FPE Options History — July 2017

In July 2017, FPE traded between $20.03 and $20.17. ATM implied volatility averaged 98.3%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 95.7% (HV 20d: 2.5%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

  • 2017-07-24: Largest IV drop — 95.9% change
  • 2017-07-07: Highest IV Rank — 99.5%
  • 2017-07-07: Largest Expected Move — 57.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.09$20.03$20.17$20.03$20.16
ATM IV98.3%4.0%198.7%189.9%4.8%
Expected Move17.1%1.1%57.0%56.3%1.4%
HV 20d2.5%2.3%2.7%2.7%2.3%
HV 60d2.2%2.0%2.3%2.2%2.3%
IV Rank49.0%1.7%99.5%95.0%2.1%
IV Percentile33.6%6.5%99.3%83.2%9.0%
Term Structure-84.4%-86.8%-80.2%-84.8%-80.2%
Skew 25d32.8%14.6%36.9%31.6%36.9%
Skew 10d32.8%14.7%36.9%31.6%36.9%
Call IV 25d117.0%93.1%124.9%112.5%124.9%
Put IV 25d149.8%107.8%161.8%144.1%161.8%
Bid-Ask Spread %190.68171.12197.25197.25195.15
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
2017-07-03$20.03$0.00189.9%0.0%2.7%95.0%0.0%31.6%0.0%0000.00197.250000
2017-07-05$20.03$0.00194.3%0.0%2.7%97.2%0.0%31.8%0.0%0000.00197.250000
2017-07-06$20.07$0.00196.3%56.3%2.7%98.3%0.0%32.3%-84.8%0000.00174.360000
2017-07-07$20.06$0.00198.7%57.0%2.7%99.5%0.0%32.3%-86.8%0000.00195.260000
2017-07-10$20.06$0.00113.9%0.0%2.6%56.9%0.0%32.7%-86.5%0000.00174.360000
2017-07-11$20.04$0.00114.3%0.0%2.7%57.1%0.0%32.6%-81.9%0000.00194.320000
2017-07-12$20.05$0.00115.0%0.0%2.6%57.5%0.0%32.8%-84.0%0000.00195.520000
2017-07-13$20.05$0.00115.2%0.0%2.6%57.5%0.0%32.9%-86.3%0000.00171.120000
2017-07-14$20.08$0.00115.6%0.0%2.6%57.7%0.0%33.4%-80.2%0000.00194.060000
2017-07-17$20.09$0.00117.0%0.0%2.6%58.4%0.0%33.9%0.0%0000.00194.460000
2017-07-18$20.09$0.00117.5%0.0%2.5%58.7%0.0%34.1%0.0%0000.00194.340000
2017-07-19$20.12$0.00114.7%32.9%2.6%57.3%0.0%34.6%0.0%0000.00194.780000
2017-07-20$20.15$0.00117.3%0.0%2.6%58.6%0.0%35.1%0.0%0000.00194.780000
2017-07-21$20.07$0.00118.7%0.0%2.3%59.3%0.0%34.2%0.0%0000.00195.190000
2017-07-24$20.11$0.004.9%1.4%2.4%2.1%0.0%14.6%0.0%0000.00190.290000
2017-07-25$20.09$0.004.8%1.4%2.3%2.1%0.0%35.1%0.0%0000.00185.970000
2017-07-26$20.13$0.004.0%1.1%2.4%1.7%0.0%33.2%0.0%0000.00193.320000
2017-07-27$20.13$0.004.1%1.2%2.4%1.7%0.0%35.9%0.0%0000.00187.470000
2017-07-28$20.17$0.004.5%1.3%2.4%2.0%0.0%36.5%0.0%0000.00194.340000
2017-07-31$20.16$0.004.8%1.4%2.3%2.1%0.0%36.9%0.0%0000.00195.150000