FEZ Options History — November 2014

In November 2014, FEZ traded between $37.29 and $39.70. ATM implied volatility averaged 18.3%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 1.6% (HV 20d: 19.9%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.41.

Notable Days

  • 2014-11-18: Highest Volume — 18,149 contracts
  • 2014-11-12: Largest IV spike — 23.0% change
  • 2014-11-07: Highest IV Rank — 68.0%
  • 2014-11-07: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.18$37.29$39.70$37.78$39.62
Max Pain$40.21$40.00$41.00$40.00$40.00
ATM IV18.3%15.5%20.9%20.0%16.4%
Expected Move5.0%4.3%5.7%5.3%4.5%
HV 20d19.9%15.9%26.3%26.3%16.0%
HV 60d18.5%18.2%19.1%18.3%18.9%
IV Rank55.5%42.5%68.0%63.8%46.8%
IV Percentile71.8%36.9%94.0%91.7%51.6%
Term Structure-0.6%-1.3%-0.1%-0.4%-0.6%
VWIV20.0%15.2%23.6%23.6%15.3%
Skew 25d3.5%1.5%5.1%4.2%1.5%
Skew 10d6.9%3.7%9.4%8.2%7.3%
Call IV 25d17.3%15.1%20.7%19.4%16.6%
Put IV 25d20.8%17.8%24.3%23.6%18.2%
Bid-Ask Spread %60.8239.2971.9557.1842.36
Gamma HHI0.210.150.440.200.15
Net GEX-1.1M-4.0M5.6M-4.0M53.6K
Net DEX51.3M-8.9M84.4M72.0M-7.9M
Net VEX-242.5K-296.1K-193.8K-242.0K-294.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.132.950.710.13
Total Volume9,143.05336018,14915,497360
Total OI82,259.78958,32394,87173,90568,585

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$37.78$40.0020.0%5.3%26.3%63.8%23.6%4.2%-0.4%-4.0M72.0M-242.0K0.7157.18N/AN/A9,0456,45223,97249,933
2014-11-04$37.52$40.0020.2%5.4%25.1%64.7%23.4%4.0%-0.5%-2.9M74.8M-249.5K2.1257.16N/AN/A3,0256,40929,36251,297
2014-11-05$37.75$40.0020.8%5.3%24.1%67.3%23.4%2.8%-0.4%-2.6M67.9M-249.7K1.0660.06N/AN/A5,4535,76529,34551,304
2014-11-06$37.68$40.0020.5%5.4%21.5%66.1%22.5%4.7%-0.8%-2.4M68.1M-250.2K1.7757.29N/AN/A3,7436,62432,04252,100
2014-11-07$37.42$40.0020.9%5.7%21.4%68.0%23.1%4.3%-1.3%-2.7M72.3M-249.4K1.2960.38N/AN/A4,9066,32732,58251,464
2014-11-10$37.64$40.0018.9%5.2%21.3%58.7%23.0%5.1%-1.1%-1.9M69.6M-232.3K1.7465.19N/AN/A4,2237,35234,14251,884
2014-11-11$37.91$40.0016.6%4.9%21.2%47.5%21.0%3.5%-0.3%-2.0M68.7M-193.8K2.8063.05N/AN/A2,3856,68332,33348,751
2014-11-12$37.29$40.0020.4%5.2%20.8%65.6%21.3%3.9%-1.2%-2.3M79.9M-210.8K2.9563.49N/AN/A2,6857,93134,31352,164
2014-11-13$37.42$41.0019.4%5.3%19.7%60.7%21.2%3.3%-1.0%-2.3M84.4M-214.6K2.3661.30N/AN/A2,9977,07934,56553,825
2014-11-14$37.51$41.0017.1%4.9%18.2%50.2%17.6%3.4%-0.3%-2.1M83.9M-209.5K2.6265.96N/AN/A2,4056,30534,47654,494
2014-11-17$37.68$41.0018.0%4.9%18.2%54.2%20.8%4.3%-0.4%-1.7M77.8M-229.3K1.8065.97N/AN/A3,6696,60735,77855,760
2014-11-18$38.46$41.0018.0%4.9%19.0%54.2%18.4%3.4%-1.2%899.2K44.6M-238.4K0.5464.27N/AN/A11,7776,37236,22655,770
2014-11-19$38.44$40.0017.7%5.0%18.1%53.0%16.9%2.8%-0.4%908.3K44.5M-245.6K0.9566.80N/AN/A1,2871,21938,05756,107
2014-11-20$38.12$40.0017.5%4.9%17.3%51.8%22.4%2.4%-0.7%-1.8M57.9M-237.2K1.0539.29N/AN/A2,9353,07438,03656,057
2014-11-21$38.76$40.0016.7%4.6%18.1%48.2%17.9%3.2%-0.5%5.6M26.4M-244.4K0.9060.95N/AN/A3,7783,39338,66656,205
2014-11-24$39.27$40.0016.7%4.7%18.1%48.0%17.1%4.5%-0.6%35.8K3.7M-234.0K1.1766.47N/AN/A4,0584,74022,16836,155
2014-11-25$39.53$40.0015.5%4.4%17.3%42.5%16.8%3.1%-0.1%165.8K-5.8M-286.1K0.4966.50N/AN/A7,8383,80725,87840,463
2014-11-26$39.70$40.0015.8%4.3%15.9%44.0%15.2%2.5%-0.4%-75.1K-8.9M-296.1K0.2871.95N/AN/A78922127,03241,645
2014-11-28$39.62$40.0016.4%4.5%16.0%46.8%15.3%1.5%-0.6%53.6K-7.9M-294.6K0.1342.36N/AN/A3184226,93841,647