FEZ Options History — June 2015

In June 2015, FEZ traded between $37.45 and $40.04. ATM implied volatility averaged 26.1%, placing in the 76.0% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.8% (HV 20d: 23.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 1.63.

Notable Days

  • 2015-06-30: Highest Volume — 24,125 contracts
  • 2015-06-10: Largest IV drop — 36.1% change
  • 2015-06-08: Highest IV Rank — 100.0%
  • 2015-06-30: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.01$37.45$40.04$38.94$37.45
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV26.1%20.1%34.7%26.7%34.7%
Expected Move7.0%5.7%9.9%7.6%9.9%
HV 20d23.2%19.5%29.8%20.8%29.4%
HV 60d19.0%17.7%21.9%18.5%21.8%
IV Rank76.0%52.5%100.0%80.9%100.0%
IV Percentile88.2%58.3%100.0%97.2%100.0%
Term Structure-2.3%-6.8%-0.1%-4.7%-6.3%
VWIV24.7%20.0%33.6%27.6%33.6%
Skew 25d4.8%2.2%6.9%2.2%6.8%
Skew 10d8.6%4.0%16.8%5.5%10.9%
Call IV 25d22.5%18.4%30.5%24.7%30.5%
Put IV 25d27.3%23.0%37.3%26.9%37.3%
Bid-Ask Spread %37.1923.4459.6848.7059.45
Gamma HHI0.160.120.270.170.15
Net GEX-4.8M-9.2M598.5K-4.0M-5.1M
Net DEX48.5M-6.9M90.5M41.5M90.0M
Net VEX-336.2K-402.0K-266.5K-309.7K-397.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.253.891.151.80
Total Volume9,856.3643,60724,12511,04424,125
Total OI104,823.27378,373120,295104,280105,896

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$38.94$40.0026.7%7.6%20.8%80.9%27.6%2.2%-4.7%-4.0M41.5M-309.7K1.1548.70N/AN/A5,1405,90447,22057,060
2015-06-02$39.39$40.0027.7%7.9%21.3%85.0%30.5%6.9%-3.7%-1.4M23.0M-369.6K1.7154.59N/AN/A1,4702,50747,40759,654
2015-06-03$40.04$40.0028.3%8.1%20.9%87.6%25.4%3.8%-6.8%598.5K-6.9M-375.4K0.2555.73N/AN/A17,5934,38548,54261,141
2015-06-04$39.41$40.0029.5%6.5%21.2%92.1%22.9%4.9%-1.2%-4.8M34.1M-349.6K1.8526.81N/AN/A3,3656,23936,15362,084
2015-06-05$38.81$40.0030.2%6.4%21.8%95.0%22.7%5.0%-0.7%-7.4M65.2M-327.1K3.1430.93N/AN/A2,1396,72538,40265,793
2015-06-08$38.74$40.0032.3%6.5%19.9%100.0%23.3%4.9%-0.9%-7.1M73.4M-336.1K3.0844.88N/AN/A1,8005,54638,77169,220
2015-06-09$38.56$40.0031.6%6.3%19.5%97.2%22.1%5.0%-0.3%-8.1M73.2M-297.3K1.7523.44N/AN/A1,9013,31939,22369,626
2015-06-10$39.68$40.0020.2%5.8%22.2%53.0%20.7%4.1%-0.1%-6.4M27.0M-302.9K1.1829.58N/AN/A2,0492,41139,43570,591
2015-06-11$39.80$40.0020.1%5.7%22.2%52.5%20.0%5.0%-0.2%-5.7M17.5M-291.5K1.2229.58N/AN/A1,7162,08639,53970,629
2015-06-12$39.19$40.0022.5%6.5%21.3%62.0%22.7%4.4%-1.4%-7.4M46.8M-289.9K1.3924.68N/AN/A1,5092,09839,61870,741
2015-06-15$38.69$40.0023.4%6.7%21.6%65.5%24.9%3.8%-1.4%-8.8M71.9M-266.5K1.8133.65N/AN/A2,3894,31839,91371,460
2015-06-16$38.64$40.0023.5%6.7%21.6%65.8%24.7%3.6%-2.2%-9.2M79.3M-268.5K2.1524.56N/AN/A2,9706,39340,07872,564
2015-06-17$38.44$40.0023.4%6.7%21.5%65.6%22.0%3.1%-1.1%-9.1M90.5M-296.8K1.8341.17N/AN/A2,5874,74543,39075,636
2015-06-18$39.14$40.0022.8%6.5%22.7%63.0%23.3%2.4%-0.5%-7.8M55.6M-299.4K1.3133.91N/AN/A5,5007,18943,85576,274
2015-06-19$38.25$40.0026.6%7.6%23.7%77.7%28.5%5.7%-2.1%-2.2M90.2M-342.0K3.8959.68N/AN/A2,3038,96842,19678,099
2015-06-22$39.74$40.0022.3%6.4%27.6%61.1%23.7%5.0%-1.7%-600.9K9.6M-342.0K0.9350.94N/AN/A5,3875,01628,79749,576
2015-06-23$39.52$40.0020.7%5.9%26.0%54.9%23.2%4.6%-1.0%-443.3K13.9M-359.2K1.7525.18N/AN/A6,06010,60432,60951,177
2015-06-24$39.22$40.0024.5%7.0%25.4%69.6%24.0%6.2%-2.7%-2.3M32.9M-396.8K0.7327.06N/AN/A4,3873,21634,15658,935
2015-06-25$39.33$40.0025.5%7.3%25.4%73.6%24.4%6.3%-2.2%-2.1M31.1M-400.7K1.1823.80N/AN/A2,7923,30634,76759,653
2015-06-26$39.46$40.0025.2%7.2%24.7%72.5%22.0%6.3%-2.9%-2.1M28.2M-402.0K0.5331.88N/AN/A6,6253,48035,34760,407
2015-06-29$37.67$40.0031.6%9.1%29.8%97.4%31.3%6.2%-5.9%-4.7M79.6M-375.6K1.1337.98N/AN/A6,8527,72639,62660,852
2015-06-30$37.45$40.0034.7%9.9%29.4%100.0%33.6%6.8%-6.3%-5.1M90.0M-397.9K1.8059.45N/AN/A8,61615,50941,14364,753