FEZ Options History — April 2015 In April 2015, FEZ traded between $38.84 and $40.08. ATM implied volatility averaged 20.3%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.2% (HV 20d: 16.2%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.11.
Notable Days 2015-04-17 : Highest Volume — 56,011 contracts2015-04-17 : Largest IV spike — 25.8% change2015-04-29 : Highest IV Rank — 78.9%2015-04-29 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $39.50 $38.84 $40.08 $39.13 $39.53 Max Pain $39.05 $39.00 $40.00 $39.00 $40.00 ATM IV 20.3% 17.6% 26.2% 20.6% 24.2% Expected Move 5.9% 5.0% 7.5% 5.9% 6.9% HV 20d 16.2% 12.4% 21.7% 21.3% 12.6% HV 60d 20.4% 18.1% 21.3% 21.3% 18.1% IV Rank 55.5% 44.5% 78.9% 56.6% 71.0% IV Percentile 72.0% 46.0% 97.2% 81.0% 92.5% Term Structure 0.8% -1.3% 1.9% -0.2% 0.1% VWIV 22.3% 18.1% 31.1% 23.4% 27.3% Skew 25d 4.7% 3.3% 5.9% 5.1% 4.9% Skew 10d 10.5% 5.9% 18.4% 11.9% 9.6% Call IV 25d 19.0% 16.7% 23.5% 17.9% 23.5% Put IV 25d 23.7% 20.8% 28.4% 23.0% 28.4% Bid-Ask Spread % 62.50 31.49 103.99 103.99 75.25 Gamma HHI 0.16 0.11 0.27 0.11 0.19 Net GEX -1.0M -4.4M 1.1M -554.9K -3.0M Net DEX -6.5M -25.4M 24.1M -690.3K 4.3M Net VEX -299.3K -376.7K -249.4K -304.7K -375.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.11 0.37 10.18 1.31 4.29 Total Volume 8,803.714 497 56,011 5,225 9,685 Total OI 99,647.048 74,181 146,758 74,181 146,758
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 2015-04-01 $39.13 $39.00 20.6% 5.9% 21.3% 56.6% 23.4% 5.1% -0.2% -554.9K -690.3K -304.7K 1.31 103.99 N/A N/A 2,261 2,964 30,603 43,578 2015-04-02 $39.58 $39.00 17.8% 5.5% 21.7% 45.2% 20.2% 5.1% 0.3% 320.4K -15.0M -281.7K 0.82 31.53 N/A N/A 1,721 1,406 30,768 43,661 2015-04-06 $40.02 $39.00 18.0% 5.4% 20.4% 46.2% 18.6% 4.2% 1.5% 1.1M -25.4M -268.1K 0.47 58.37 N/A N/A 4,270 1,988 30,824 43,714 2015-04-07 $39.75 $39.00 18.6% 5.4% 20.6% 48.7% 19.0% 3.3% 1.1% 791.3K -20.8M -271.7K 0.37 31.49 N/A N/A 3,140 1,151 31,621 44,787 2015-04-08 $39.63 $39.00 18.9% 5.4% 18.1% 49.8% 19.3% 4.1% 0.7% 605.4K -17.8M -265.4K 0.70 59.32 N/A N/A 293 204 32,047 45,181 2015-04-09 $39.52 $39.00 18.8% 5.4% 18.1% 49.5% 20.7% 4.0% 0.3% 356.4K -16.3M -252.6K 0.49 39.20 N/A N/A 1,825 897 32,186 45,251 2015-04-10 $39.61 $39.00 17.9% 5.1% 18.0% 45.7% 21.2% 5.0% 1.5% 544.6K -14.2M -269.6K 0.60 80.45 N/A N/A 1,707 1,030 32,242 45,294 2015-04-13 $39.37 $39.00 19.2% 5.5% 18.0% 50.8% 18.7% 4.4% 0.8% 81.1K -8.8M -250.2K 0.58 66.79 N/A N/A 1,763 1,020 32,315 45,609 2015-04-14 $39.55 $39.00 17.6% 5.1% 17.1% 44.6% 18.4% 5.0% 1.3% 560.6K -13.4M -249.4K 1.74 63.86 N/A N/A 2,015 3,514 32,446 45,838 2015-04-15 $39.69 $39.00 17.6% 5.0% 16.9% 44.5% 18.1% 3.8% 1.7% 894.8K -18.3M -258.0K 1.64 64.62 N/A N/A 2,146 3,516 32,759 46,938 2015-04-16 $39.53 $39.00 17.7% 5.1% 16.2% 44.9% 19.7% 4.8% 1.3% 481.4K -12.5M -260.0K 1.38 77.65 N/A N/A 2,588 3,565 32,875 47,091 2015-04-17 $38.84 $39.00 22.3% 6.4% 16.6% 63.2% 31.1% 5.6% -1.1% -1.7M 7.7M -273.8K 10.18 45.50 N/A N/A 5,012 50,999 33,585 49,068 2015-04-20 $38.99 $39.00 21.5% 6.2% 13.1% 60.0% 23.6% 5.7% 1.9% -4.4M 24.1M -370.4K 1.81 42.40 N/A N/A 2,682 4,865 30,911 88,994 2015-04-21 $39.13 $39.00 22.1% 6.3% 13.0% 62.7% 26.1% 5.9% 1.5% -4.2M 21.6M -376.7K 2.30 55.48 N/A N/A 1,135 2,607 31,483 91,727 2015-04-22 $39.24 $39.00 21.9% 6.3% 12.9% 61.7% 23.4% 5.7% 1.1% -3.6M 9.2M -335.1K 1.49 80.26 N/A N/A 1,428 2,124 31,658 92,332 2015-04-23 $39.34 $39.00 22.4% 6.4% 12.7% 63.7% 24.0% 5.5% 0.2% -3.4M 10.1M -352.0K 0.67 52.34 N/A N/A 3,337 2,232 31,859 92,358 2015-04-24 $39.49 $39.00 21.6% 6.2% 12.4% 60.4% 22.8% 3.7% 1.3% -1.9M -6.3M -326.8K 2.99 65.61 N/A N/A 2,356 7,033 33,611 93,461 2015-04-27 $40.08 $39.00 20.7% 5.9% 13.3% 57.1% 23.4% 4.2% 1.7% -651.0K -24.1M -304.5K 2.42 53.37 N/A N/A 2,418 5,845 34,021 97,036 2015-04-28 $40.00 $39.00 21.4% 6.1% 13.3% 59.7% 24.9% 4.9% 0.6% -555.5K -22.8M -292.0K 5.72 78.34 N/A N/A 1,870 10,701 34,400 97,135 2015-04-29 $39.45 $39.00 26.2% 7.5% 12.9% 78.9% 24.0% 4.9% -1.3% -3.3M 2.7M -346.5K 2.46 86.72 N/A N/A 6,816 16,749 34,748 99,815 2015-04-30 $39.53 $40.00 24.2% 6.9% 12.6% 71.0% 27.3% 4.9% 0.1% -3.0M 4.3M -375.9K 4.29 75.25 N/A N/A 1,831 7,854 40,102 106,656
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