FEZ Options History — September 2018

In September 2018, FEZ traded between $36.93 and $39.15. ATM implied volatility averaged 15.2%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.5% (HV 20d: 15.7%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 5.56.

Notable Days

  • 2018-09-05: Highest Volume — 53,304 contracts
  • 2018-09-28: Largest IV spike — 14.4% change
  • 2018-09-05: Highest IV Rank — 45.2%
  • 2018-09-05: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.11$36.93$39.15$37.83$38.23
Max Pain$38.18$38.00$40.00$40.00$38.00
ATM IV15.2%13.5%17.6%16.5%15.5%
Expected Move4.4%3.9%5.3%5.0%4.5%
HV 20d15.7%13.7%18.7%18.7%14.9%
HV 60d15.1%14.3%16.1%16.0%14.6%
IV Rank33.7%25.8%45.2%40.1%35.4%
IV Percentile72.4%57.1%90.9%86.1%74.2%
Term Structure0.1%-0.5%1.4%0.1%0.0%
VWIV16.6%12.8%19.0%17.7%16.9%
Skew 25d4.2%3.1%5.9%5.9%4.6%
Skew 10d8.7%6.4%12.4%12.4%9.3%
Call IV 25d13.5%11.6%15.6%14.3%13.0%
Put IV 25d17.7%14.9%21.1%20.2%17.6%
Bid-Ask Spread %12.713.8438.0317.8024.61
Gamma HHI0.160.130.200.170.14
Net GEX-15.8M-23.0M-5.4M-18.0M-9.2M
Net DEX132.6M15.3M262.3M179.5M95.9M
Net VEX-1.5M-1.6M-1.4M-1.6M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.561.988.735.392.55
Total Volume32,718.42112,67053,30452,11316,827
Total OI289,533.421251,475311,805284,871255,293

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$37.83$40.0016.5%5.0%18.7%40.1%17.7%5.9%0.1%-18.0M179.5M-1.6M5.3917.80N/AN/A8,15543,95879,149205,722
2018-09-05$37.53$39.5017.6%5.3%18.4%45.2%18.8%5.9%-0.0%-18.7M201.7M-1.6M5.359.51N/AN/A8,39744,90780,834205,912
2018-09-06$37.34$38.0017.1%5.2%18.4%42.8%18.6%5.7%-0.2%-20.8M225.6M-1.6M5.9518.78N/AN/A5,99635,69482,456211,801
2018-09-07$36.93$38.0017.5%5.1%18.6%44.7%17.8%5.2%-0.2%-22.5M262.3M-1.6M3.685.89N/AN/A10,83639,85483,050212,542
2018-09-10$37.32$38.0016.0%4.9%15.9%37.7%19.0%4.3%1.4%-22.5M220.9M-1.6M8.696.53N/AN/A4,02534,97286,611217,112
2018-09-11$37.36$38.0015.8%4.9%15.8%36.6%18.8%4.1%1.4%-22.8M219.2M-1.6M8.733.84N/AN/A3,99234,84486,887216,394
2018-09-12$37.51$38.0015.7%4.4%15.9%36.4%17.3%4.5%-0.1%-23.0M203.6M-1.6M3.6516.22N/AN/A7,10125,94587,513218,410
2018-09-13$37.91$38.0015.0%4.4%14.9%33.0%16.4%3.8%0.3%-20.0M157.8M-1.6M6.7217.61N/AN/A4,10427,59290,718218,602
2018-09-14$37.79$38.0014.5%4.2%14.9%30.4%16.6%3.4%0.2%-22.2M173.0M-1.6M7.958.97N/AN/A5,00639,79891,588220,217
2018-09-17$37.87$38.0015.0%4.3%14.6%32.7%17.6%4.1%0.0%-20.8M161.0M-1.5M8.3716.63N/AN/A3,39728,44991,415214,765
2018-09-18$38.11$38.0014.7%4.2%14.6%31.7%16.5%4.0%0.0%-19.0M131.2M-1.5M8.516.87N/AN/A3,18827,14591,533215,314
2018-09-19$38.26$38.0014.5%4.1%13.7%30.4%17.5%3.5%-0.5%-19.3M118.1M-1.5M7.395.78N/AN/A3,72027,49991,625215,499
2018-09-20$39.08$38.0013.6%3.9%15.6%26.2%12.9%3.3%0.0%-9.4M31.9M-1.4M5.8319.47N/AN/A5,32031,03092,610215,834
2018-09-21$39.07$38.0014.0%4.0%15.3%28.1%14.3%3.1%-0.2%-8.1M25.3M-1.5M6.537.93N/AN/A4,56729,82893,415218,193
2018-09-24$38.91$38.0014.1%4.1%15.0%28.5%14.9%3.8%0.2%-6.5M36.8M-1.4M2.425.04N/AN/A3,9669,59377,971173,504
2018-09-25$39.05$38.0013.9%4.0%14.2%27.7%14.4%3.7%-0.1%-6.0M24.9M-1.4M2.415.27N/AN/A3,7208,95078,094173,823
2018-09-26$39.15$38.0013.5%3.9%14.2%25.8%12.8%3.3%0.3%-5.4M15.3M-1.4M1.9838.03N/AN/A4,3998,70478,167173,963
2018-09-27$38.87$38.0013.6%3.9%14.4%26.1%16.1%3.9%0.1%-5.6M35.2M-1.4M3.616.69N/AN/A3,51012,66280,635173,964
2018-09-28$38.23$38.0015.5%4.5%14.9%35.4%16.9%4.6%0.0%-9.2M95.9M-1.4M2.5524.61N/AN/A4,73412,09381,176174,117