FPE Options History — September 2017

In September 2017, FPE traded between $20.03 and $20.13. ATM implied volatility averaged 36.9%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 34.1% (HV 20d: 2.8%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days.

Notable Days

  • 2017-09-14: Largest IV spike — 613.0% change
  • 2017-09-14: Highest IV Rank — 80.4%
  • 2017-09-01: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.09$20.03$20.13$20.11$20.06
ATM IV36.9%22.6%160.8%30.3%26.1%
Expected Move6.8%5.9%8.7%8.7%7.5%
HV 20d2.8%1.2%5.1%5.1%2.1%
HV 60d3.4%3.3%3.5%3.5%3.4%
IV Rank18.2%11.0%80.4%14.9%12.8%
IV Percentile26.3%19.3%59.6%26.7%27.6%
Term Structure48.3%-39.4%137.7%-10.6%-6.7%
Skew 25d2.5%1.5%16.4%2.5%1.9%
Skew 10d6.0%4.6%16.4%7.3%6.2%
Call IV 25d34.2%27.0%107.8%37.8%33.0%
Put IV 25d36.7%28.7%124.2%40.2%34.9%
Bid-Ask Spread %174.25161.31191.91170.13174.47
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
2017-09-01$20.11$0.0030.3%8.7%5.1%14.9%0.0%2.5%-10.6%0000.00170.130000
2017-09-05$20.10$0.0034.9%6.2%5.1%17.2%0.0%2.4%127.3%0000.00174.020000
2017-09-06$20.09$0.0034.8%5.9%5.1%17.2%0.0%1.6%130.9%0000.00176.900000
2017-09-07$20.09$0.0038.0%6.3%5.0%18.7%0.0%1.6%129.9%0000.00174.310000
2017-09-08$20.07$0.0040.6%6.1%3.0%20.1%0.0%1.6%132.6%0000.00167.980000
2017-09-11$20.08$0.0052.2%6.3%2.7%25.9%0.0%1.7%134.2%0000.00161.310000
2017-09-12$20.11$0.0058.5%6.4%2.3%29.0%0.0%1.6%135.0%0000.00177.030000
2017-09-13$20.10$0.0022.6%6.5%2.2%11.0%0.0%1.6%135.9%0000.00177.500000
2017-09-14$20.10$0.00160.8%0.0%2.1%80.4%0.0%16.4%-39.4%0000.00191.910000
2017-09-15$20.12$0.0022.7%6.5%2.1%11.1%0.0%1.6%137.7%0000.00177.500000
2017-09-18$20.13$0.0023.2%6.6%2.1%11.3%0.0%1.6%-3.9%0000.00177.210000
2017-09-19$20.13$0.0023.0%6.6%2.1%11.2%0.0%1.5%-3.4%0000.00174.340000
2017-09-20$20.13$0.0023.9%6.9%1.2%11.7%0.0%1.6%-4.3%0000.00175.580000
2017-09-21$20.03$0.0023.3%6.7%2.2%11.4%0.0%1.7%-3.5%0000.00161.400000
2017-09-22$20.04$0.0023.2%6.6%2.2%11.3%0.0%1.7%-3.7%0000.00170.930000
2017-09-25$20.06$0.0023.9%6.8%2.3%11.7%0.0%1.7%-3.2%0000.00177.020000
2017-09-26$20.07$0.0025.6%7.3%2.2%12.5%0.0%1.7%-5.9%0000.00176.010000
2017-09-27$20.06$0.0025.5%7.3%2.2%12.5%0.0%1.7%-6.4%0000.00174.950000
2017-09-28$20.07$0.0025.4%7.3%2.2%12.5%0.0%1.9%-6.2%0000.00174.470000
2017-09-29$20.06$0.0026.1%7.5%2.1%12.8%0.0%1.9%-6.7%0000.00174.470000