FPE Options History — May 2017

In May 2017, FPE traded between $19.72 and $19.88. ATM implied volatility averaged 148.0%. The 30-day expected move averaged 28.4%. IV traded above realized volatility by 146.2% (HV 20d: 1.8%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.

Notable Days

  • 2017-05-11: Largest IV spike — 11529.2% change
  • 2017-05-05: Largest Expected Move — 56.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.82$19.72$19.88$19.72$19.87
ATM IV148.0%1.1%197.8%191.6%181.9%
Expected Move28.4%0.3%56.7%56.0%0.3%
HV 20d1.8%1.1%2.4%2.4%1.8%
HV 60d2.7%2.5%2.8%2.8%2.7%
Term Structure-56.5%-69.0%-11.0%-66.9%-11.0%
Skew 25d31.0%19.9%37.4%31.2%24.8%
Skew 10d44.0%19.9%54.3%52.5%19.9%
Call IV 25d152.5%141.0%179.2%141.0%163.9%
Put IV 25d183.5%172.2%199.1%172.2%188.6%
Bid-Ask Spread %194.08185.93197.83190.93195.90
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$19.72$0.00191.6%0.0%2.4%0.0%0.0%31.2%0.0%0000.00190.930000
2017-05-02$19.75$0.00194.2%0.0%2.0%0.0%0.0%31.4%0.0%0000.00194.950000
2017-05-03$19.77$0.00195.7%0.0%2.0%0.0%0.0%31.7%0.0%0000.00188.410000
2017-05-04$19.77$0.00195.4%56.0%2.0%0.0%0.0%31.9%-66.9%0000.00190.270000
2017-05-05$19.78$0.00197.8%56.7%2.0%0.0%0.0%32.0%-68.5%0000.00191.350000
2017-05-08$19.79$0.00129.4%0.0%2.0%0.0%0.0%32.4%-67.2%0000.00196.470000
2017-05-09$19.80$0.00130.1%0.0%1.9%0.0%0.0%32.6%-69.0%0000.00196.660000
2017-05-10$19.80$0.001.1%0.3%1.8%0.0%0.0%37.4%-11.0%0000.00195.220000
2017-05-11$19.84$0.00131.4%0.0%1.9%0.0%0.0%33.0%0.0%0000.00196.660000
2017-05-12$19.86$0.001.2%0.3%1.9%0.0%0.0%33.2%0.0%0000.00196.660000
2017-05-15$19.86$0.00133.4%0.0%1.9%0.0%0.0%34.2%0.0%0000.00197.250000
2017-05-16$19.88$0.00134.2%0.0%1.9%0.0%0.0%34.4%0.0%0000.00197.450000
2017-05-17$19.87$0.00134.3%0.0%1.9%0.0%0.0%34.2%0.0%0000.00191.570000
2017-05-18$19.86$0.00135.1%0.0%1.8%0.0%0.0%34.2%0.0%0000.00197.240000
2017-05-19$19.86$0.00136.7%0.0%1.1%0.0%0.0%34.6%0.0%0000.00196.860000
2017-05-22$19.88$0.00168.6%0.0%1.1%0.0%0.0%21.0%0.0%0000.00197.450000
2017-05-23$19.82$0.00168.8%0.0%1.6%0.0%0.0%19.9%0.0%0000.00196.280000
2017-05-24$19.81$0.00170.3%0.0%1.6%0.0%0.0%35.2%0.0%0000.00185.930000
2017-05-25$19.80$0.00171.8%0.0%1.7%0.0%0.0%35.2%0.0%0000.00197.830000
2017-05-26$19.85$0.00173.1%0.0%1.8%0.0%0.0%23.6%0.0%0000.00186.250000
2017-05-30$19.86$0.00179.5%0.0%1.8%0.0%0.0%24.4%0.0%0000.00192.280000
2017-05-31$19.87$0.00181.9%0.0%1.8%0.0%0.0%24.8%0.0%0000.00195.900000