FPE Options History — October 2017

In October 2017, FPE traded between $20.03 and $20.19. ATM implied volatility averaged 24.6%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 22.2% (HV 20d: 2.5%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.

Notable Days

  • 2017-10-20: Largest IV spike — 66.7% change
  • 2017-10-10: Highest IV Rank — 16.8%
  • 2017-10-04: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.12$20.03$20.19$20.09$20.13
ATM IV24.6%14.0%34.0%27.4%28.2%
Expected Move6.5%4.0%8.1%7.9%8.1%
HV 20d2.5%1.9%2.7%2.1%2.6%
HV 60d3.4%3.3%3.5%3.4%3.5%
IV Rank12.1%6.7%16.8%13.5%13.8%
IV Percentile24.4%12.7%33.0%28.5%33.0%
Term Structure-4.8%-8.0%-2.4%-8.0%-7.5%
Skew 25d4.2%-1.2%8.0%2.1%6.1%
Skew 10d14.3%6.8%18.3%6.8%18.3%
Call IV 25d27.3%21.8%37.0%35.3%31.9%
Put IV 25d31.5%23.6%39.3%37.4%38.0%
Bid-Ask Spread %169.01160.97174.18173.11165.86
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
2017-10-02$20.09$0.0027.4%7.9%2.1%13.5%0.0%2.1%-8.0%0000.00173.110000
2017-10-03$20.08$0.0028.2%8.1%2.1%13.9%0.0%2.2%-7.8%0000.00173.110000
2017-10-04$20.08$0.0028.3%8.1%2.1%13.9%0.0%2.3%-7.9%0000.00173.110000
2017-10-05$20.10$0.0029.2%4.2%2.2%14.4%0.0%0.9%-2.5%0000.00174.180000
2017-10-06$20.03$0.0028.8%6.1%2.5%14.1%0.0%3.0%-3.5%0000.00173.300000
2017-10-09$20.05$0.0032.4%6.2%2.5%16.0%0.0%3.1%-3.1%0000.00170.920000
2017-10-10$20.06$0.0034.0%6.1%2.4%16.8%0.0%3.0%-2.8%0000.00170.910000
2017-10-11$20.08$0.0021.6%6.2%2.5%10.5%0.0%3.0%-3.0%0000.00172.820000
2017-10-12$20.13$0.0021.3%6.1%2.6%10.4%0.0%7.3%-2.9%0000.00171.370000
2017-10-13$20.14$0.0022.1%6.3%2.6%10.8%0.0%7.5%-2.4%0000.00170.580000
2017-10-16$20.17$0.0023.1%6.6%2.7%11.3%0.0%7.9%-3.9%0000.00170.620000
2017-10-17$20.17$0.0022.9%6.6%2.7%11.2%0.0%8.0%-3.2%0000.00169.220000
2017-10-18$20.18$0.0014.0%4.0%2.7%6.7%0.0%0.1%-3.7%0000.00165.800000
2017-10-19$20.19$0.0014.2%4.1%1.9%6.8%0.0%-0.1%-3.7%0000.00165.800000
2017-10-20$20.11$0.0023.6%6.8%2.4%11.6%0.0%6.5%-5.2%0000.00168.790000
2017-10-23$20.15$0.0024.4%7.0%2.5%11.9%0.0%7.0%-4.5%0000.00165.670000
2017-10-24$20.15$0.0015.0%4.3%2.5%7.2%0.0%-1.2%-5.2%0000.00160.970000
2017-10-25$20.11$0.0024.9%7.1%2.6%12.2%0.0%6.6%-5.3%0000.00166.570000
2017-10-26$20.10$0.0025.4%7.3%2.6%12.5%0.0%5.3%-5.7%0000.00164.700000
2017-10-27$20.13$0.0025.3%7.3%2.6%12.4%0.0%5.5%-5.5%0000.00165.860000
2017-10-30$20.11$0.0027.4%7.9%2.6%13.4%0.0%5.7%-7.1%0000.00164.990000
2017-10-31$20.13$0.0028.2%8.1%2.6%13.8%0.0%6.1%-7.5%0000.00165.860000