FPE Options History — January 2017

In January 2017, FPE traded between $19.01 and $19.26. ATM implied volatility averaged 109.5%. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 106.1% (HV 20d: 3.4%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days.

Notable Days

  • 2017-01-04: Largest IV spike — 10250.4% change
  • 2017-01-25: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.18$19.01$19.26$19.01$19.23
ATM IV109.5%1.1%199.8%1.1%199.8%
Expected Move5.2%3.3%7.3%3.7%7.3%
HV 20d3.4%3.0%3.7%3.0%3.7%
Term Structure-23.7%-76.9%167.3%-5.3%-17.6%
Skew 25d19.8%-9.3%34.6%16.3%34.6%
Skew 10d28.9%-22.1%45.9%40.4%42.7%
Call IV 25d111.1%13.9%149.4%125.6%149.4%
Put IV 25d130.9%15.4%184.0%141.9%184.0%
Bid-Ask Spread %163.23125.69175.71168.51169.61
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$19.01$0.001.1%0.0%0.0%0.0%0.0%16.3%0.0%0000.00168.510000
2017-01-04$19.10$0.00119.0%0.0%0.0%0.0%0.0%16.1%0.0%0000.00168.310000
2017-01-05$19.16$0.0020.9%3.7%0.0%0.0%0.0%-8.6%-5.3%0000.00135.990000
2017-01-06$19.15$0.0037.7%6.4%3.0%0.0%0.0%-9.3%-8.0%0000.00156.350000
2017-01-09$19.12$0.00120.8%0.0%3.1%0.0%0.0%15.9%-74.4%0000.00169.250000
2017-01-10$19.17$0.00121.2%0.0%3.1%0.0%0.0%15.5%-75.5%0000.00175.350000
2017-01-11$19.22$0.00121.1%0.0%3.1%0.0%0.0%22.5%-76.9%0000.00169.110000
2017-01-12$19.21$0.00122.1%0.0%3.0%0.0%0.0%32.4%-70.0%0000.00168.710000
2017-01-13$19.18$0.00122.3%0.0%3.1%0.0%0.0%31.1%-73.4%0000.00168.830000
2017-01-17$19.26$0.0011.6%3.3%3.1%0.0%0.0%1.5%-3.5%0000.00125.690000
2017-01-18$19.26$0.00124.7%0.0%3.1%0.0%0.0%33.4%0.0%0000.00175.110000
2017-01-19$19.22$0.00125.3%0.0%3.2%0.0%0.0%32.7%0.0%0000.00168.850000
2017-01-20$19.13$0.00125.7%0.0%3.7%0.0%0.0%30.3%0.0%0000.00175.710000
2017-01-23$19.16$0.0018.1%5.2%3.6%0.0%0.0%2.0%167.3%0000.00139.170000
2017-01-24$19.20$0.00188.7%0.0%3.7%0.0%0.0%33.0%0.0%0000.00169.060000
2017-01-25$19.17$0.0025.4%7.3%3.7%0.0%0.0%1.9%-17.6%0000.00147.840000
2017-01-26$19.20$0.00192.5%0.0%3.7%0.0%0.0%32.4%0.0%0000.00170.290000
2017-01-27$19.24$0.00194.2%0.0%3.7%0.0%0.0%34.1%0.0%0000.00173.020000
2017-01-30$19.24$0.00197.3%0.0%3.7%0.0%0.0%28.8%0.0%0000.00169.820000
2017-01-31$19.23$0.00199.8%0.0%3.7%0.0%0.0%34.6%0.0%0000.00169.610000