FEZ Options History — March 2015

In March 2015, FEZ traded between $37.38 and $39.67. ATM implied volatility averaged 19.2%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.1% (HV 20d: 19.3%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2015-03-20: Highest Volume — 14,893 contracts
  • 2015-03-11: Largest IV drop — 21.9% change
  • 2015-03-10: Highest IV Rank — 67.2%
  • 2015-03-26: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.69$37.38$39.67$39.36$38.79
Max Pain$38.73$38.00$40.00$39.00$39.00
ATM IV19.2%16.9%23.3%17.5%20.6%
Expected Move5.4%4.7%6.1%5.0%5.9%
HV 20d19.3%15.6%22.1%22.1%21.1%
HV 60d23.2%22.5%23.7%23.1%23.3%
IV Rank51.0%41.7%67.2%44.1%56.7%
IV Percentile67.9%42.9%92.5%51.2%81.3%
Term Structure0.5%-0.7%1.2%0.2%0.3%
VWIV19.5%15.9%23.5%19.9%20.5%
Skew 25d4.9%3.3%6.3%3.3%6.3%
Skew 10d12.1%5.3%16.5%8.5%12.8%
Call IV 25d17.3%15.4%19.7%16.8%18.9%
Put IV 25d22.3%20.0%25.2%20.0%25.2%
Bid-Ask Spread %72.8537.3196.1181.1596.11
Gamma HHI0.120.100.170.110.10
Net GEX-233.4K-3.3M1.9M1.9M-1.1M
Net DEX365.0K-29.8M36.6M-23.9M7.1M
Net VEX-284.8K-317.7K-272.0K-317.7K-301.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.328.330.630.51
Total Volume4,397.22769714,89311,2763,466
Total OI69,979.59164,56080,58868,62773,409

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$39.36$39.0017.5%5.0%22.1%44.1%19.9%3.3%0.2%1.9M-23.9M-317.7K0.6381.15N/AN/A6,9364,34032,33136,296
2015-03-03$38.96$39.0017.4%5.0%21.9%43.7%19.9%3.7%1.0%530.6K-5.0M-280.3K1.1290.89N/AN/A1,4521,62528,13636,424
2015-03-04$38.86$39.0017.7%5.1%20.2%44.8%20.7%4.8%-0.2%412.3K-3.1M-275.8K0.6892.48N/AN/A3,0532,08928,34636,548
2015-03-05$38.99$40.0016.9%4.7%18.6%41.7%15.9%4.8%1.0%956.8K-7.3M-272.3K0.4666.92N/AN/A4,3621,99129,62437,131
2015-03-06$38.19$39.0019.6%5.3%19.3%52.5%17.1%3.8%0.2%-987.4K12.4M-272.5K1.7744.85N/AN/A2,3364,13329,04737,295
2015-03-09$38.34$39.0020.7%5.4%16.8%56.8%19.7%4.1%0.0%-767.9K11.7M-283.0K0.9870.73N/AN/A35234529,72039,695
2015-03-10$37.38$39.0023.3%5.9%19.0%67.2%20.3%6.0%-0.7%-3.2M36.6M-273.1K1.4768.43N/AN/A9661,42229,82739,720
2015-03-11$37.65$39.0018.2%5.2%18.4%46.7%19.3%5.4%0.6%-2.7M28.8M-278.6K0.5472.86N/AN/A94450530,52240,460
2015-03-12$37.94$39.0017.9%5.1%18.4%45.9%18.7%5.4%0.6%-2.7M24.1M-273.6K0.6475.07N/AN/A47530530,85240,691
2015-03-13$37.67$39.0017.6%5.0%15.6%44.4%18.5%6.0%0.6%-3.3M30.2M-275.8K0.7981.05N/AN/A43034030,99240,655
2015-03-16$38.33$39.0019.1%5.5%16.8%50.6%19.2%5.5%0.6%-513.4K8.8M-273.4K0.3237.31N/AN/A2,62483831,32740,659
2015-03-17$38.16$38.0019.6%5.6%16.9%52.7%19.7%6.2%0.2%-899.7K9.7M-288.7K8.3362.20N/AN/A1621,35033,21040,572
2015-03-18$38.77$39.0018.1%5.2%17.8%46.6%18.4%5.3%0.5%1.1M-4.9M-280.1K0.3766.84N/AN/A2,15879733,18941,484
2015-03-19$38.19$38.0019.2%5.5%18.6%50.8%23.5%5.4%0.6%-814.6K10.2M-285.7K3.1075.53N/AN/A1,6245,03134,20441,494
2015-03-20$39.29$38.0018.5%5.3%20.6%48.0%18.6%4.5%0.6%1.5M-29.8M-289.3K0.7491.93N/AN/A8,5806,31334,77845,810
2015-03-23$39.47$38.0020.1%5.8%20.5%54.6%19.5%4.3%0.6%1.2M-20.6M-295.7K0.5776.08N/AN/A4,0192,27330,13336,884
2015-03-24$39.67$38.0018.1%5.2%20.2%46.7%18.8%4.2%1.2%1.3M-23.7M-290.4K0.7880.48N/AN/A90570829,57037,413
2015-03-25$39.39$38.0020.3%5.8%20.4%55.1%20.2%4.5%0.6%906.8K-16.5M-294.3K0.6352.60N/AN/A2,2701,42929,80137,760
2015-03-26$39.05$38.0021.2%6.1%20.5%59.0%21.2%5.4%0.7%550.5K-9.3M-296.3K2.0055.23N/AN/A1,7203,44330,11237,543
2015-03-27$39.24$39.0020.8%6.0%20.5%57.4%21.4%4.7%0.9%523.7K-10.9M-296.3K0.7373.16N/AN/A40929729,33638,362
2015-03-30$39.43$39.0020.5%5.9%20.6%56.2%18.6%4.7%0.4%881.5K-16.8M-272.0K3.1890.75N/AN/A1,8946,02829,59938,590
2015-03-31$38.79$39.0020.6%5.9%21.1%56.7%20.5%6.3%0.3%-1.1M7.1M-301.6K0.5196.11N/AN/A2,2951,17129,93843,471