FEZ Options History — January 2016

In January 2016, FEZ traded between $30.82 and $33.65. ATM implied volatility averaged 25.5%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.1% (HV 20d: 22.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.40.

Notable Days

  • 2016-01-21: Highest Volume — 15,395 contracts
  • 2016-01-15: Largest IV spike — 20.0% change
  • 2016-01-15: Highest IV Rank — 64.1%
  • 2016-01-20: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.10$30.82$33.65$33.65$31.93
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV25.5%22.4%29.7%24.1%24.2%
Expected Move7.2%6.2%8.5%6.4%7.0%
HV 20d22.4%19.1%26.0%20.1%25.6%
HV 60d17.7%15.6%19.8%15.6%19.6%
IV Rank43.4%28.0%64.1%36.5%36.8%
IV Percentile79.9%62.7%94.8%73.8%72.6%
Term Structure-0.6%-3.3%1.2%-1.3%-0.3%
VWIV24.7%20.1%35.8%21.3%23.1%
Skew 25d5.1%1.6%8.3%1.6%5.8%
Skew 10d12.1%-2.7%19.4%-2.7%19.4%
Call IV 25d23.3%20.4%29.5%22.8%22.9%
Put IV 25d28.4%24.3%34.9%24.3%28.7%
Bid-Ask Spread %47.8033.0372.3644.9740.47
Gamma HHI0.200.140.300.220.15
Net GEX-2.7M-4.0M-1.7M-2.6M-2.9M
Net DEX41.2M22.6M57.4M22.6M42.6M
Net VEX-210.4K-280.9K-167.2K-202.2K-235.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.582.682.680.63
Total Volume10,575.2116,78515,3958,60311,640
Total OI63,807.26358,54869,40660,27069,406

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$33.65$35.0024.1%6.4%20.1%36.5%21.3%1.6%-1.3%-2.6M22.6M-202.2K2.6844.97N/AN/A2,3406,26327,23633,034
2016-01-05$33.39$35.0022.4%6.4%19.1%28.0%22.4%4.3%-0.7%-2.9M26.9M-199.0K1.8435.04N/AN/A2,3924,39327,32333,207
2016-01-06$32.80$35.0023.1%6.5%19.8%31.5%21.4%4.4%-1.4%-2.9M35.2M-191.8K2.2133.03N/AN/A2,2164,89127,36733,344
2016-01-07$32.51$35.0025.8%6.6%19.4%44.9%21.6%7.0%-0.3%-2.9M38.3M-182.6K2.0839.51N/AN/A2,2704,72427,42633,090
2016-01-08$32.00$35.0025.4%7.1%19.9%42.9%20.1%3.4%0.3%-3.0M39.8M-181.3K1.5049.86N/AN/A3,1574,73027,42833,106
2016-01-11$32.23$35.0026.0%7.3%20.3%45.7%23.2%5.2%-0.0%-3.3M43.4M-167.2K1.7040.10N/AN/A2,7514,68628,22533,075
2016-01-12$32.64$35.0024.1%6.2%20.2%36.6%22.1%3.8%-2.6%-4.0M39.8M-170.7K1.2846.72N/AN/A3,8004,87828,25333,147
2016-01-13$31.93$35.0024.8%7.3%21.3%40.0%22.8%4.0%1.0%-3.1M39.7M-183.7K1.2357.54N/AN/A3,8944,78929,38733,235
2016-01-14$32.33$35.0024.7%7.3%21.4%39.5%24.0%6.1%1.2%-2.9M45.9M-174.0K2.0857.06N/AN/A4,99910,38429,38433,220
2016-01-15$31.29$35.0029.7%8.2%21.9%64.1%24.6%7.9%-1.9%-1.8M57.4M-176.5K1.4840.12N/AN/A5,0567,46729,43336,201
2016-01-19$31.56$35.0027.2%7.8%22.5%51.6%35.8%4.3%-1.0%-2.0M39.0M-168.4K1.3055.74N/AN/A5,5457,22027,91530,633
2016-01-20$30.82$35.0029.7%8.5%22.9%64.1%33.0%5.4%0.9%-1.7M47.9M-196.0K1.2351.09N/AN/A5,7337,07928,57733,130
2016-01-21$31.20$35.0029.3%8.5%23.6%62.1%27.5%8.3%-0.7%-1.9M50.5M-240.5K1.6947.67N/AN/A5,7189,67728,78535,553
2016-01-22$31.96$35.0024.7%7.0%25.5%39.4%27.5%6.4%0.5%-2.6M43.0M-276.5K1.1538.68N/AN/A6,1637,10328,92838,504
2016-01-25$31.56$35.0025.8%7.5%24.5%44.9%29.1%6.6%-0.8%-2.7M46.9M-255.5K0.7350.62N/AN/A5,8714,28829,71238,430
2016-01-26$32.17$35.0023.9%7.1%26.0%35.4%23.2%5.7%-0.0%-3.2M43.2M-262.7K0.5854.56N/AN/A7,3794,26029,70038,467
2016-01-27$31.93$35.0024.3%6.2%26.0%37.5%23.8%2.9%-3.3%-2.5M35.5M-280.9K0.6172.36N/AN/A7,1114,30830,69138,491
2016-01-28$31.94$35.0025.3%7.3%25.6%42.2%22.7%3.8%-0.4%-2.8M44.4M-253.5K0.6352.97N/AN/A7,1994,55530,75138,544
2016-01-29$31.93$35.0024.2%7.0%25.6%36.8%23.1%5.8%-0.3%-2.9M42.6M-235.2K0.6340.47N/AN/A7,1374,50330,83938,567