FEZ Options History — November 2016

In November 2016, FEZ traded between $31.07 and $32.56. ATM implied volatility averaged 19.8%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 8.5% (HV 20d: 11.2%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2016-11-18: Highest Volume — 24,925 contracts
  • 2016-11-28: Largest IV spike — 12.4% change
  • 2016-11-16: Highest IV Rank — 29.9%
  • 2016-11-30: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.79$31.07$32.56$32.39$31.43
Max Pain$32.00$32.00$32.00$32.00$32.00
ATM IV19.8%17.5%22.3%19.7%18.5%
Expected Move6.1%5.6%6.9%6.6%6.9%
HV 20d11.2%8.8%14.5%9.2%14.4%
HV 60d14.7%13.9%15.5%14.2%15.3%
IV Rank18.3%7.8%29.9%18.2%12.6%
IV Percentile44.1%10.7%67.1%46.8%28.2%
Term Structure0.2%-1.4%3.5%0.8%-0.3%
VWIV20.9%16.6%25.4%22.0%25.4%
Skew 25d6.4%1.2%10.9%6.6%5.9%
Skew 10d7.8%-3.3%17.4%5.5%17.0%
Call IV 25d16.4%12.3%20.0%14.9%16.5%
Put IV 25d22.8%21.2%24.6%21.4%22.5%
Bid-Ask Spread %56.8135.97128.76117.0447.83
Gamma HHI0.130.120.180.150.13
Net GEX-198.4K-3.0M1.4M1.4M264.6K
Net DEX-12.8M-26.0M16.1M-26.0M-19.4M
Net VEX-466.8K-485.8K-434.3K-479.0K-480.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.442.312.200.74
Total Volume14,868.7629,43724,92512,9509,437
Total OI89,343.57177,00498,50388,39883,665

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$32.39$32.0019.7%6.6%9.2%18.2%22.0%6.6%0.8%1.4M-26.0M-479.0K2.20117.04N/AN/A4,0478,90349,68338,715
2016-11-02$32.21$32.0020.0%5.8%8.8%19.3%23.5%5.0%-0.1%41.8K-15.4M-482.6K1.78128.76N/AN/A5,0498,97250,75439,046
2016-11-03$32.01$32.0020.5%6.5%9.0%21.6%20.2%7.4%1.0%227.4K-14.3M-480.5K1.8766.63N/AN/A5,2939,90051,71039,619
2016-11-04$31.78$32.0019.4%6.3%9.1%16.7%20.6%3.8%0.9%296.2K-9.9M-482.8K2.3139.00N/AN/A5,58012,88952,74640,810
2016-11-07$32.31$32.0019.8%5.9%10.9%18.5%19.7%10.7%-0.3%1.0M-18.9M-485.8K1.8453.99N/AN/A6,19911,38953,50441,452
2016-11-08$32.56$32.0019.3%5.7%10.3%16.1%19.5%7.8%1.0%949.8K-25.9M-480.3K1.6948.32N/AN/A6,28710,59754,23143,433
2016-11-09$32.55$32.0019.0%5.6%10.1%15.0%19.2%7.4%0.2%386.8K-23.9M-472.4K1.4651.85N/AN/A6,4079,38554,30243,423
2016-11-10$32.31$32.0019.6%6.2%10.3%17.5%20.4%6.1%3.5%-272.6K-21.1M-465.1K1.4448.74N/AN/A5,8388,43454,82243,507
2016-11-11$32.02$32.0020.8%6.1%10.5%23.0%16.6%4.4%0.5%-3.0M-11.8M-456.7K1.5251.02N/AN/A5,7248,69954,81643,687
2016-11-14$31.77$32.0021.1%6.1%10.8%24.6%18.3%5.5%-0.8%-780.6K-5.3M-445.6K1.5655.12N/AN/A5,1468,01552,13940,648
2016-11-15$31.91$32.0020.2%5.8%10.0%20.4%17.9%7.5%0.4%-488.6K-8.8M-445.8K1.4356.36N/AN/A5,9328,49852,24940,397
2016-11-16$31.43$32.0022.3%6.4%11.1%29.9%22.0%1.2%-0.8%-1.9M4.1M-437.3K1.6265.01N/AN/A5,6349,12654,27840,937
2016-11-17$31.52$32.0020.1%5.8%11.1%19.9%21.7%10.9%-0.1%-1.6M2.1M-437.7K1.9755.94N/AN/A5,58711,03253,34940,310
2016-11-18$31.14$32.0020.8%5.8%11.6%23.2%20.5%6.7%1.5%-1.0M16.1M-434.3K0.8150.90N/AN/A13,75111,17453,35042,356
2016-11-21$31.42$32.0018.9%5.6%12.1%14.6%17.7%4.3%-0.4%52.5K-14.4M-475.2K0.4439.90N/AN/A13,3835,87143,84533,159
2016-11-22$31.57$32.0018.7%5.9%12.4%13.6%20.6%5.4%-0.8%192.7K-18.8M-472.8K1.1449.72N/AN/A4,9915,67444,00333,449
2016-11-23$31.22$32.0019.3%6.3%12.8%16.3%22.2%5.5%-0.3%-258.4K-10.5M-470.4K0.9646.76N/AN/A5,8715,62344,51033,398
2016-11-25$31.44$32.0017.5%5.6%13.2%7.8%22.6%9.4%-1.4%377.7K-18.4M-471.3K1.1139.21N/AN/A5,0595,59544,86833,636
2016-11-28$31.07$32.0019.6%6.8%13.6%17.8%24.6%5.6%-0.4%-116.3K-13.1M-460.6K1.2535.97N/AN/A6,4598,08644,99533,624
2016-11-29$31.43$32.0019.7%6.6%14.5%17.9%24.2%6.8%-0.9%69.8K-15.7M-485.6K1.3944.94N/AN/A5,3117,39746,53536,255
2016-11-30$31.43$32.0018.5%6.9%14.4%12.6%25.4%5.9%-0.3%264.6K-19.4M-480.6K0.7447.83N/AN/A5,4224,01546,86536,800