FEZ Options History — December 2014

In December 2014, FEZ traded between $36.48 and $39.59. ATM implied volatility averaged 20.2%, placing in the 64.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.8% (HV 20d: 17.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2014-12-05: Highest Volume — 12,975 contracts
  • 2014-12-18: Largest IV drop — 20.5% change
  • 2014-12-15: Highest IV Rank — 91.8%
  • 2014-12-15: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.11$36.48$39.59$39.59$36.86
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV20.2%17.1%26.0%18.0%22.3%
Expected Move5.6%4.7%6.9%4.7%6.5%
HV 20d17.3%13.7%20.9%14.8%20.0%
HV 60d19.9%18.7%20.8%18.9%20.7%
IV Rank64.6%49.8%91.8%54.2%74.6%
IV Percentile82.3%57.9%99.2%73.8%94.8%
Term Structure-0.2%-2.7%2.9%-2.0%0.3%
VWIV20.5%16.0%27.2%16.7%22.2%
Skew 25d4.4%1.7%6.6%1.7%6.5%
Skew 10d8.4%2.7%15.6%9.7%10.7%
Call IV 25d18.5%14.4%23.6%17.9%20.7%
Put IV 25d22.9%17.6%29.2%19.6%27.3%
Bid-Ask Spread %63.4727.6082.1459.8327.60
Gamma HHI0.190.130.280.160.19
Net GEX-1.8M-3.9M-52.6K-52.6K-2.5M
Net DEX35.7M-7.1M82.0M-7.1M55.4M
Net VEX-298.0K-330.9K-269.8K-287.6K-269.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.477.780.670.47
Total Volume7,203.7271,01012,9759,0541,159
Total OI75,123.22766,16285,61768,80968,339

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$39.59$40.0018.0%4.7%14.8%54.2%16.7%1.7%-2.0%-52.6K-7.1M-287.6K0.6759.83N/AN/A5,4073,64727,11341,696
2014-12-02$39.41$40.0020.2%5.2%14.0%64.6%18.9%1.9%-2.2%-140.8K-3.5M-297.3K0.9539.36N/AN/A4,4494,21127,67441,706
2014-12-03$39.32$40.0020.2%5.1%13.7%64.5%18.2%4.3%-2.7%-424.9K2.5M-298.1K1.2449.64N/AN/A4,1745,19427,72442,691
2014-12-04$39.01$40.0017.4%4.7%14.0%51.7%16.0%2.5%-1.5%-1.1M14.5M-287.0K0.4842.74N/AN/A8,7274,15027,74444,567
2014-12-05$39.47$40.0017.1%4.7%14.4%49.8%17.9%3.2%0.4%-293.6K-1.4M-330.9K0.9549.47N/AN/A6,6616,31432,70148,126
2014-12-08$39.10$40.0018.5%4.8%14.7%56.7%17.7%3.5%0.6%-735.5K12.5M-299.4K0.8344.46N/AN/A7,0305,86431,25148,130
2014-12-09$38.73$40.0019.2%4.9%15.1%59.7%17.9%2.9%0.5%-1.6M26.0M-305.3K1.1767.62N/AN/A5,0265,87631,14048,137
2014-12-10$38.20$40.0021.2%5.5%15.9%69.4%19.4%3.6%0.3%-1.6M37.2M-320.2K1.4054.19N/AN/A4,2796,00532,29248,148
2014-12-11$38.13$40.0019.6%5.6%14.6%61.8%20.6%3.1%0.2%-1.6M39.1M-317.2K1.0677.88N/AN/A4,2544,51032,72748,172
2014-12-12$37.22$40.0023.3%6.5%17.1%79.3%25.1%6.4%-1.0%-2.7M65.0M-313.2K1.1970.14N/AN/A4,9205,83132,71348,175
2014-12-15$36.48$40.0026.0%6.9%18.5%91.8%23.7%5.5%-1.8%-3.9M82.0M-289.0K1.1067.76N/AN/A3,5113,87733,44449,329
2014-12-16$36.95$40.0025.0%6.7%19.0%87.3%23.1%6.0%-1.8%-3.6M71.2M-299.7K1.0166.85N/AN/A4,4104,44633,55849,820
2014-12-17$37.45$40.0024.6%6.6%18.1%85.6%22.5%6.6%-1.9%-2.7M64.2M-305.2K0.8172.51N/AN/A4,6283,73833,44350,921
2014-12-18$38.27$40.0019.6%5.6%19.9%61.8%21.9%5.1%-0.1%-1.3M40.2M-302.9K2.0678.91N/AN/A3,3406,88934,41350,955
2014-12-19$37.53$40.0019.5%5.5%20.9%61.5%18.6%5.4%-0.5%-3.9M64.9M-303.6K5.1573.56N/AN/A2551,31331,16554,452
2014-12-22$37.75$40.0018.7%5.6%20.0%57.4%21.0%4.5%1.6%-1.9M38.5M-299.2K0.9765.37N/AN/A1,3891,34225,18140,981
2014-12-23$37.91$40.0017.3%5.6%19.4%50.8%20.0%3.3%2.9%-1.8M33.9M-290.0K1.1277.20N/AN/A1,2741,43225,31541,178
2014-12-24$38.03$40.0017.6%5.4%19.2%52.5%20.1%5.2%1.4%-1.7M33.1M-292.7K1.2479.07N/AN/A1,0901,34725,32341,332
2014-12-26$38.10$40.0017.7%5.7%19.2%52.8%20.5%5.3%1.9%-1.7M30.3M-293.8K1.2582.14N/AN/A1,0581,31925,31841,365
2014-12-29$37.78$40.0019.0%5.9%19.3%59.0%22.7%5.6%1.4%-1.8M38.1M-280.4K0.8976.21N/AN/A1,6521,47425,34241,368
2014-12-30$37.18$40.0022.3%6.4%19.9%74.7%27.2%4.8%0.1%-2.3M48.0M-273.5K7.7873.87N/AN/A11589525,87241,670
2014-12-31$36.86$40.0022.3%6.5%20.0%74.6%22.2%6.5%0.3%-2.5M55.4M-269.8K0.4727.60N/AN/A78637325,87042,469