FEZ Options History — June 2017

In June 2017, FEZ traded between $38.50 and $40.19. ATM implied volatility averaged 13.4%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.6% (HV 20d: 11.8%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.27.

Notable Days

2017-06-15: Highest Volume — 91,057 contracts
2017-06-29: Largest IV spike — 26.2% change
2017-06-29: Highest IV Rank — 16.7%
2017-06-01: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.17	$38.50	$40.19	$39.71	$38.50
Max Pain	$38.84	$38.00	$39.00	$38.00	$39.00
ATM IV	13.4%	11.7%	15.3%	15.3%	14.1%
Expected Move	3.8%	3.3%	5.0%	5.0%	3.9%
HV 20d	11.8%	10.3%	15.4%	15.4%	11.8%
HV 60d	16.4%	16.0%	17.0%	16.3%	17.0%
IV Rank	5.7%	0.0%	16.7%	11.1%	11.6%
IV Percentile	9.3%	0.0%	30.6%	23.8%	20.2%
Term Structure	0.1%	-1.7%	3.3%	-0.9%	-0.1%
VWIV	14.4%	11.2%	22.4%	22.4%	16.0%
Skew 25d	4.0%	1.9%	6.9%	4.6%	3.4%
Skew 10d	9.4%	1.5%	13.7%	12.3%	9.0%
Call IV 25d	11.2%	9.0%	13.2%	11.6%	13.1%
Put IV 25d	15.2%	13.0%	17.6%	16.2%	16.5%
Bid-Ask Spread %	24.76	13.37	53.20	27.04	41.53
Gamma HHI	0.19	0.16	0.21	0.16	0.20
Net GEX	42.6M	25.8M	60.8M	53.5M	26.7M
Net DEX	-440.8M	-781.8M	-179.5M	-671.4M	-179.5M
Net VEX	-3.1M	-3.6M	-2.8M	-3.6M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.15	3.97	1.39	0.67
Total Volume	20,916.909	7,777	91,057	33,537	21,021
Total OI	518,777.5	444,959	597,983	587,052	461,592

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
2017-06-01	$39.71	$38.00	15.3%	5.0%	15.4%	11.1%	22.4%	4.6%	-0.9%	53.5M	-671.4M	-3.6M	1.39	27.04	N/A	N/A	14,054	19,483	409,129	177,923
2017-06-02	$40.19	$38.00	14.6%	4.9%	14.1%	8.3%	14.9%	5.9%	-1.2%	57.8M	-781.8M	-3.5M	0.73	20.91	N/A	N/A	11,672	8,487	409,307	179,036
2017-06-05	$39.87	$39.00	14.5%	3.8%	13.4%	7.8%	15.6%	4.0%	0.4%	59.1M	-704.1M	-3.5M	2.20	19.67	N/A	N/A	3,789	8,342	413,594	178,293
2017-06-06	$39.59	$39.00	14.5%	3.9%	12.5%	7.8%	15.3%	5.0%	0.9%	54.1M	-643.9M	-3.5M	3.69	19.13	N/A	N/A	2,292	8,451	413,710	178,773
2017-06-07	$39.64	$39.00	14.7%	3.8%	12.1%	8.5%	15.4%	4.7%	-0.9%	55.6M	-647.1M	-3.5M	1.85	26.52	N/A	N/A	4,988	9,228	413,998	179,352
2017-06-08	$39.64	$39.00	14.3%	3.8%	12.1%	6.8%	15.6%	4.6%	-0.7%	56.3M	-650.0M	-3.4M	2.17	17.15	N/A	N/A	4,799	10,408	414,054	179,508
2017-06-09	$39.58	$39.00	13.7%	3.6%	12.0%	4.4%	14.0%	4.5%	0.5%	57.1M	-643.6M	-3.4M	1.88	25.52	N/A	N/A	4,780	8,972	414,277	183,706
2017-06-12	$39.26	$39.00	13.3%	3.9%	12.1%	2.9%	15.9%	5.5%	1.7%	53.6M	-606.9M	-3.3M	1.49	18.29	N/A	N/A	4,341	6,458	404,047	172,282
2017-06-13	$39.60	$39.00	12.9%	3.3%	12.2%	1.2%	14.1%	6.9%	-1.7%	57.5M	-687.1M	-3.3M	1.60	18.80	N/A	N/A	4,000	6,383	404,261	172,786
2017-06-14	$39.49	$39.00	12.1%	4.2%	11.5%	0.0%	15.0%	4.2%	3.3%	56.0M	-659.9M	-3.3M	3.97	44.80	N/A	N/A	1,565	6,212	404,002	173,109
2017-06-15	$38.95	$39.00	11.7%	3.3%	10.7%	0.0%	11.3%	2.0%	0.2%	60.8M	-610.7M	-2.9M	0.15	19.95	N/A	N/A	79,193	11,864	403,064	173,280
2017-06-16	$38.67	$39.00	12.6%	3.5%	10.9%	3.4%	13.0%	4.1%	-0.7%	29.6M	-223.5M	-3.0M	0.54	34.27	N/A	N/A	17,638	9,492	296,846	178,762
2017-06-19	$38.99	$39.00	11.9%	3.4%	10.3%	0.6%	12.1%	2.3%	1.2%	31.0M	-260.6M	-3.0M	0.44	28.67	N/A	N/A	17,213	7,629	271,901	173,390
2017-06-20	$38.57	$39.00	13.0%	3.7%	10.8%	5.5%	13.2%	3.2%	-0.2%	27.2M	-191.6M	-3.0M	0.66	16.66	N/A	N/A	11,207	7,415	272,657	173,409
2017-06-21	$38.57	$39.00	13.3%	3.8%	10.8%	6.6%	14.5%	3.1%	0.1%	26.6M	-192.4M	-2.9M	0.57	19.36	N/A	N/A	11,233	6,371	272,701	173,453
2017-06-22	$38.53	$39.00	13.5%	3.9%	10.8%	7.5%	12.1%	3.6%	-0.0%	25.8M	-186.8M	-2.9M	0.51	21.16	N/A	N/A	12,662	6,410	271,933	173,427
2017-06-23	$38.60	$39.00	12.9%	3.7%	10.8%	5.1%	14.0%	1.9%	0.4%	25.9M	-195.6M	-2.9M	0.54	18.82	N/A	N/A	12,078	6,526	271,973	173,486
2017-06-26	$38.82	$39.00	12.2%	3.3%	11.0%	2.1%	11.2%	3.1%	-0.2%	29.9M	-223.5M	-2.8M	0.68	18.15	N/A	N/A	10,180	6,881	271,922	173,037
2017-06-27	$38.95	$39.00	12.9%	3.6%	11.0%	5.0%	13.0%	3.9%	-0.3%	30.2M	-242.7M	-2.8M	0.81	21.70	N/A	N/A	7,627	6,177	272,895	174,167
2017-06-28	$39.30	$38.50	12.0%	3.4%	11.4%	1.6%	12.1%	3.1%	0.2%	33.7M	-297.0M	-2.8M	0.59	13.37	N/A	N/A	14,393	8,473	273,293	174,336
2017-06-29	$38.61	$38.00	15.2%	4.3%	12.8%	16.7%	15.2%	4.3%	-0.1%	28.4M	-197.9M	-2.9M	0.90	53.20	N/A	N/A	10,439	9,346	280,153	176,281
2017-06-30	$38.50	$39.00	14.1%	3.9%	11.8%	11.6%	16.0%	3.4%	-0.1%	26.7M	-179.5M	-2.8M	0.67	41.53	N/A	N/A	12,564	8,457	284,241	177,351