FEZ Options History — September 2017

In September 2017, FEZ traded between $39.55 and $41.25. ATM implied volatility averaged 10.7%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 0.9% (HV 20d: 9.8%). Max pain ranged from $38.00 to $39.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2017-09-29: Highest Volume — 55,612 contracts
  • 2017-09-05: Largest IV spike — 24.5% change
  • 2017-09-05: Highest IV Rank — 16.3%
  • 2017-09-05: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.69$39.55$41.25$39.89$41.25
Max Pain$39.05$38.00$39.50$38.00$39.00
ATM IV10.7%9.6%14.1%11.3%10.3%
Expected Move3.0%2.6%3.7%3.2%2.7%
HV 20d9.8%8.7%11.8%10.4%9.6%
HV 60d9.6%8.9%10.3%10.0%9.1%
IV Rank3.7%0.0%16.3%3.8%3.0%
IV Percentile4.2%0.0%33.7%2.4%3.2%
Term Structure0.3%-0.4%1.1%0.3%1.0%
VWIV12.6%8.8%18.5%12.3%8.8%
Skew 25d3.9%3.0%5.8%4.7%3.3%
Skew 10d9.1%6.4%11.9%11.9%7.4%
Call IV 25d9.4%8.2%11.8%10.0%8.2%
Put IV 25d13.3%11.4%17.5%14.7%11.5%
Bid-Ask Spread %14.896.7855.3513.8423.84
Gamma HHI0.230.190.300.200.24
Net GEX25.0M15.0M48.7M19.1M22.0M
Net DEX-235.2M-335.6M-137.6M-177.8M-257.6M
Net VEX-2.0M-2.1M-1.9M-2.1M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.362.011.360.79
Total Volume26,582.9512,06055,61212,06055,612
Total OI320,572.6292,253339,799312,980339,799

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$39.89$38.0011.3%3.2%10.4%3.8%12.3%4.7%0.3%19.1M-177.8M-2.1M1.3613.84N/AN/A5,1036,957152,520160,460
2017-09-05$39.55$39.0014.1%3.7%10.8%16.3%17.4%5.8%-0.4%15.3M-137.6M-2.1M2.0123.25N/AN/A4,6539,337153,265160,600
2017-09-06$40.03$39.0012.5%3.6%11.6%9.1%16.9%4.3%-0.3%21.4M-193.2M-2.1M0.3610.66N/AN/A22,6508,257153,653161,949
2017-09-07$40.40$39.0011.4%3.5%11.8%4.1%16.3%4.2%0.1%38.1M-278.2M-2.0M1.3410.64N/AN/A6,8769,188171,119162,411
2017-09-08$40.37$39.0011.1%3.6%10.1%2.7%18.5%5.0%0.1%34.2M-250.5M-2.1M1.407.45N/AN/A6,5679,206168,001163,670
2017-09-11$40.77$39.0010.7%3.1%10.6%1.1%13.1%3.5%-0.4%36.2M-310.3M-2.0M1.409.09N/AN/A5,5227,746166,799163,560
2017-09-12$40.94$39.0010.4%3.0%10.2%0.0%13.2%3.8%0.3%37.5M-333.7M-2.0M0.577.85N/AN/A12,9437,367167,484163,732
2017-09-13$40.78$39.009.6%3.0%10.4%0.0%12.7%4.3%0.8%48.7M-335.6M-2.0M0.568.74N/AN/A12,0506,730175,038163,733
2017-09-14$40.91$39.0010.5%2.9%10.4%4.0%11.8%3.0%-0.3%18.9M-335.6M-2.0M0.659.92N/AN/A10,4146,793169,289164,093
2017-09-15$40.80$39.009.8%2.8%9.0%1.2%10.4%3.6%0.4%17.8M-251.7M-2.0M0.4415.41N/AN/A17,8207,829150,511164,534
2017-09-18$41.00$39.0010.2%2.9%9.0%2.5%11.6%3.4%0.7%19.0M-213.4M-1.9M1.4130.93N/AN/A7,45310,478132,765160,200
2017-09-19$41.12$39.0010.0%2.9%8.8%2.0%12.1%3.4%1.1%20.2M-233.7M-1.9M1.396.78N/AN/A5,9938,329132,545159,708
2017-09-20$41.00$39.009.7%2.8%8.8%0.3%9.6%3.7%0.8%22.1M-217.6M-1.9M1.3955.35N/AN/A7,1289,908133,364159,800
2017-09-21$41.06$39.509.6%2.7%8.8%0.2%10.8%3.2%0.8%23.8M-230.1M-1.9M1.5514.39N/AN/A15,54624,080135,129161,335
2017-09-22$41.12$39.5010.0%2.8%8.7%2.0%12.8%3.6%0.6%20.2M-236.4M-2.0M1.039.14N/AN/A16,03116,560145,295176,377
2017-09-25$40.72$39.5011.7%3.0%9.3%9.1%12.3%5.0%-0.1%19.0M-183.7M-2.0M1.609.44N/AN/A15,39524,657144,306174,820
2017-09-26$40.52$39.5010.8%3.0%9.5%5.2%9.5%3.7%0.5%15.0M-144.6M-2.1M1.0610.65N/AN/A23,99825,370144,271182,707
2017-09-27$40.71$39.0010.6%2.9%9.5%4.4%10.5%3.2%0.2%24.0M-183.0M-2.1M1.3512.38N/AN/A16,98822,861152,752183,069
2017-09-28$40.85$39.0010.2%2.6%9.2%2.7%10.8%3.2%0.6%26.9M-199.7M-2.1M1.417.99N/AN/A17,14424,120152,775184,014
2017-09-29$41.25$39.0010.3%2.7%9.6%3.0%8.8%3.3%1.0%22.0M-257.6M-2.1M0.7923.84N/AN/A31,05524,557153,927185,872