FEZ Options History — December 2018

In December 2018, FEZ traded between $32.15 and $35.51. ATM implied volatility averaged 21.2%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.3% (HV 20d: 18.8%). Max pain ranged from $36.50 to $38.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 6.37.

Notable Days

  • 2018-12-24: Highest Volume — 39,459 contracts
  • 2018-12-04: Largest IV spike — 16.0% change
  • 2018-12-24: Highest IV Rank — 76.8%
  • 2018-12-24: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.69$32.15$35.51$35.51$33.28
Max Pain$37.73$36.50$38.00$36.50$37.00
ATM IV21.2%16.6%24.6%16.6%21.6%
Expected Move6.3%5.5%7.2%5.5%6.4%
HV 20d18.8%17.2%20.3%17.5%19.7%
HV 60d17.4%16.6%18.3%16.6%18.2%
IV Rank58.8%35.2%76.8%35.2%60.8%
IV Percentile93.1%70.6%98.4%70.6%93.3%
Term Structure-0.0%-1.8%1.3%0.5%0.1%
VWIV22.4%16.1%27.5%21.7%23.9%
Skew 25d5.7%3.9%8.1%4.5%6.3%
Skew 10d13.0%9.4%19.4%9.9%13.6%
Call IV 25d18.9%14.9%21.4%14.9%19.2%
Put IV 25d24.5%19.4%28.0%19.4%25.5%
Bid-Ask Spread %31.1115.4348.4448.4438.31
Gamma HHI0.240.190.320.270.23
Net GEX-17.8M-21.1M-12.9M-21.1M-19.5M
Net DEX326.5M231.6M408.4M231.6M295.6M
Net VEX-867.5K-1.0M-678.4K-1.0M-817.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.370.2225.880.221.73
Total Volume12,265.251,82039,4592,7591,905
Total OI255,567.25242,048266,845242,048266,077

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$35.51$36.5016.6%5.5%17.5%35.2%21.7%4.5%0.5%-21.1M231.6M-1.0M0.2248.44N/AN/A2,25850171,594170,454
2018-12-04$34.70$36.5019.3%6.4%19.3%49.1%23.5%5.1%-0.0%-19.6M289.1M-970.0K1.6935.49N/AN/A3,0195,10673,740170,587
2018-12-05$34.65$36.5019.8%6.9%19.3%51.7%24.9%5.1%0.0%-19.3M289.3M-953.8K1.6940.85N/AN/A3,0195,10673,740170,587
2018-12-06$34.17$38.0020.5%6.1%18.8%55.3%25.2%8.1%-0.1%-17.2M334.0M-908.8K1.2832.19N/AN/A1,1311,44574,997174,859
2018-12-07$34.01$38.0020.4%5.9%18.3%55.0%25.2%5.0%0.1%-16.5M337.4M-904.8K1.2043.84N/AN/A5,3506,44375,580176,074
2018-12-10$33.67$38.0022.4%6.1%18.5%65.5%25.4%6.7%-1.3%-17.2M334.9M-931.9K1.5231.75N/AN/A8191,24276,872177,823
2018-12-11$33.69$38.0021.3%5.9%17.2%59.6%24.8%5.0%-0.9%-17.6M335.6M-914.4K2.1925.62N/AN/A1,6413,59577,558179,357
2018-12-12$34.41$38.0019.8%6.0%18.8%51.5%21.5%5.3%1.3%-19.6M293.0M-978.5K1.7826.88N/AN/A2,3044,10577,948181,530
2018-12-13$34.39$38.0018.9%5.7%18.6%46.9%20.2%3.9%1.2%-19.8M298.8M-954.9K1.4130.10N/AN/A1,9702,77178,428182,219
2018-12-14$33.86$38.0019.4%5.7%19.2%49.8%19.1%4.8%0.8%-18.7M332.6M-904.8K1.5523.81N/AN/A1,9743,05678,473182,568
2018-12-17$33.51$38.0021.0%6.0%19.4%57.9%23.6%5.9%0.0%-18.0M358.0M-831.9K6.8815.43N/AN/A2311,58977,385180,897
2018-12-18$33.70$38.0020.5%5.9%19.4%55.6%21.1%5.9%0.3%-18.8M349.5M-834.8K23.6120.82N/AN/A52612,41977,637180,459
2018-12-19$33.40$38.0022.6%6.5%18.7%66.2%16.1%5.7%-1.8%-17.7M361.4M-808.6K21.5630.95N/AN/A62213,40977,879180,091
2018-12-20$33.25$38.0021.8%6.3%18.0%62.3%19.1%5.4%-0.6%-17.4M373.9M-776.2K25.8827.73N/AN/A1,11328,80878,057182,023
2018-12-21$32.70$38.0022.3%6.4%18.6%64.8%22.7%6.0%-0.1%-14.5M408.4M-752.4K13.3029.50N/AN/A1,86924,85578,400188,445
2018-12-24$32.15$38.0024.6%7.2%18.1%76.8%17.5%6.2%0.1%-12.9M346.9M-678.4K8.0531.67N/AN/A4,36235,09777,170165,191
2018-12-26$32.84$38.0022.5%6.6%20.3%65.7%23.0%6.2%0.1%-16.7M326.1M-787.1K3.6426.75N/AN/A3,56812,99080,443175,701
2018-12-27$32.83$38.0024.1%7.1%19.1%74.2%27.5%6.6%-0.3%-16.3M323.7M-792.0K3.1723.47N/AN/A4,37213,83980,497176,376
2018-12-28$33.07$38.0023.7%7.0%19.5%72.2%22.3%5.8%-0.1%-16.8M310.9M-824.3K4.9938.66N/AN/A4,48422,39283,696179,933
2018-12-31$33.28$37.0021.6%6.4%19.7%60.8%23.9%6.3%0.1%-19.5M295.6M-817.0K1.7338.31N/AN/A6971,20883,961182,116