FEZ Options History — July 2015

In July 2015, FEZ traded between $35.80 and $39.08. ATM implied volatility averaged 22.7%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 8.9% (HV 20d: 31.6%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.04.

Notable Days

  • 2015-07-02: Highest Volume — 25,661 contracts
  • 2015-07-27: Largest IV spike — 18.1% change
  • 2015-07-08: Highest IV Rank — 90.0%
  • 2015-07-02: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.10$35.80$39.08$37.70$38.57
Max Pain$38.82$38.00$39.00$39.00$39.00
ATM IV22.7%17.0%31.9%30.8%18.6%
Expected Move6.4%4.9%9.3%8.8%5.2%
HV 20d31.6%27.1%36.4%28.8%27.1%
HV 60d25.0%21.8%26.1%21.8%25.5%
IV Rank57.6%37.3%90.0%86.1%42.9%
IV Percentile60.1%20.6%99.2%98.0%35.3%
Term Structure-0.3%-4.8%1.3%-4.8%0.7%
VWIV22.2%16.2%34.5%30.3%18.5%
Skew 25d4.5%2.9%6.8%5.7%2.9%
Skew 10d8.0%3.9%11.4%10.3%9.9%
Call IV 25d21.1%15.6%29.8%29.2%17.6%
Put IV 25d25.6%19.1%35.5%34.9%20.5%
Bid-Ask Spread %31.5522.0252.0833.3029.00
Gamma HHI0.140.110.190.160.12
Net GEX-3.4M-9.9M849.3K-6.0M-1.5M
Net DEX52.8M-2.1M165.3M92.2M24.9M
Net VEX-365.0K-461.1K-308.5K-433.0K-321.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.573.890.571.53
Total Volume15,371.6368,63025,66115,2579,129
Total OI121,966.68286,445156,332117,292103,659

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$37.70$39.0030.8%8.8%28.8%86.1%30.3%5.7%-4.8%-6.0M92.2M-433.0K0.5733.30N/AN/A9,6965,56144,41972,873
2015-07-02$37.53$39.0029.1%9.3%28.4%80.2%34.5%6.8%-1.3%-5.9M99.3M-447.8K1.0037.80N/AN/A12,80812,85347,69375,394
2015-07-06$36.14$39.0030.8%8.1%30.8%86.1%27.5%6.3%-0.2%-8.5M161.1M-387.6K2.1623.44N/AN/A7,55416,28454,22582,679
2015-07-07$36.28$39.0029.8%8.3%30.9%82.8%26.0%5.6%-1.3%-9.9M159.5M-413.5K0.9525.64N/AN/A8,5578,13457,24887,052
2015-07-08$35.80$38.0031.9%8.6%31.1%90.0%25.1%5.7%-1.4%-7.8M165.3M-409.6K1.7528.93N/AN/A6,90312,08761,04487,705
2015-07-09$36.63$38.0031.4%8.2%30.3%88.2%25.0%5.1%-1.0%-6.9M122.9M-410.7K0.7735.58N/AN/A7,1575,49861,23785,481
2015-07-10$38.61$38.0027.6%7.2%36.4%74.7%25.9%5.5%-0.7%-3.4M23.3M-461.1K1.9239.87N/AN/A8,21215,73662,07086,134
2015-07-13$38.56$38.0024.3%6.6%36.0%63.1%23.4%4.2%-0.9%-6.2M37.2M-412.0K1.3443.34N/AN/A6,8589,15760,37591,202
2015-07-14$38.81$39.0020.6%5.8%35.8%50.2%18.7%4.1%-0.5%-4.8M23.3M-379.7K1.5532.51N/AN/A5,3508,27461,41491,865
2015-07-15$38.64$39.0021.2%5.7%35.8%52.1%18.8%4.1%-1.0%-5.7M26.2M-357.5K1.9528.08N/AN/A4,5328,83761,63292,105
2015-07-16$39.08$39.0018.7%5.3%36.0%43.4%17.0%4.4%0.1%-453.3K-2.1M-335.5K2.2433.92N/AN/A4,86110,88261,76692,054
2015-07-17$38.93$39.0017.6%5.0%35.4%39.3%17.3%3.4%0.1%-2.5M5.7M-327.0K2.3529.35N/AN/A4,94111,61762,48693,846
2015-07-20$39.04$39.0017.8%5.1%34.4%40.0%16.2%4.3%0.8%849.3K9.5M-326.4K2.1730.31N/AN/A3,8138,27738,65147,794
2015-07-21$38.94$39.0017.0%4.9%31.5%37.3%17.8%3.5%1.0%660.7K12.6M-308.5K3.1532.33N/AN/A3,50911,06639,60548,142
2015-07-22$38.76$39.0017.2%4.9%31.5%38.0%19.4%4.4%0.0%-89.7K20.1M-325.7K3.4332.31N/AN/A2,7719,51740,40051,121
2015-07-23$38.76$39.0017.6%5.0%31.4%39.4%18.4%3.0%0.5%81.8K16.7M-318.9K2.7529.36N/AN/A2,6457,28540,44051,939
2015-07-24$38.37$39.0018.3%5.2%31.5%42.0%18.2%4.0%0.7%-1.1M29.0M-323.1K1.6922.02N/AN/A4,2447,18040,50052,106
2015-07-27$37.97$39.0021.6%6.1%31.6%53.7%23.1%4.6%0.0%-1.7M38.7M-322.9K2.2222.60N/AN/A5,11111,33440,79952,060
2015-07-28$38.44$39.0019.9%5.8%27.2%47.4%25.6%4.0%1.3%-1.4M30.9M-345.2K3.8624.69N/AN/A3,19612,34042,17856,890
2015-07-29$38.42$39.0019.3%5.4%27.1%45.3%21.3%4.2%0.3%-1.1M26.9M-326.0K3.8952.08N/AN/A3,22712,55342,31657,529
2015-07-30$38.28$39.0018.9%5.2%27.1%44.0%20.5%3.2%0.2%-2.5M39.0M-335.4K1.7027.62N/AN/A3,1965,43442,76660,373
2015-07-31$38.57$39.0018.6%5.2%27.1%42.9%18.5%2.9%0.7%-1.5M24.9M-321.9K1.5329.00N/AN/A3,6055,52442,94360,716