FEZ Options History — January 2018

In January 2018, FEZ traded between $40.86 and $44.18. ATM implied volatility averaged 11.1%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 1.2% (HV 20d: 9.9%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2018-01-19: Highest Volume — 55,239 contracts
  • 2018-01-29: Largest IV spike — 12.4% change
  • 2018-01-30: Highest IV Rank — 22.2%
  • 2018-01-30: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.85$40.86$44.18$40.86$43.57
Max Pain$41.62$40.00$42.50$40.00$42.50
ATM IV11.1%9.9%13.6%11.5%13.0%
Expected Move3.2%2.8%4.0%3.0%3.9%
HV 20d9.9%7.6%11.4%7.6%10.7%
HV 60d8.9%7.7%9.6%7.7%9.6%
IV Rank12.3%7.3%22.2%13.6%20.1%
IV Percentile26.6%5.2%61.1%29.4%55.2%
Term Structure0.4%-0.6%2.4%0.2%2.4%
VWIV12.2%9.6%16.1%11.9%14.1%
Skew 25d2.4%2.0%3.5%3.2%3.2%
Skew 10d5.8%4.6%7.8%7.7%5.8%
Call IV 25d10.2%9.1%12.2%10.7%11.9%
Put IV 25d12.6%11.0%15.7%14.0%15.0%
Bid-Ask Spread %21.058.0440.468.0439.02
Gamma HHI0.340.200.640.220.20
Net GEX17.3M-6.4M38.6M19.7M-5.3M
Net DEX-227.2M-427.5M-86.9M-86.9M-125.4M
Net VEX-1.5M-1.6M-1.4M-1.4M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.827.261.780.82
Total Volume24,039.71414,20455,23914,48016,968
Total OI291,197.762212,527347,815311,932244,086

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$40.86$40.0011.5%3.0%7.6%13.6%11.9%3.2%0.2%19.7M-86.9M-1.4M1.788.04N/AN/A5,2029,278133,345178,587
2018-01-03$41.05$40.0011.1%2.9%7.7%12.4%9.6%2.4%0.3%24.3M-113.6M-1.4M2.1229.59N/AN/A4,5599,645133,352178,819
2018-01-04$41.78$41.0010.3%3.0%9.7%9.0%13.5%2.6%0.3%38.6M-212.4M-1.5M1.0421.12N/AN/A11,24311,737133,523180,053
2018-01-05$42.24$41.0010.4%3.1%10.2%9.6%13.4%2.1%0.5%36.4M-280.6M-1.4M1.3319.26N/AN/A8,00310,671131,811180,881
2018-01-08$42.07$41.0010.5%3.1%10.4%10.0%10.7%2.4%0.1%37.4M-250.5M-1.4M2.5028.28N/AN/A6,22715,589131,362181,938
2018-01-09$42.03$41.0010.1%3.0%10.3%8.1%12.6%2.5%0.2%38.5M-239.9M-1.5M4.3617.07N/AN/A5,98126,099132,302187,285
2018-01-10$41.91$41.0010.1%3.0%10.4%8.2%10.8%2.3%0.4%36.1M-213.1M-1.5M1.8919.34N/AN/A15,85929,991132,970198,257
2018-01-11$42.14$42.0010.3%3.0%10.5%8.9%10.4%2.1%0.3%33.9M-252.6M-1.6M3.2116.96N/AN/A7,10322,815138,801204,011
2018-01-12$42.73$42.009.9%2.8%11.4%7.3%10.9%2.0%-0.3%30.6M-343.4M-1.5M1.8726.23N/AN/A6,66812,478138,951204,043
2018-01-16$42.89$42.0010.7%3.1%10.6%10.7%11.3%2.0%-0.0%30.0M-366.6M-1.4M1.3513.45N/AN/A9,52112,861139,233204,096
2018-01-17$43.03$42.0011.3%3.2%10.6%13.1%11.3%2.5%0.1%25.7M-386.4M-1.4M2.309.34N/AN/A5,40012,428141,317205,035
2018-01-18$43.07$42.0011.4%3.3%9.8%13.5%11.0%2.4%-0.6%28.8M-388.4M-1.4M2.1715.79N/AN/A6,58514,261140,519205,644
2018-01-19$43.42$42.0011.6%3.4%10.0%14.3%13.5%2.5%-0.6%4.8M-427.5M-1.4M7.2623.57N/AN/A6,68948,550141,179206,636
2018-01-22$43.79$42.0010.6%3.1%9.5%10.2%11.4%2.0%0.2%-1.4M-146.9M-1.5M1.5013.30N/AN/A7,82211,72278,627133,900
2018-01-23$43.87$42.0010.7%3.2%9.5%10.5%11.6%2.0%0.2%-1.5M-161.5M-1.5M1.0417.93N/AN/A11,35411,81281,467135,612
2018-01-24$43.97$42.0011.0%3.4%9.3%11.8%12.2%2.0%0.4%-1.2M-170.6M-1.5M0.9925.39N/AN/A9,8179,73085,788140,132
2018-01-25$43.82$42.0011.2%3.3%9.6%12.7%12.5%2.1%0.3%-1.8M-160.2M-1.5M1.4623.77N/AN/A7,58111,06186,165140,988
2018-01-26$44.18$42.0011.3%3.4%9.6%13.0%13.4%2.1%0.2%-1.0M-183.7M-1.5M0.9919.40N/AN/A12,99612,84487,001142,727
2018-01-29$43.85$42.0012.7%3.7%10.2%18.7%16.1%2.9%2.4%-2.0M-150.7M-1.5M3.4240.46N/AN/A6,21321,22387,910143,681
2018-01-30$43.50$42.5013.6%4.0%10.7%22.2%14.8%3.5%2.3%-6.4M-109.1M-1.6M0.8914.73N/AN/A9,6318,61788,874154,245
2018-01-31$43.57$42.5013.0%3.9%10.7%20.1%14.1%3.2%2.4%-5.3M-125.4M-1.6M0.8239.02N/AN/A9,3467,62289,397154,689