FPE Options History — November 2017

In November 2017, FPE traded between $20.01 and $20.18. ATM implied volatility averaged 21.0%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 18.4% (HV 20d: 2.6%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days.

Notable Days

  • 2017-11-03: Largest IV spike — 449.9% change
  • 2017-11-03: Highest IV Rank — 14.8%
  • 2017-11-02: Largest Expected Move — 56.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.09$20.01$20.18$20.18$20.02
ATM IV21.0%5.5%30.2%16.9%20.1%
Expected Move8.5%3.8%56.1%4.8%5.8%
HV 20d2.6%2.4%2.8%2.8%2.6%
HV 60d2.5%2.3%3.5%3.5%2.5%
IV Rank10.3%2.4%14.8%8.1%9.8%
IV Percentile21.4%9.0%36.6%15.3%17.8%
Term Structure-5.7%-70.4%9.4%-7.8%8.0%
Skew 25d2.4%-4.7%20.6%-4.7%5.1%
Skew 10d6.6%4.3%20.6%13.5%5.5%
Call IV 25d35.2%26.1%129.7%31.8%33.4%
Put IV 25d37.6%25.4%150.2%27.1%38.5%
Bid-Ask Spread %173.37160.07197.27160.07174.10
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$20.18$0.0016.9%4.8%2.8%8.1%0.0%-4.7%-7.8%0000.00160.070000
2017-11-02$20.18$0.005.5%56.1%2.8%2.4%0.0%20.6%-70.4%0000.00197.270000
2017-11-03$20.16$0.0030.2%3.8%2.4%14.8%0.0%-0.7%-2.8%0000.00170.900000
2017-11-06$20.18$0.0019.3%6.3%2.4%9.4%0.0%1.5%-3.3%0000.00170.190000
2017-11-07$20.16$0.0019.4%6.2%2.5%9.4%0.0%1.5%-3.2%0000.00173.280000
2017-11-08$20.16$0.0022.0%6.3%2.5%10.7%0.0%1.5%-3.4%0000.00166.600000
2017-11-09$20.11$0.0022.4%6.4%2.5%10.9%0.0%1.5%-5.0%0000.00174.720000
2017-11-10$20.05$0.0021.2%6.1%2.7%10.3%0.0%1.6%-2.5%0000.00165.200000
2017-11-13$20.07$0.0022.2%6.4%2.6%10.8%0.0%1.6%-3.6%0000.00177.310000
2017-11-14$20.06$0.0022.5%6.5%2.6%11.0%0.0%1.7%-4.0%0000.00176.140000
2017-11-15$20.01$0.0022.4%6.4%2.7%10.9%0.0%1.7%-4.0%0000.00177.450000
2017-11-16$20.03$0.0022.8%6.5%2.8%11.1%0.0%1.6%-4.2%0000.00177.310000
2017-11-17$20.07$0.0022.6%6.5%2.5%11.0%0.0%1.6%-3.6%0000.00165.900000
2017-11-20$20.11$0.0014.2%4.1%2.5%6.8%0.0%-2.3%-3.5%0000.00173.270000
2017-11-21$20.04$0.0023.8%6.8%2.8%11.6%0.0%1.8%-4.9%0000.00175.710000
2017-11-22$20.07$0.0024.9%7.1%2.8%12.2%0.0%1.8%-6.4%0000.00170.410000
2017-11-24$20.06$0.0025.4%7.3%2.8%12.4%0.0%1.9%-6.4%0000.00174.680000
2017-11-27$20.07$0.0026.0%7.5%2.8%12.8%0.0%2.2%-5.9%0000.00173.330000
2017-11-28$20.07$0.0018.8%5.4%2.7%9.1%0.0%4.1%9.4%0000.00172.890000
2017-11-29$20.04$0.0019.4%5.6%2.7%9.4%0.0%4.7%8.3%0000.00174.100000
2017-11-30$20.02$0.0020.1%5.8%2.6%9.8%0.0%5.1%8.0%0000.00174.100000