FPE Options History — March 2017

In March 2017, FPE traded between $19.38 and $19.56. ATM implied volatility averaged 125.8%. The 30-day expected move averaged 18.7%. IV traded above realized volatility by 122.6% (HV 20d: 3.1%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days.

Notable Days

  • 2017-03-08: Largest IV spike — 1244.0% change
  • 2017-03-08: Largest Expected Move — 56.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.49$19.38$19.56$19.55$19.53
ATM IV125.8%14.2%198.6%182.8%16.4%
Expected Move18.7%3.2%56.9%3.2%4.7%
HV 20d3.1%2.1%3.6%2.3%3.6%
HV 60d3.1%2.9%3.3%3.0%3.1%
Term Structure-23.0%-43.4%-3.2%-5.2%-5.1%
Skew 25d9.4%-63.6%27.9%24.7%3.2%
Skew 10d-60.3%-101.2%40.5%40.5%10.5%
Call IV 25d94.6%10.9%125.8%114.2%14.4%
Put IV 25d104.0%11.7%153.7%138.9%17.7%
Bid-Ask Spread %175.79136.03189.56183.84138.72
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$19.55$0.00182.8%0.0%2.3%0.0%0.0%24.7%0.0%0000.00183.840000
2017-03-02$19.54$0.00184.7%0.0%2.3%0.0%0.0%25.3%0.0%0000.00186.560000
2017-03-03$19.56$0.00186.5%0.0%2.3%0.0%0.0%25.5%0.0%0000.00183.720000
2017-03-06$19.54$0.0019.8%3.2%2.1%0.0%0.0%0.8%-5.2%0000.00136.030000
2017-03-07$19.54$0.0014.8%55.8%2.1%0.0%0.0%26.3%-43.0%0000.00184.610000
2017-03-08$19.41$0.00198.6%56.9%3.3%0.0%0.0%18.5%-43.4%0000.00182.600000
2017-03-09$19.38$0.00160.6%0.0%3.3%0.0%0.0%16.4%-38.3%0000.00183.240000
2017-03-10$19.39$0.00161.7%0.0%3.3%0.0%0.0%-63.6%-39.5%0000.00182.270000
2017-03-13$19.40$0.00165.3%0.0%3.2%0.0%0.0%19.7%-36.3%0000.00183.090000
2017-03-14$19.41$0.00166.5%0.0%3.2%0.0%0.0%5.7%-37.6%0000.00189.560000
2017-03-15$19.45$0.00167.5%0.0%3.3%0.0%0.0%24.3%0.0%0000.00185.920000
2017-03-16$19.49$0.00168.6%0.0%3.4%0.0%0.0%6.1%0.0%0000.00183.430000
2017-03-17$19.48$0.0092.5%0.0%3.4%0.0%0.0%-19.3%0.0%0000.00182.440000
2017-03-20$19.52$0.0016.6%4.8%3.4%0.0%0.0%1.1%-3.2%0000.00146.480000
2017-03-21$19.52$0.0025.2%7.2%3.4%0.0%0.0%1.9%-6.5%0000.00164.510000
2017-03-22$19.54$0.00171.5%0.0%3.1%0.0%0.0%27.3%0.0%0000.00182.440000
2017-03-23$19.45$0.00178.8%0.0%3.4%0.0%0.0%25.8%0.0%0000.00183.280000
2017-03-24$19.51$0.0014.2%4.1%3.6%0.0%0.0%1.1%-3.8%0000.00139.950000
2017-03-27$19.49$0.0044.6%12.8%3.6%0.0%0.0%5.6%-14.1%0000.00186.230000
2017-03-28$19.49$0.00187.0%0.0%3.6%0.0%0.0%27.6%0.0%0000.00187.900000
2017-03-29$19.51$0.00183.1%0.0%3.6%0.0%0.0%-16.6%0.0%0000.00183.130000
2017-03-30$19.52$0.00184.8%0.0%3.6%0.0%0.0%27.9%0.0%0000.00183.130000
2017-03-31$19.53$0.0016.4%4.7%3.6%0.0%0.0%3.2%-5.1%0000.00138.720000