FEZ Options History — February 2017

In February 2017, FEZ traded between $33.67 and $34.39. ATM implied volatility averaged 14.4%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 4.3% (HV 20d: 10.1%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 3.36.

Notable Days

2017-02-28: Highest Volume — 126,481 contracts
2017-02-24: Largest IV spike — 14.6% change
2017-02-28: Highest IV Rank — 16.4%
2017-02-02: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.12	$33.67	$34.39	$34.16	$34.18
Max Pain	$33.95	$33.00	$34.00	$33.00	$34.00
ATM IV	14.4%	13.1%	17.0%	14.6%	17.0%
Expected Move	4.0%	3.6%	4.5%	3.7%	4.0%
HV 20d	10.1%	8.5%	10.8%	9.6%	8.5%
HV 60d	12.5%	11.5%	13.3%	13.3%	11.5%
IV Rank	6.1%	0.9%	16.4%	7.0%	16.4%
IV Percentile	10.0%	0.8%	27.8%	10.7%	27.8%
Term Structure	-0.2%	-2.7%	1.2%	0.4%	-0.5%
VWIV	14.9%	13.2%	16.6%	13.6%	13.2%
Skew 25d	3.9%	0.1%	9.9%	4.2%	7.1%
Skew 10d	2.4%	-5.4%	9.5%	3.7%	2.4%
Call IV 25d	12.4%	8.5%	16.6%	13.1%	11.8%
Put IV 25d	16.3%	13.7%	18.9%	17.2%	18.9%
Bid-Ask Spread %	58.83	32.59	87.52	62.77	60.95
Gamma HHI	0.45	0.25	0.69	0.48	0.25
Net GEX	-6.4M	-16.6M	6.6M	4.6M	6.6M
Net DEX	-6.8M	-204.1M	98.9M	-39.0M	-204.1M
Net VEX	-1.4M	-3.0M	-453.5K	-453.5K	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.36	0.04	37.13	2.25	0.07
Total Volume	53,512.947	8,915	126,481	12,229	126,481
Total OI	240,667.895	76,705	476,680	76,705	476,680

Daily Data (19 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
2017-02-01	$34.16	$33.00	14.6%	3.7%	9.6%	7.0%	13.6%	4.2%	0.4%	4.6M	-39.0M	-453.5K	2.25	62.77	N/A	N/A	3,763	8,466	41,496	35,209
2017-02-02	$34.13	$34.00	14.9%	4.5%	9.4%	8.3%	16.6%	1.6%	-0.8%	4.4M	-34.8M	-496.8K	1.49	57.40	N/A	N/A	3,662	5,441	41,580	40,373
2017-02-03	$34.35	$34.00	13.1%	4.0%	8.9%	0.9%	15.9%	2.4%	0.1%	5.3M	-37.4M	-492.2K	37.13	56.62	N/A	N/A	2,644	98,164	41,594	40,893
2017-02-06	$33.85	$34.00	14.2%	4.1%	10.2%	5.2%	16.4%	0.1%	0.2%	-14.0M	87.1M	-989.3K	2.62	41.23	N/A	N/A	2,462	6,453	42,445	132,521
2017-02-07	$33.67	$34.00	15.7%	4.0%	10.4%	11.4%	16.0%	1.9%	-1.5%	-14.6M	96.6M	-993.9K	2.77	39.97	N/A	N/A	7,462	20,705	42,717	131,569
2017-02-08	$33.73	$34.00	15.4%	3.7%	10.4%	10.0%	14.9%	4.5%	-2.7%	-16.6M	98.9M	-1.1M	2.12	63.40	N/A	N/A	8,663	18,348	48,009	145,879
2017-02-09	$33.98	$34.00	13.5%	3.7%	10.7%	2.5%	15.5%	3.1%	-0.5%	-15.1M	77.3M	-1.2M	2.74	87.52	N/A	N/A	9,577	26,205	54,289	154,192
2017-02-10	$33.89	$34.00	14.1%	4.1%	10.7%	5.0%	13.6%	4.5%	0.9%	-16.3M	91.1M	-1.3M	1.65	38.82	N/A	N/A	11,424	18,863	55,331	162,823
2017-02-13	$34.09	$34.00	13.8%	4.0%	10.7%	3.4%	14.1%	3.3%	1.2%	-12.9M	67.0M	-1.2M	0.86	43.92	N/A	N/A	10,670	9,206	56,880	163,110
2017-02-14	$34.13	$34.00	13.8%	4.0%	10.7%	3.7%	13.7%	2.3%	1.2%	-11.8M	61.9M	-1.2M	1.04	32.59	N/A	N/A	9,923	10,295	57,475	158,280
2017-02-15	$34.31	$34.00	13.8%	4.0%	10.8%	3.6%	16.4%	3.5%	-1.2%	-9.4M	46.3M	-1.2M	0.32	80.78	N/A	N/A	79,745	25,650	57,808	159,308
2017-02-16	$34.39	$34.00	14.3%	4.1%	10.7%	5.5%	16.4%	3.1%	-1.0%	-4.5M	-40.7M	-1.7M	0.38	48.26	N/A	N/A	68,435	25,693	126,106	166,773
2017-02-17	$34.24	$34.00	14.1%	3.9%	10.6%	4.7%	13.6%	4.0%	0.6%	-8.7M	-31.4M	-1.7M	0.19	53.19	N/A	N/A	67,948	12,725	126,124	166,968
2017-02-21	$34.31	$34.00	13.5%	3.6%	10.6%	2.2%	15.4%	2.7%	0.5%	-6.9M	-29.4M	-1.7M	0.08	52.67	N/A	N/A	64,866	5,415	114,809	152,902
2017-02-22	$34.35	$34.00	13.1%	3.7%	10.6%	0.9%	13.8%	3.5%	-1.9%	-7.3M	-40.2M	-1.7M	0.04	83.93	N/A	N/A	87,656	3,506	115,052	152,947
2017-02-23	$34.34	$34.00	13.3%	3.8%	9.5%	1.7%	13.5%	9.9%	0.4%	1.6M	-132.9M	-2.2M	7.13	61.38	N/A	N/A	4,610	32,878	195,066	153,099
2017-02-24	$34.05	$34.00	15.3%	4.4%	9.2%	9.7%	14.4%	5.3%	0.3%	-4.1M	-72.5M	-2.4M	0.94	72.69	N/A	N/A	7,859	7,407	196,228	182,237
2017-02-27	$34.20	$34.00	16.5%	4.3%	9.3%	14.5%	15.3%	6.6%	0.4%	-2.1M	-92.9M	-2.4M	0.07	79.72	N/A	N/A	96,725	6,751	199,940	183,978
2017-02-28	$34.18	$34.00	17.0%	4.0%	8.5%	16.4%	13.2%	7.1%	-0.5%	6.6M	-204.1M	-3.0M	0.07	60.95	N/A	N/A	117,957	8,524	292,580	184,100