FEZ Options History — March 2016

In March 2016, FEZ traded between $31.91 and $33.65. ATM implied volatility averaged 18.8%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 1.3% (HV 20d: 20.1%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.95.

Notable Days

2016-03-30: Highest Volume — 55,786 contracts
2016-03-08: Largest IV spike — 14.6% change
2016-03-08: Highest IV Rank — 27.2%
2016-03-01: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.95	$31.91	$33.65	$31.91	$33.29
Max Pain	$31.93	$31.00	$33.00	$31.00	$32.50
ATM IV	18.8%	16.5%	22.3%	21.3%	17.2%
Expected Move	5.4%	4.5%	6.4%	6.4%	4.8%
HV 20d	20.1%	16.0%	26.0%	26.0%	16.5%
HV 60d	23.1%	22.5%	23.9%	23.4%	22.5%
IV Rank	10.6%	0.0%	27.2%	22.6%	3.3%
IV Percentile	20.0%	0.0%	50.8%	44.4%	3.2%
Term Structure	0.5%	-0.6%	1.4%	0.2%	0.5%
VWIV	20.0%	10.0%	26.7%	26.7%	10.0%
Skew 25d	5.1%	2.8%	7.4%	7.4%	5.6%
Skew 10d	13.4%	6.8%	19.1%	19.1%	8.3%
Call IV 25d	16.9%	14.4%	19.8%	18.6%	14.4%
Put IV 25d	22.0%	19.3%	26.0%	26.0%	20.0%
Bid-Ask Spread %	31.70	14.29	51.31	32.58	33.08
Gamma HHI	0.21	0.11	0.51	0.51	0.21
Net GEX	1.6M	-1.7M	8.7M	8.7M	2.9M
Net DEX	-46.1M	-138.1M	9.1M	-89.9M	-56.9M
Net VEX	-333.5K	-569.6K	-194.7K	-569.6K	-520.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.39	2.42	2.02	0.62
Total Volume	23,746.591	10,219	55,786	40,351	45,579
Total OI	107,551.591	61,190	202,735	202,735	125,734

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-03-01	$31.91	$31.00	21.3%	6.4%	26.0%	22.6%	26.7%	7.4%	0.2%	8.7M	-89.9M	-569.6K	2.02	32.58	N/A	N/A	13,349	27,002	111,019	91,716
2016-03-02	$32.04	$31.00	21.3%	6.4%	23.3%	22.5%	19.7%	5.5%	-0.0%	3.2M	-50.5M	-433.4K	1.99	36.42	N/A	N/A	13,536	26,978	71,601	71,706
2016-03-03	$32.35	$31.00	18.7%	5.9%	23.0%	9.4%	24.7%	6.3%	0.3%	3.7M	-84.7M	-395.9K	0.47	33.60	N/A	N/A	12,944	6,053	71,765	71,706
2016-03-04	$32.56	$31.00	19.1%	5.5%	23.0%	11.6%	23.3%	6.0%	-0.6%	2.2M	-105.7M	-356.6K	0.48	26.13	N/A	N/A	12,796	6,080	71,948	71,775
2016-03-07	$32.43	$31.00	19.4%	6.0%	22.1%	13.1%	18.4%	7.4%	1.2%	2.5M	-94.9M	-349.1K	0.47	23.03	N/A	N/A	12,014	5,631	71,202	71,701
2016-03-08	$32.20	$31.00	22.3%	6.4%	20.6%	27.2%	24.5%	5.3%	-0.2%	3.0M	-91.4M	-354.2K	0.48	20.91	N/A	N/A	11,961	5,793	71,539	74,001
2016-03-09	$32.31	$32.00	20.3%	6.1%	20.0%	17.5%	24.3%	4.8%	1.0%	2.0M	-116.0M	-319.1K	0.39	25.66	N/A	N/A	14,857	5,807	71,626	74,210
2016-03-10	$32.47	$32.00	20.8%	6.0%	20.0%	20.2%	23.2%	5.0%	0.1%	-1.7M	-138.1M	-300.8K	0.42	27.23	N/A	N/A	13,865	5,800	74,457	74,259
2016-03-11	$33.55	$32.00	18.0%	5.3%	21.2%	6.1%	21.3%	4.5%	0.9%	224.9K	-39.0M	-283.1K	0.45	26.24	N/A	N/A	13,004	5,914	35,862	74,285
2016-03-14	$33.52	$32.00	18.5%	5.2%	21.2%	8.4%	21.3%	5.1%	1.1%	562.5K	-25.8M	-268.8K	0.44	14.29	N/A	N/A	12,383	5,482	31,747	52,902
2016-03-15	$33.28	$32.00	19.3%	5.5%	21.1%	12.6%	20.8%	5.2%	0.0%	800.4K	-26.0M	-281.0K	0.43	29.31	N/A	N/A	12,909	5,521	34,727	52,916
2016-03-16	$33.62	$32.00	17.0%	4.9%	19.9%	1.1%	19.3%	5.9%	1.4%	1.2M	-22.2M	-280.2K	0.79	51.31	N/A	N/A	12,626	9,957	32,784	52,993
2016-03-17	$33.61	$32.00	17.9%	5.1%	19.4%	5.6%	19.2%	4.5%	0.1%	822.1K	-20.8M	-275.9K	0.61	29.59	N/A	N/A	16,461	10,003	32,783	55,208
2016-03-18	$33.65	$32.00	17.0%	4.8%	19.2%	1.0%	16.7%	3.9%	1.3%	941.5K	-8.5M	-308.6K	0.77	32.92	N/A	N/A	13,023	9,997	30,405	55,337
2016-03-21	$33.52	$32.00	17.4%	5.0%	19.1%	3.0%	16.8%	3.6%	0.4%	949.3K	-4.0M	-300.1K	1.22	41.02	N/A	N/A	4,604	5,615	29,047	32,143
2016-03-22	$33.37	$32.00	16.5%	4.5%	17.6%	0.0%	19.7%	5.3%	0.7%	1.4M	-4.0M	-303.8K	1.29	32.98	N/A	N/A	5,917	7,646	29,329	32,341
2016-03-23	$33.06	$32.50	17.8%	5.2%	17.8%	6.1%	18.8%	2.8%	0.5%	490.3K	-2.6M	-308.0K	1.27	40.15	N/A	N/A	5,901	7,516	31,032	34,621
2016-03-24	$32.66	$33.00	18.7%	5.4%	18.3%	11.0%	20.2%	4.5%	0.6%	-627.5K	9.1M	-302.6K	2.11	28.25	N/A	N/A	3,503	7,403	31,161	34,720
2016-03-28	$32.76	$33.00	19.3%	5.7%	18.3%	13.8%	21.2%	4.1%	0.8%	-126.7K	2.6M	-283.4K	2.42	47.30	N/A	N/A	3,047	7,386	31,082	34,721
2016-03-29	$33.19	$33.00	18.7%	4.7%	18.4%	10.9%	18.7%	5.4%	0.2%	629.5K	-7.0M	-194.7K	1.22	36.27	N/A	N/A	18,339	22,437	31,093	34,702
2016-03-30	$33.58	$32.50	17.7%	4.6%	16.0%	5.9%	11.9%	4.0%	-0.1%	1.5M	-38.1M	-348.0K	0.46	29.13	N/A	N/A	38,321	17,465	46,463	49,766
2016-03-31	$33.29	$32.50	17.2%	4.8%	16.5%	3.3%	10.0%	5.6%	0.5%	2.9M	-56.9M	-520.0K	0.62	33.08	N/A	N/A	28,101	17,478	66,609	59,125