FEZ Options History — May 2017

In May 2017, FEZ traded between $38.07 and $39.82. ATM implied volatility averaged 15.8%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 5.1% (HV 20d: 20.9%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.92.

Notable Days

2017-05-05: Highest Volume — 228,699 contracts
2017-05-08: Largest IV drop — 18.5% change
2017-05-18: Highest IV Rank — 22.6%
2017-05-03: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.18	$38.07	$39.82	$38.07	$39.55
Max Pain	$36.77	$34.00	$38.00	$34.00	$38.00
ATM IV	15.8%	12.6%	18.2%	17.8%	15.6%
Expected Move	5.0%	4.5%	5.9%	5.6%	5.2%
HV 20d	20.9%	15.2%	24.9%	21.8%	15.4%
HV 60d	16.5%	15.3%	17.3%	15.7%	16.4%
IV Rank	12.5%	0.0%	22.6%	19.9%	12.0%
IV Percentile	27.3%	0.0%	51.2%	42.9%	27.8%
Term Structure	0.3%	-1.3%	3.3%	-0.3%	-0.8%
VWIV	18.2%	13.1%	25.7%	23.7%	18.5%
Skew 25d	4.0%	2.4%	5.6%	5.6%	3.5%
Skew 10d	8.6%	2.9%	15.6%	9.8%	10.8%
Call IV 25d	13.4%	11.0%	15.3%	14.1%	12.7%
Put IV 25d	17.4%	14.2%	20.3%	19.7%	16.2%
Bid-Ask Spread %	36.07	17.36	87.85	73.98	18.60
Gamma HHI	0.26	0.15	0.47	0.28	0.15
Net GEX	81.8M	49.8M	129.2M	88.3M	50.0M
Net DEX	-1.31B	-1.91B	-605.4M	-1.39B	-637.1M
Net VEX	-3.7M	-4.1M	-3.4M	-4.1M	-3.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.24	2.44	1.21	1.27
Total Volume	90,775.818	9,508	228,699	9,508	33,870
Total OI	844,103.455	557,045	1,015,472	917,548	585,984

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
2017-05-01	$38.07	$34.00	17.8%	5.6%	21.8%	19.9%	23.7%	5.6%	-0.3%	88.3M	-1.39B	-4.1M	1.21	73.98	N/A	N/A	4,296	5,212	651,150	266,398
2017-05-02	$38.29	$34.00	15.5%	5.1%	21.7%	10.6%	25.7%	4.9%	0.3%	94.1M	-1.47B	-4.1M	0.33	62.60	N/A	N/A	17,938	5,983	651,529	266,964
2017-05-03	$38.23	$34.00	17.3%	5.9%	21.7%	17.8%	24.0%	5.5%	-1.1%	89.8M	-1.43B	-4.1M	1.00	60.36	N/A	N/A	9,693	9,729	656,909	267,868
2017-05-04	$39.06	$37.00	16.2%	5.2%	22.4%	13.4%	18.4%	5.4%	0.4%	89.1M	-1.79B	-3.9M	0.97	51.33	N/A	N/A	49,794	48,291	663,887	272,253
2017-05-05	$39.68	$37.00	16.6%	5.1%	22.8%	15.1%	19.7%	4.5%	-1.0%	76.5M	-1.91B	-3.7M	0.39	87.85	N/A	N/A	164,556	64,143	663,320	270,585
2017-05-08	$39.08	$37.00	13.6%	4.8%	23.8%	2.6%	16.7%	3.0%	3.2%	92.9M	-1.63B	-3.5M	0.26	82.98	N/A	N/A	115,076	30,301	690,321	286,810
2017-05-09	$38.81	$37.00	13.0%	4.8%	23.9%	0.3%	15.5%	3.0%	3.0%	104.9M	-1.59B	-3.7M	0.24	28.04	N/A	N/A	108,065	26,124	715,365	286,488
2017-05-10	$38.91	$37.00	12.6%	4.5%	23.9%	0.0%	15.3%	2.4%	2.9%	108.0M	-1.60B	-3.5M	0.31	22.65	N/A	N/A	109,917	33,726	708,591	286,461
2017-05-11	$38.74	$37.00	13.6%	4.5%	24.0%	4.0%	17.9%	2.9%	2.9%	104.6M	-1.54B	-3.7M	0.33	25.17	N/A	N/A	102,405	33,813	719,092	296,380
2017-05-12	$39.07	$37.00	13.8%	4.6%	23.7%	4.8%	14.4%	3.2%	3.3%	109.9M	-1.67B	-3.7M	0.42	20.40	N/A	N/A	86,908	36,254	718,779	296,421
2017-05-15	$39.35	$37.00	15.7%	4.8%	23.7%	12.7%	13.1%	5.5%	1.0%	107.1M	-1.78B	-3.6M	0.48	20.33	N/A	N/A	57,920	27,611	712,490	291,642
2017-05-16	$39.82	$37.00	15.8%	4.7%	23.5%	13.0%	16.1%	2.8%	-0.2%	88.7M	-1.79B	-3.4M	0.35	28.31	N/A	N/A	64,298	22,627	675,034	292,105
2017-05-17	$39.11	$37.00	18.1%	5.2%	24.8%	22.3%	17.6%	4.3%	-0.8%	99.3M	-1.44B	-3.6M	0.33	31.83	N/A	N/A	89,666	29,605	641,281	307,337
2017-05-18	$39.07	$37.00	18.2%	5.2%	24.8%	22.6%	20.0%	4.3%	-0.7%	129.2M	-1.58B	-3.9M	1.16	17.44	N/A	N/A	24,496	28,533	699,639	307,871
2017-05-19	$39.58	$37.00	17.4%	5.0%	24.9%	19.5%	16.6%	4.4%	0.3%	61.1M	-1.59B	-3.5M	0.58	26.28	N/A	N/A	118,648	69,228	640,392	308,396
2017-05-22	$39.70	$37.00	17.1%	4.9%	16.0%	18.3%	18.4%	4.2%	-0.9%	50.0M	-671.4M	-3.6M	1.74	17.36	N/A	N/A	48,267	83,979	400,941	156,104
2017-05-23	$39.70	$37.00	16.8%	5.0%	15.8%	16.8%	19.5%	3.4%	-1.0%	49.8M	-670.2M	-3.8M	0.90	28.70	N/A	N/A	35,629	32,053	406,488	172,994
2017-05-24	$39.71	$37.00	16.3%	4.6%	15.3%	14.9%	16.6%	4.0%	-1.3%	51.7M	-671.4M	-3.7M	2.28	31.18	N/A	N/A	13,979	31,870	408,783	174,647
2017-05-25	$39.69	$38.00	15.5%	4.8%	15.2%	11.6%	13.6%	3.5%	-0.9%	52.5M	-665.6M	-3.7M	1.96	18.49	N/A	N/A	16,302	31,883	408,703	174,847
2017-05-26	$39.46	$38.00	15.3%	4.9%	15.5%	11.1%	19.5%	3.5%	-0.8%	51.3M	-627.2M	-3.7M	2.44	22.05	N/A	N/A	12,977	31,603	408,851	175,354
2017-05-30	$39.36	$38.00	15.4%	5.2%	15.5%	11.3%	18.8%	4.3%	-0.7%	50.9M	-605.4M	-3.6M	1.30	17.55	N/A	N/A	12,954	16,846	408,643	176,179
2017-05-31	$39.55	$38.00	15.6%	5.2%	15.4%	12.0%	18.5%	3.5%	-0.8%	50.0M	-637.1M	-3.7M	1.27	18.60	N/A	N/A	14,895	18,975	409,036	176,948