FEZ Options History — January 2017

In January 2017, FEZ traded between $33.56 and $34.79. ATM implied volatility averaged 14.1%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 4.5% (HV 20d: 9.6%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.99.

Notable Days

  • 2017-01-06: Highest Volume — 23,365 contracts
  • 2017-01-04: Largest IV drop — 18.6% change
  • 2017-01-03: Highest IV Rank — 13.7%
  • 2017-01-30: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.11$33.56$34.79$33.56$34.06
Max Pain$32.80$31.00$33.00$31.00$33.00
ATM IV14.1%13.1%16.3%16.3%14.9%
Expected Move4.0%3.3%4.5%4.2%4.1%
HV 20d9.6%7.1%14.9%14.9%9.6%
HV 60d13.1%12.8%13.4%13.3%13.4%
IV Rank5.0%0.6%13.7%13.7%8.2%
IV Percentile5.0%0.4%12.7%9.5%12.7%
Term Structure0.2%-1.5%2.8%0.3%-0.7%
VWIV14.5%12.4%18.6%15.1%14.3%
Skew 25d3.4%-0.8%5.8%5.2%5.8%
Skew 10d3.8%-0.1%10.3%3.7%1.9%
Call IV 25d12.6%11.0%15.5%11.2%11.0%
Put IV 25d16.0%11.8%18.7%16.4%16.8%
Bid-Ask Spread %52.1625.4770.0744.1063.98
Gamma HHI0.350.150.510.150.48
Net GEX5.2M2.7M6.9M2.7M4.8M
Net DEX-63.4M-82.9M-32.7M-67.3M-41.4M
Net VEX-473.2K-503.5K-439.0K-457.7K-454.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.663.873.591.22
Total Volume9,846.455,30423,36512,3168,214
Total OI86,599.9572,32498,25887,11776,192

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$33.56$31.0016.3%4.2%14.9%13.7%15.1%5.2%0.3%2.7M-67.3M-457.7K3.5944.10N/AN/A2,6819,63545,48341,634
2017-01-04$33.77$31.0013.3%4.1%13.0%1.4%15.2%3.0%0.3%3.4M-73.6M-449.5K3.5857.17N/AN/A2,6879,61146,02941,319
2017-01-05$34.14$33.0014.3%4.3%12.6%5.6%13.5%3.0%0.9%3.9M-82.9M-442.0K3.0029.95N/AN/A3,2259,66646,26341,338
2017-01-06$34.00$33.0014.7%4.2%10.9%7.3%12.8%3.6%-0.9%3.8M-82.2M-439.0K0.7629.04N/AN/A13,23910,12646,69941,429
2017-01-09$33.94$33.0014.7%4.0%10.7%7.2%15.3%3.8%-0.5%6.2M-73.5M-467.4K2.7936.85N/AN/A3,2309,01252,56638,884
2017-01-10$33.89$33.0014.4%3.8%10.7%6.0%14.4%3.5%-1.3%6.1M-72.8M-473.4K2.7260.24N/AN/A3,2658,86852,87440,826
2017-01-11$34.01$33.0013.1%4.4%10.7%0.6%18.6%3.4%2.8%5.6M-73.9M-478.7K3.8755.36N/AN/A2,5119,71053,19140,940
2017-01-12$34.08$33.0014.8%4.4%9.6%7.5%16.6%3.1%0.4%5.8M-74.3M-494.4K2.7354.84N/AN/A2,2366,10053,28542,615
2017-01-13$34.26$33.0013.8%4.1%7.1%3.6%13.8%5.8%-0.2%6.3M-79.3M-503.5K1.9658.01N/AN/A2,6255,15153,51843,493
2017-01-17$34.18$33.0015.0%4.3%7.2%8.3%15.1%4.0%-0.7%6.5M-75.1M-480.1K2.1649.70N/AN/A2,1194,58252,75543,239
2017-01-18$34.04$33.0013.5%3.9%7.5%2.6%14.5%-0.0%1.7%6.3M-69.7M-478.0K0.8368.72N/AN/A4,6423,83152,09843,771
2017-01-19$33.98$33.0013.7%3.9%7.5%3.0%13.5%3.7%-0.3%6.9M-67.0M-479.3K0.7355.69N/AN/A5,0163,64453,63943,781
2017-01-20$34.22$33.0013.6%3.8%7.6%2.9%13.2%3.1%0.8%4.6M-77.0M-478.4K0.6666.05N/AN/A5,5313,62454,42743,831
2017-01-23$34.28$33.0013.6%3.9%7.6%2.7%13.2%5.3%0.6%4.8M-41.1M-475.6K1.3125.47N/AN/A2,3343,06539,09433,230
2017-01-24$34.37$33.0013.6%3.8%7.6%2.7%13.3%3.8%1.3%5.1M-41.4M-482.1K0.8937.15N/AN/A2,8122,49239,28434,367
2017-01-25$34.79$33.0013.3%3.3%8.4%1.5%12.4%4.6%0.9%6.8M-56.3M-475.5K1.3667.06N/AN/A2,5243,44039,58734,387
2017-01-26$34.41$33.0014.1%3.7%9.6%4.7%13.9%3.6%-1.5%5.3M-44.8M-482.0K2.3257.33N/AN/A2,6226,07339,84634,703
2017-01-27$34.31$33.0013.7%3.7%9.1%3.0%13.5%-0.8%1.0%5.2M-41.0M-484.6K2.2956.39N/AN/A2,6326,02040,06536,692
2017-01-30$33.96$33.0014.8%4.5%9.9%7.6%17.6%-0.2%-0.3%3.5M-32.7M-487.9K1.0170.07N/AN/A4,0444,09040,04434,581
2017-01-31$34.06$33.0014.9%4.1%9.6%8.2%14.3%5.8%-0.7%4.8M-41.4M-454.4K1.2263.98N/AN/A3,7004,51441,44034,752