FEZ Options History — August 2016

In August 2016, FEZ traded between $31.71 and $33.16. ATM implied volatility averaged 18.4%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 6.0% (HV 20d: 12.3%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 2.37.

Notable Days

2016-08-25: Highest Volume — 18,016 contracts
2016-08-09: Largest IV drop — 11.4% change
2016-08-03: Highest IV Rank — 21.2%
2016-08-03: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.65	$31.71	$33.16	$32.14	$32.86
Max Pain	$32.13	$32.00	$33.00	$33.00	$32.00
ATM IV	18.4%	16.0%	21.0%	20.5%	18.1%
Expected Move	5.3%	4.5%	6.3%	5.7%	5.4%
HV 20d	12.3%	8.8%	19.6%	19.6%	8.8%
HV 60d	34.3%	34.0%	34.6%	34.5%	34.0%
IV Rank	10.3%	0.0%	21.2%	19.0%	9.6%
IV Percentile	18.6%	0.0%	43.3%	40.9%	16.3%
Term Structure	0.1%	-0.8%	1.9%	-0.5%	0.6%
VWIV	18.9%	15.1%	22.5%	20.1%	19.7%
Skew 25d	5.4%	1.9%	7.8%	5.5%	4.7%
Skew 10d	10.2%	4.2%	20.2%	4.4%	6.7%
Call IV 25d	15.7%	11.9%	20.6%	17.3%	16.1%
Put IV 25d	21.1%	17.6%	23.6%	22.8%	20.8%
Bid-Ask Spread %	36.95	25.83	55.74	47.12	49.53
Gamma HHI	0.17	0.14	0.27	0.16	0.17
Net GEX	3.1M	27.6K	6.5M	2.7M	2.8M
Net DEX	-43.7M	-60.7M	-19.2M	-35.8M	-42.1M
Net VEX	-665.2K	-683.5K	-646.8K	-683.5K	-676.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.37	0.16	14.39	1.40	2.31
Total Volume	12,191.348	188	18,016	11,139	14,699
Total OI	103,412.913	84,041	114,564	108,748	94,068

