12-06	$64.06	$60.00	27.2%	5.4%	8.0%	33.2%	23.0%	1.2%	-5.2%	12.5K	-154.6K	-201	0.00	143.34	N/A	N/A	2	0	37	3
2019-12-09	$63.82	$60.00	30.1%	3.7%	8.1%	38.4%	0.0%	3.4%	7.9%	14.4K	-158.3K	-200	0.00	140.00	N/A	N/A	0	0	39	3
2019-12-10	$63.65	$60.00	20.4%	5.7%	8.2%	21.1%	0.0%	5.7%	-4.2%	21.4K	-172.6K	-177	0.00	143.06	N/A	N/A	0	0	39	3
2019-12-11	$63.80	$60.00	20.5%	5.9%	8.2%	21.2%	24.5%	4.8%	-5.2%	14.0K	-156.9K	-190	0.00	143.87	N/A	N/A	0	20	39	3
2019-12-12	$64.47	$60.00	18.9%	5.4%	8.9%	18.5%	0.0%	5.9%	-0.6%	10.3K	-168.3K	-238	0.00	142.21	N/A	N/A	30	0	39	23
2019-12-13	$64.09	$60.00	18.9%	5.4%	9.3%	18.5%	0.0%	4.3%	-3.1%	1.4K	-56.8K	-206	0.00	143.55	N/A	N/A	0	0	19	23
2019-12-16	$64.55	$60.00	12.5%	3.6%	9.3%	7.1%	0.0%	4.1%	3.6%	2.8K	-85.4K	-107	0.00	116.68	N/A	N/A	0	0	19	23
2019-12-17	$64.56	$60.00	19.4%	5.6%	9.3%	19.3%	0.0%	3.7%	-3.5%	1.5K	-71.0K	-157	0.00	144.69	N/A	N/A	0	2	19	23
2019-12-18	$64.62	$60.00	19.4%	5.5%	9.3%	19.2%	0.0%	4.0%	-3.4%	-543	-72.9K	-153	0.00	144.35	N/A	N/A	0	0	19	25
2019-12-19	$64.76	$60.00	19.1%	5.5%	9.2%	18.9%	21.9%	4.0%	-5.5%	-2.1K	-87.0K	-89	0.00	142.45	N/A	N/A	2	0	19	25
2019-12-20	$65.20	$60.00	19.8%	5.7%	9.3%	20.0%	0.0%	3.8%	-3.5%	-1.3K	-86.2K	-124	0.00	143.01	N/A	N/A	0	0	19	25
2019-12-23	$65.19	$60.00	21.1%	6.1%	9.3%	22.4%	0.0%	4.5%	5.3%	-2.2K	-10.3K	-111	0.00	142.33	N/A	N/A	0	0	5	22
2019-12-24	$65.20	$60.00	21.3%	6.1%	9.0%	22.7%	0.0%	4.1%	5.6%	-2.0K	-10.4K	-111	0.00	143.03	N/A	N/A	0	0	5	22
2019-12-26	$65.33	$60.00	12.9%	3.7%	9.0%	7.8%	0.0%	4.9%	1.1%	927	-21.2K	-56	0.00	131.32	N/A	N/A	0	0	5	22
2019-12-27	$65.27	$60.00	13.9%	4.0%	8.9%	9.5%	0.0%	6.5%	3.6%	820	-21.1K	-57	0.00	130.37	N/A	N/A	0	0	5	22
2019-12-30	$65.03	$60.00	21.5%	6.2%	8.9%	23.0%	0.0%	8.5%	-3.7%	-2.2K	-10.3K	-99	0.00	141.30	N/A	N/A	0	0	5	22
2019-12-31	$65.26	$60.00	17.0%	4.9%	8.5%	15.1%	0.0%	11.9%	-6.5%	270	-20.1K	-60	0.50	136.76	N/A	N/A	20	10	5	22