FEZ Options History — August 2015

In August 2015, FEZ traded between $34.90 and $39.56. ATM implied volatility averaged 22.9%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.1% (HV 20d: 16.9%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.43.

Notable Days

  • 2015-08-25: Highest Volume — 15,470 contracts
  • 2015-08-24: Largest IV spike — 30.4% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.43$34.90$39.56$38.76$35.79
Max Pain$38.81$38.00$39.00$39.00$38.00
ATM IV22.9%16.8%36.9%17.6%23.9%
Expected Move6.9%4.8%11.6%4.8%7.7%
HV 20d16.9%11.2%23.2%22.9%19.2%
HV 60d25.0%24.5%25.5%25.5%24.9%
IV Rank56.7%36.5%100.0%39.5%57.3%
IV Percentile63.2%15.9%100.0%25.8%78.2%
Term Structure-0.9%-4.6%1.4%0.4%0.1%
VWIV24.8%16.9%38.6%17.8%29.6%
Skew 25d6.1%3.2%12.2%3.7%8.8%
Skew 10d10.6%4.2%19.2%5.0%14.4%
Call IV 25d20.7%15.1%30.4%16.8%21.5%
Put IV 25d26.8%19.4%42.6%20.5%30.3%
Bid-Ask Spread %39.8320.9268.3327.0161.50
Gamma HHI0.140.110.270.120.14
Net GEX-3.3M-10.5M2.0M-1.0M-3.2M
Net DEX53.4M-5.5M145.7M21.2M68.7M
Net VEX-254.9K-311.5K-195.5K-306.7K-195.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.430.7019.070.740.77
Total Volume9,208.04871215,4707126,469
Total OI95,019.23857,693113,871103,50059,766

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$38.76$39.0017.6%4.8%22.9%39.5%17.8%3.7%0.4%-1.0M21.2M-306.7K0.7427.01N/AN/A41030243,02660,474
2015-08-04$38.48$39.0018.1%5.0%23.2%41.2%18.9%3.5%-0.2%-2.1M29.3M-305.2K1.4622.54N/AN/A2,9044,24043,20660,400
2015-08-05$39.02$39.0017.4%4.8%22.7%38.5%16.9%3.2%-0.1%-108.3K15.5M-303.7K1.4620.92N/AN/A2,9334,28243,24860,447
2015-08-06$39.11$39.0017.3%5.4%21.6%38.5%18.8%3.5%0.4%707.4K7.7M-276.9K1.3926.32N/AN/A3,1034,31043,13460,455
2015-08-07$39.02$39.0017.2%5.1%11.2%37.8%20.5%3.6%0.3%-94.6K10.7M-277.7K2.0826.89N/AN/A3,2486,75843,08960,340
2015-08-10$39.56$39.0016.8%5.0%12.1%36.5%17.4%4.8%0.2%2.0M-5.5M-267.8K0.8225.26N/AN/A5,0234,13041,99462,646
2015-08-11$38.96$39.0017.9%5.5%13.3%40.5%18.9%3.9%1.4%-536.1K14.4M-275.9K19.0726.98N/AN/A1753,33742,82262,644
2015-08-12$38.54$39.0022.7%6.4%13.8%57.3%24.0%4.6%-0.6%-2.7M32.7M-304.3K3.3838.11N/AN/A3,09510,45842,93965,450
2015-08-13$38.24$39.0022.2%6.7%13.4%55.8%24.5%4.6%1.1%-4.5M46.0M-311.5K2.7535.09N/AN/A3,2158,85543,25269,569
2015-08-14$38.09$39.0022.1%6.6%13.4%55.5%22.6%4.9%1.0%-5.6M53.6M-305.6K2.4842.81N/AN/A3,3058,20043,26569,336
2015-08-17$37.96$39.0022.7%6.6%13.3%57.4%24.6%5.7%-2.7%-6.9M55.0M-268.9K1.9936.86N/AN/A3,6417,23643,08268,934
2015-08-18$37.57$39.0022.5%6.5%13.7%56.8%24.5%5.0%-3.1%-7.7M66.1M-264.5K1.8825.12N/AN/A3,6386,84343,49868,983
2015-08-19$37.31$39.0023.9%6.9%13.8%61.9%23.6%4.4%-3.7%-9.2M79.2M-246.4K0.7227.40N/AN/A1,37398243,59269,022
2015-08-20$36.37$39.0026.2%7.7%16.1%69.9%25.3%4.5%-4.6%-10.5M110.9M-218.7K1.5227.08N/AN/A3,5965,48444,56769,195
2015-08-21$35.65$39.0028.3%8.3%17.0%77.3%28.6%5.1%-4.5%-2.3M145.7M-197.4K2.0138.32N/AN/A4,9429,92844,68969,182
2015-08-24$34.90$39.0036.9%11.6%18.0%100.0%38.6%12.2%-1.9%-2.1M75.0M-195.5K2.0268.33N/AN/A4,5659,21220,40737,286
2015-08-25$35.05$39.0029.9%9.4%17.2%77.0%31.5%10.9%-0.9%-3.1M80.2M-203.6K1.8266.60N/AN/A5,4939,97720,77740,505
2015-08-26$35.72$38.0027.8%8.8%19.1%70.2%30.1%9.2%-2.5%-3.4M74.8M-203.8K1.1865.05N/AN/A4,6115,46321,59142,031
2015-08-27$36.12$38.0024.8%7.8%19.8%60.1%31.1%10.7%1.0%-3.4M68.8M-223.1K0.7863.86N/AN/A4,6153,61121,75541,916
2015-08-28$35.90$38.0025.3%8.1%19.4%62.0%32.8%11.7%-0.8%-3.0M71.0M-200.8K0.7064.26N/AN/A5,5223,88521,93440,956
2015-08-31$35.79$38.0023.9%7.7%19.2%57.3%29.6%8.8%0.1%-3.2M68.7M-195.9K0.7761.50N/AN/A3,6632,80621,71938,047