FPE Options History — August 2017

In August 2017, FPE traded between $19.93 and $20.21. ATM implied volatility averaged 64.2%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 60.1% (HV 20d: 4.2%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 1 of 23 days.

Notable Days

  • 2017-08-11: Largest IV spike — 9267.1% change
  • 2017-08-23: Highest IV Rank — 84.7%
  • 2017-08-03: Largest Expected Move — 56.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.11$19.93$20.21$20.18$20.08
ATM IV64.2%1.4%169.2%5.1%29.3%
Expected Move9.5%0.4%56.0%1.5%8.4%
HV 20d4.2%2.2%5.1%2.3%5.0%
HV 60d3.1%2.2%3.5%2.3%3.5%
IV Rank31.9%0.4%84.7%2.3%14.4%
IV Percentile29.4%4.9%61.8%10.2%26.3%
Term Structure-22.6%-72.9%129.2%-70.1%-11.6%
Skew 25d56.3%1.8%149.4%37.3%2.3%
Skew 10d57.4%5.8%149.4%37.3%7.2%
Call IV 25d81.0%29.9%173.2%125.3%38.2%
Put IV 25d137.3%34.0%198.9%162.6%40.4%
Bid-Ask Spread %189.87174.17199.00195.44174.68
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
2017-08-01$20.18$0.005.1%1.5%2.3%2.3%0.0%37.3%0.0%0000.00195.440000
2017-08-02$20.19$0.005.4%1.6%2.3%2.4%0.0%37.7%0.0%0000.00177.790000
2017-08-03$20.21$0.005.8%56.0%2.2%2.6%0.0%38.1%-70.1%0000.00196.860000
2017-08-04$20.21$0.00100.3%28.8%2.2%50.1%0.0%38.2%-71.9%0000.00196.860000
2017-08-07$20.20$0.005.7%1.6%2.2%2.5%0.0%38.7%-70.9%0000.00196.860000
2017-08-08$20.20$0.005.7%1.6%2.2%2.5%0.0%38.8%-72.9%0000.00196.860000
2017-08-09$20.15$0.005.4%1.5%2.4%2.4%0.0%38.3%-68.3%0000.00196.860000
2017-08-10$19.93$0.001.4%0.4%4.7%0.4%0.0%35.5%129.2%0000.00197.450000
2017-08-11$20.00$0.00131.1%0.0%4.8%65.5%0.0%36.5%0.0%0000.00197.260000
2017-08-14$20.09$0.00132.7%0.0%5.1%66.3%0.0%38.3%0.0%0000.00197.250000
2017-08-15$20.13$0.0013.3%3.8%5.1%6.4%0.0%144.1%0.0%0000.00195.750000
2017-08-16$20.15$0.00133.2%0.0%5.1%66.6%0.0%145.0%0.0%0000.00196.720000
2017-08-17$20.13$0.00134.0%0.0%5.1%67.0%0.0%145.6%0.0%0000.00199.000000
2017-08-18$20.15$0.00134.7%0.0%4.9%67.3%0.0%146.4%0.0%0000.00197.260000
2017-08-21$20.13$0.00165.9%0.0%4.9%83.0%0.0%25.7%0.0%0000.00183.280000
2017-08-22$20.04$0.00167.8%0.0%5.1%83.9%0.0%148.6%0.0%0000.00196.100000
2017-08-23$20.04$0.00169.2%0.0%5.1%84.7%0.0%149.4%0.0%0000.00198.030000
2017-08-24$20.03$0.0024.9%7.1%5.1%12.2%0.0%1.8%-5.6%0000.00177.780000
2017-08-25$20.03$0.0025.4%7.3%5.0%12.5%0.0%1.9%-6.1%0000.00174.170000
2017-08-28$20.06$0.0026.0%7.5%5.0%12.8%0.0%2.1%-6.0%0000.00174.480000
2017-08-29$20.06$0.0026.8%7.7%5.0%13.1%0.0%2.2%-7.4%0000.00175.110000
2017-08-30$20.05$0.0028.4%8.1%5.0%13.9%0.0%2.3%-9.6%0000.00175.110000
2017-08-31$20.08$0.0029.3%8.4%5.0%14.4%0.0%2.3%-11.6%0000.00174.680000