FEZ Options History — December 2017

In December 2017, FEZ traded between $40.69 and $41.24. ATM implied volatility averaged 10.9%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 2.2% (HV 20d: 8.7%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2017-12-18: Highest Volume — 28,609 contracts
  • 2017-12-29: Largest IV spike — 14.2% change
  • 2017-12-29: Highest IV Rank — 17.4%
  • 2017-12-01: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.99$40.69$41.24$41.04$40.71
Max Pain$39.20$38.00$42.00$42.00$40.00
ATM IV10.9%9.9%12.4%11.6%12.4%
Expected Move3.1%2.8%3.8%3.8%3.4%
HV 20d8.7%7.7%9.7%9.2%7.8%
HV 60d7.7%7.5%8.2%7.8%7.7%
IV Rank11.2%7.2%17.4%14.4%17.4%
IV Percentile17.9%4.8%41.7%24.2%41.7%
Term Structure0.1%-1.1%1.3%0.0%1.2%
VWIV11.8%8.9%14.9%14.3%10.9%
Skew 25d3.1%2.5%4.5%3.1%4.5%
Skew 10d6.9%5.0%9.7%5.9%8.5%
Call IV 25d9.7%8.5%10.8%10.7%10.0%
Put IV 25d12.8%11.3%14.5%13.9%14.5%
Bid-Ask Spread %18.696.9144.6944.6912.26
Gamma HHI0.260.200.340.340.21
Net GEX19.8M10.6M27.6M16.9M19.4M
Net DEX-121.6M-162.8M-53.1M-148.9M-81.8M
Net VEX-1.6M-1.7M-1.5M-1.7M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.702.351.902.12
Total Volume18,675.614,83228,60916,96015,442
Total OI326,757.8307,651348,119339,020311,724

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$41.04$42.0011.6%3.8%9.2%14.4%14.3%3.1%0.0%16.9M-148.9M-1.7M1.9044.69N/AN/A5,84111,119152,496186,524
2017-12-04$41.17$38.0011.9%3.4%9.1%15.4%12.4%3.7%0.1%20.8M-162.8M-1.7M2.0912.09N/AN/A5,10110,672152,403186,363
2017-12-05$40.97$38.0011.6%3.3%9.2%14.1%13.0%3.6%0.2%15.5M-125.3M-1.7M1.8310.38N/AN/A5,81410,636152,210186,864
2017-12-06$40.85$38.0011.2%3.3%8.7%12.7%12.7%2.9%-0.1%13.5M-112.1M-1.6M1.8816.38N/AN/A5,68310,702151,802186,684
2017-12-07$41.00$38.0011.1%3.3%8.8%12.2%12.4%3.4%0.3%15.7M-131.9M-1.6M1.5615.25N/AN/A6,76010,550151,726187,048
2017-12-08$41.17$38.0010.9%3.2%8.4%11.6%10.0%3.3%0.2%18.7M-156.3M-1.6M1.5417.23N/AN/A6,65010,209152,622187,098
2017-12-11$41.15$38.0010.6%3.1%8.3%10.3%13.6%3.0%0.3%18.3M-152.0M-1.5M1.6813.65N/AN/A6,72211,297152,105187,140
2017-12-12$41.10$38.0010.4%3.0%8.2%9.5%10.9%2.7%0.1%23.0M-155.5M-1.5M1.698.81N/AN/A6,19310,488151,595189,223
2017-12-13$41.07$38.0010.9%3.0%8.2%11.5%11.6%3.4%-0.6%17.7M-142.7M-1.5M2.0332.47N/AN/A7,52915,288151,933189,226
2017-12-14$40.69$38.0011.1%3.0%8.8%12.2%14.9%3.2%-0.8%10.6M-97.4M-1.6M2.3520.88N/AN/A6,49315,263153,487194,632
2017-12-15$40.70$40.0010.5%2.8%8.5%9.9%13.7%2.7%-0.9%17.6M-53.1M-1.6M1.4613.57N/AN/A9,57313,981139,654197,931
2017-12-18$41.24$40.0010.1%2.9%9.6%8.0%8.9%2.5%0.9%26.2M-140.6M-1.6M0.736.91N/AN/A16,51112,098130,585177,066
2017-12-19$41.23$40.009.9%2.8%9.6%7.2%9.6%2.8%0.8%27.6M-143.3M-1.6M1.4320.04N/AN/A7,96011,398132,045177,243
2017-12-20$40.93$40.0010.1%2.9%9.7%8.3%10.7%2.9%1.3%23.2M-111.9M-1.6M1.5828.33N/AN/A7,31411,532133,371176,747
2017-12-21$41.02$40.0010.0%2.8%9.7%7.6%9.0%2.5%0.3%24.0M-119.3M-1.6M0.7028.32N/AN/A15,74710,993132,863177,841
2017-12-22$40.94$40.0010.0%2.8%8.1%7.7%11.9%2.9%0.8%21.8M-100.6M-1.5M1.8217.89N/AN/A5,62810,226132,866178,570
2017-12-26$40.94$40.0010.7%2.9%8.0%10.7%12.2%3.2%-1.1%22.6M-103.5M-1.5M1.8023.15N/AN/A5,65810,178132,941178,156
2017-12-27$40.96$40.0011.3%2.9%7.8%12.8%11.1%3.1%-0.4%22.2M-100.3M-1.5M1.9119.27N/AN/A5,29910,132132,965178,221
2017-12-28$40.88$40.0010.8%2.9%7.7%11.1%12.4%3.3%0.3%21.4M-93.0M-1.5M2.0712.33N/AN/A4,82410,008132,899178,287
2017-12-29$40.71$40.0012.4%3.4%7.8%17.4%10.9%4.5%1.2%19.4M-81.8M-1.5M2.1212.26N/AN/A4,95610,486133,314178,410