FEZ Options History — November 2015

In November 2015, FEZ traded between $35.17 and $37.06. ATM implied volatility averaged 19.2%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 6.0% (HV 20d: 13.2%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.81.

Notable Days

  • 2015-11-20: Highest Volume — 18,166 contracts
  • 2015-11-13: Largest IV spike — 17.7% change
  • 2015-11-13: Highest IV Rank — 33.9%
  • 2015-11-13: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.06$35.17$37.06$37.06$36.12
Max Pain$36.45$36.00$39.00$39.00$36.00
ATM IV19.2%17.0%22.8%18.3%19.1%
Expected Move5.6%4.9%6.7%4.9%5.9%
HV 20d13.2%10.9%15.1%11.1%13.6%
HV 60d20.9%19.5%21.8%21.8%19.5%
IV Rank17.1%6.9%33.9%13.0%13.0%
IV Percentile29.6%3.6%65.9%19.8%26.6%
Term Structure0.5%-0.6%1.6%-0.6%0.4%
VWIV20.1%17.9%24.0%19.5%24.0%
Skew 25d3.8%1.6%6.2%3.1%4.2%
Skew 10d9.2%3.1%15.2%6.7%8.5%
Call IV 25d17.6%15.3%20.9%17.5%16.5%
Put IV 25d21.4%18.8%26.1%20.7%20.7%
Bid-Ask Spread %38.1821.1058.6821.1049.07
Gamma HHI0.180.160.250.210.18
Net GEX-130.7K-2.5M2.1M2.1M1.2M
Net DEX8.7M-13.2M36.7M-12.2M-13.2M
Net VEX-283.2K-306.3K-251.0K-302.1K-261.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.533.463.460.84
Total Volume9,465.7528618,16614,767780
Total OI76,866.757,07885,14281,68158,234

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$37.06$39.0018.3%4.9%11.1%13.0%19.5%3.1%-0.6%2.1M-12.2M-302.1K3.4621.10N/AN/A3,31211,45537,03544,646
2015-11-03$36.98$39.0017.0%4.9%10.9%6.9%19.5%2.0%0.6%1.8M-5.8M-303.8K2.8923.95N/AN/A3,96211,46437,33046,532
2015-11-04$36.51$39.0018.0%5.5%12.0%11.8%18.5%2.8%0.9%1.3M-378.4K-306.3K1.8726.62N/AN/A3,9897,44537,36146,591
2015-11-05$36.65$36.0018.1%5.3%11.9%12.1%18.9%3.0%-0.1%1.5M-1.0M-304.9K2.9852.43N/AN/A4,25412,68437,35746,628
2015-11-06$36.54$36.0017.6%5.1%11.9%9.6%19.1%4.0%1.2%926.8K4.2M-292.1K0.5853.81N/AN/A18410737,05446,346
2015-11-09$36.06$36.0017.9%5.3%12.9%11.0%19.5%2.6%0.9%-610.8K16.6M-302.2K3.1457.40N/AN/A6921736,30946,048
2015-11-10$35.92$36.0018.2%5.5%12.6%12.5%18.9%1.6%0.6%-1.5M21.6M-292.0K2.2933.48N/AN/A4,2529,74136,31145,785
2015-11-11$36.21$36.0018.6%5.4%12.8%14.3%19.2%4.0%0.4%-370.9K13.2M-291.9K2.4158.68N/AN/A4,0399,73836,25545,786
2015-11-12$35.55$36.0019.3%5.7%13.6%17.9%19.1%3.6%0.8%-1.8M27.6M-288.8K1.3839.29N/AN/A5,1957,15436,31445,796
2015-11-13$35.17$36.0022.8%6.7%14.0%33.9%21.7%4.0%0.9%-1.6M36.7M-287.4K1.6827.24N/AN/A4,2657,18537,12345,803
2015-11-16$35.51$36.0020.6%5.8%14.5%23.6%20.7%6.2%0.8%-1.7M31.8M-276.8K0.5331.13N/AN/A77541237,06545,760
2015-11-17$35.69$36.0020.3%5.8%14.7%22.6%22.1%6.2%1.0%-1.6M24.4M-280.3K1.8644.16N/AN/A4,1777,77937,39746,088
2015-11-18$36.03$36.0020.6%5.9%15.1%24.0%20.8%3.3%-0.5%-2.5M17.9M-251.0K1.6647.48N/AN/A4,3037,13237,40846,582
2015-11-19$36.12$36.0020.0%5.7%14.1%20.7%20.0%4.0%-0.0%-2.0M10.9M-268.2K1.2233.52N/AN/A6,1017,45337,41046,670
2015-11-20$35.85$36.0018.6%5.2%13.6%14.4%17.9%4.0%1.6%894.7K25.1M-277.7K1.9937.73N/AN/A6,07212,09438,43046,712
2015-11-23$35.67$36.0020.5%5.9%13.7%23.2%20.8%3.7%-0.1%263.8K-3.9M-270.3K0.8333.78N/AN/A34528526,61130,467
2015-11-24$35.58$36.0020.6%6.0%13.5%23.7%20.7%4.9%-0.0%-179.2K-1.6M-264.7K0.6432.50N/AN/A40125726,86430,740
2015-11-25$35.84$36.0019.4%5.9%13.5%18.1%20.8%4.8%0.5%418.0K-6.3M-266.1K1.8532.41N/AN/A3,5956,65327,17830,799
2015-11-27$36.09$36.0019.3%5.8%13.7%16.3%20.7%4.6%-0.0%972.1K-12.0M-276.2K2.0227.90N/AN/A3,3116,67927,63030,879
2015-11-30$36.12$36.0019.1%5.9%13.6%13.0%24.0%4.2%0.4%1.2M-13.2M-261.1K0.8449.07N/AN/A42535527,42630,808