Daily Data (23 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
2016-08-01	$32.14	$33.00	20.5%	5.7%	19.6%	19.0%	20.1%	5.5%	-0.5%	2.7M	-35.8M	-683.5K	1.40	47.12	N/A	N/A	4,639	6,500	65,535	43,213
2016-08-02	$31.78	$33.00	20.4%	6.1%	16.1%	18.4%	20.8%	3.9%	0.2%	1.1M	-25.8M	-676.8K	1.89	25.83	N/A	N/A	4,780	9,035	65,627	43,256
2016-08-03	$31.71	$33.00	21.0%	6.3%	15.9%	21.2%	21.2%	1.9%	0.8%	382.1K	-20.2M	-678.4K	1.93	37.57	N/A	N/A	4,581	8,842	65,378	45,790
2016-08-04	$31.77	$32.00	20.1%	6.0%	15.5%	16.8%	21.8%	4.2%	0.4%	311.0K	-19.2M	-678.2K	1.95	39.45	N/A	N/A	4,498	8,791	65,524	45,964
2016-08-05	$32.11	$32.00	20.0%	5.8%	14.0%	16.4%	19.5%	5.4%	0.0%	27.6K	-28.6M	-646.8K	1.33	26.57	N/A	N/A	6,567	8,745	65,523	45,969
2016-08-08	$32.21	$32.00	19.4%	5.6%	13.4%	13.7%	22.5%	4.2%	0.4%	2.5M	-34.7M	-679.9K	1.37	36.74	N/A	N/A	4,349	5,964	65,755	43,502
2016-08-09	$32.69	$32.00	17.2%	5.1%	12.7%	3.2%	19.1%	6.2%	-0.1%	4.2M	-51.4M	-650.6K	0.76	31.64	N/A	N/A	5,650	4,321	65,796	43,544
2016-08-10	$32.84	$32.00	16.2%	4.5%	12.7%	0.0%	16.8%	7.0%	0.0%	5.1M	-53.2M	-664.8K	0.66	55.74	N/A	N/A	6,209	4,084	66,527	43,709
2016-08-11	$33.06	$32.00	17.0%	4.7%	12.3%	4.0%	16.1%	7.8%	-0.5%	6.5M	-60.7M	-660.7K	1.03	30.80	N/A	N/A	6,144	6,353	66,881	43,955
2016-08-12	$33.09	$32.00	16.0%	4.6%	12.0%	0.0%	18.8%	5.0%	-0.1%	5.9M	-59.0M	-664.9K	1.10	32.36	N/A	N/A	5,962	6,545	67,132	46,249
2016-08-15	$33.16	$32.00	16.1%	4.6%	11.9%	0.5%	15.1%	4.2%	1.9%	4.2M	-58.6M	-650.4K	1.45	30.24	N/A	N/A	5,951	8,623	67,124	46,566
2016-08-16	$33.10	$32.00	17.0%	4.8%	10.9%	4.4%	20.4%	6.6%	1.3%	3.8M	-56.9M	-647.6K	1.66	27.28	N/A	N/A	6,208	10,314	67,181	44,285
2016-08-17	$32.98	$32.00	18.4%	5.3%	10.7%	11.0%	20.8%	7.0%	0.6%	3.0M	-50.4M	-669.6K	0.16	50.80	N/A	N/A	670	107	67,581	46,201
2016-08-18	$33.10	$32.00	17.9%	5.1%	10.6%	8.7%	0.0%	4.5%	-0.7%	2.8M	-52.6M	-669.4K	8.89	37.82	N/A	N/A	19	169	68,083	46,295
2016-08-19	$32.80	$32.00	17.5%	5.0%	11.3%	7.0%	16.1%	4.3%	-0.1%	2.9M	-43.4M	-664.2K	1.55	37.37	N/A	N/A	5,404	8,364	68,115	46,449
2016-08-22	$32.70	$32.00	19.1%	5.5%	11.4%	14.4%	17.3%	5.5%	-0.1%	2.9M	-41.9M	-657.3K	1.74	39.09	N/A	N/A	4,717	8,188	49,595	34,446
2016-08-23	$32.92	$32.00	18.3%	5.1%	11.5%	10.7%	18.4%	6.4%	-0.6%	3.8M	-49.0M	-659.4K	1.80	36.46	N/A	N/A	4,599	8,259	50,517	34,471
2016-08-24	$32.90	$32.00	17.4%	5.0%	11.3%	6.4%	16.7%	6.3%	-0.3%	3.7M	-50.5M	-658.7K	14.39	30.10	N/A	N/A	311	4,476	51,252	34,742
2016-08-25	$32.73	$32.00	18.8%	5.3%	11.5%	13.1%	19.1%	5.7%	0.2%	3.3M	-41.2M	-674.1K	2.69	25.95	N/A	N/A	4,884	13,132	51,414	37,172
2016-08-26	$32.67	$32.00	19.6%	5.7%	11.0%	16.8%	18.1%	5.7%	-0.8%	3.0M	-43.4M	-657.1K	1.59	52.16	N/A	N/A	5,651	8,983	51,715	37,599
2016-08-29	$32.73	$32.00	18.8%	5.6%	9.9%	12.9%	18.8%	6.2%	0.0%	2.5M	-39.7M	-659.4K	1.37	33.14	N/A	N/A	7,076	9,679	50,987	35,706
2016-08-30	$32.90	$32.00	17.8%	4.9%	8.8%	8.4%	18.3%	4.8%	-0.4%	3.2M	-47.1M	-671.6K	1.49	36.20	N/A	N/A	6,962	10,397	53,404	38,700
2016-08-31	$32.86	$32.00	18.1%	5.4%	8.8%	9.6%	19.7%	4.7%	0.6%	2.8M	-42.1M	-676.3K	2.31	49.53	N/A	N/A	4,439	10,260	53,266	40,802