FPE Options History — December 2016

In December 2016, FPE traded between $18.88 and $19.00. ATM implied volatility averaged 142.1%. The 30-day expected move averaged 3.6%. Net GEX was positive for 0 of 12 trading days. Term structure was in contango for 0 of 12 days.

Notable Days

  • 2016-12-16: Largest IV spike — 1641.3% change
  • 2016-12-20: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.96$18.88$19.00$18.88$19.00
ATM IV142.1%0.6%196.2%170.6%196.2%
Expected Move3.6%0.2%7.5%0.2%7.5%
Term Structure-15.2%-25.8%-2.6%-25.0%-7.3%
Skew 25d14.1%0.5%23.1%22.1%16.3%
Skew 10d30.3%0.7%39.5%34.3%39.5%
Call IV 25d123.2%14.8%190.1%125.5%124.0%
Put IV 25d137.3%15.3%198.4%147.6%140.3%
Bid-Ask Spread %168.24125.94181.34172.73168.51
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (12 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-14$18.88$0.00170.6%0.0%0.0%0.0%0.0%22.1%-25.0%0000.00172.730000
2016-12-15$18.96$0.000.6%0.2%0.0%0.0%0.0%23.1%-25.8%0000.00173.740000
2016-12-16$18.96$0.0011.0%3.1%0.0%0.0%0.0%0.5%-2.6%0000.00125.940000
2016-12-19$18.98$0.00177.3%0.0%0.0%0.0%0.0%8.4%0.0%0000.00173.890000
2016-12-20$18.97$0.0026.1%7.5%0.0%0.0%0.0%17.0%-7.3%0000.00157.650000
2016-12-21$18.93$0.00180.8%0.0%0.0%0.0%0.0%7.7%0.0%0000.00173.760000
2016-12-22$18.95$0.00181.7%0.0%0.0%0.0%0.0%8.3%0.0%0000.00181.340000
2016-12-23$18.99$0.00183.5%0.0%0.0%0.0%0.0%16.3%0.0%0000.00174.190000
2016-12-27$18.98$0.00190.5%0.0%0.0%0.0%0.0%16.4%0.0%0000.00174.400000
2016-12-28$18.97$0.00192.3%0.0%0.0%0.0%0.0%16.4%0.0%0000.00174.190000
2016-12-29$19.00$0.00194.2%0.0%0.0%0.0%0.0%16.3%0.0%0000.00168.510000
2016-12-30$19.00$0.00196.2%0.0%0.0%0.0%0.0%16.3%0.0%0000.00168.510000