FEZ Options History — April 2018

In April 2018, FEZ traded between $39.64 and $42.10. ATM implied volatility averaged 13.6%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 2.0% (HV 20d: 15.6%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.95.

Notable Days

  • 2018-04-06: Highest Volume — 60,725 contracts
  • 2018-04-16: Largest IV drop — 12.3% change
  • 2018-04-02: Highest IV Rank — 43.6%
  • 2018-04-02: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.24$39.64$42.10$39.64$41.59
Max Pain$40.86$40.00$41.00$40.00$41.00
ATM IV13.6%10.9%18.8%18.8%11.3%
Expected Move4.0%3.1%5.8%5.8%3.2%
HV 20d15.6%9.8%17.5%15.7%9.8%
HV 60d19.1%18.9%19.3%19.2%19.0%
IV Rank23.2%12.5%43.6%43.6%15.4%
IV Percentile55.8%27.0%88.9%88.9%34.5%
Term Structure0.2%-1.2%1.2%-1.2%0.5%
VWIV13.6%11.0%18.9%18.9%11.4%
Skew 25d3.6%2.2%5.2%4.8%3.4%
Skew 10d7.9%5.5%10.6%9.2%6.3%
Call IV 25d12.1%9.8%16.5%16.5%9.8%
Put IV 25d15.6%12.3%21.4%21.4%13.2%
Bid-Ask Spread %13.277.4627.3413.6013.64
Gamma HHI0.210.150.280.160.17
Net GEX3.1M-3.4M10.2M-3.4M1.2M
Net DEX-38.4M-97.2M51.3M51.3M-41.6M
Net VEX-1.3M-1.4M-1.1M-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.412.861.772.42
Total Volume34,617.33324,78160,72524,78139,585
Total OI203,962.952183,841216,287183,841216,287

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$39.64$40.0018.8%5.8%15.7%43.6%18.9%4.8%-1.2%-3.4M51.3M-1.3M1.7713.60N/AN/A8,93615,84585,51898,323
2018-04-03$40.07$40.0017.1%5.0%16.1%36.5%16.6%5.1%-0.2%-3.2M35.9M-1.3M1.608.65N/AN/A12,52220,09685,76498,517
2018-04-04$40.24$40.0016.5%5.0%16.1%34.2%16.7%5.2%0.2%-3.2M26.0M-1.3M0.689.40N/AN/A27,37518,70988,079103,560
2018-04-05$40.74$41.0015.4%4.4%16.6%29.6%15.1%3.6%0.1%3.6M-33.9M-1.4M1.638.10N/AN/A10,96417,879104,456104,045
2018-04-06$40.47$41.0016.2%5.0%16.7%32.9%15.1%4.8%-0.2%2.5M-18.0M-1.4M0.4110.27N/AN/A42,92717,798104,613102,525
2018-04-09$40.94$41.0015.6%4.5%17.2%30.5%16.2%3.9%0.0%4.4M-38.1M-1.4M1.768.83N/AN/A10,52218,486104,484102,412
2018-04-10$41.30$41.0014.8%4.5%17.5%27.5%13.7%3.6%1.0%6.4M-65.6M-1.4M0.569.84N/AN/A34,14119,079104,390102,430
2018-04-11$41.10$41.0015.2%4.4%17.2%28.8%15.9%3.9%0.2%1.7M-29.6M-1.3M2.0321.10N/AN/A9,87620,04896,656102,918
2018-04-12$41.32$41.0013.4%4.1%17.2%21.6%14.2%3.4%1.2%2.7M-43.9M-1.3M1.997.46N/AN/A10,02319,97396,755104,719
2018-04-13$41.33$41.0013.5%4.0%17.2%21.8%13.4%3.4%1.1%3.0M-42.3M-1.3M2.0115.59N/AN/A9,72819,55796,873104,922
2018-04-16$41.54$41.0011.8%3.4%17.3%15.1%13.1%2.9%0.8%4.8M-59.6M-1.2M2.057.70N/AN/A9,44419,34596,497104,958
2018-04-17$41.96$41.0011.2%3.2%17.3%13.2%11.2%2.5%0.2%8.9M-90.0M-1.2M2.469.02N/AN/A9,83824,22296,556104,978
2018-04-18$42.10$41.0010.9%3.1%17.3%12.5%11.5%2.2%-0.0%10.2M-97.2M-1.2M2.869.65N/AN/A9,30526,65896,796110,565
2018-04-19$41.91$41.0011.6%3.3%17.4%15.4%11.8%3.0%-0.1%6.9M-71.4M-1.2M2.6821.81N/AN/A9,25924,81096,423113,261
2018-04-20$41.76$41.0011.4%3.3%15.3%14.6%11.5%2.9%0.1%4.9M-61.6M-1.2M2.7713.42N/AN/A9,05425,10096,729114,978
2018-04-23$41.74$41.0011.8%3.4%14.5%16.3%11.0%3.0%0.0%4.3M-58.8M-1.2M2.7718.04N/AN/A8,48423,46695,245111,159
2018-04-24$41.46$41.0012.5%3.6%13.6%21.2%12.6%4.0%0.3%2.4M-41.5M-1.2M2.7327.34N/AN/A8,91324,36895,147111,263
2018-04-25$41.44$41.0013.0%3.6%12.6%23.2%12.5%3.4%-0.1%2.1M-36.6M-1.2M2.1810.23N/AN/A8,52718,58095,675112,572
2018-04-26$41.59$41.0011.8%3.3%12.4%17.4%12.0%2.8%-0.2%2.0M-43.5M-1.2M2.0911.61N/AN/A9,17119,18695,760114,521
2018-04-27$41.70$41.0011.4%3.2%11.9%15.8%11.8%2.8%0.2%2.2M-47.0M-1.2M1.5123.27N/AN/A14,03321,13295,760116,133
2018-04-30$41.59$41.0011.3%3.2%9.8%15.4%11.4%3.4%0.5%1.2M-41.6M-1.1M2.4213.64N/AN/A11,57328,01299,636116,651