FEZ Options History — April 2015

In April 2015, FEZ traded between $38.84 and $40.08. ATM implied volatility averaged 20.3%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.2% (HV 20d: 16.2%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2015-04-17: Highest Volume — 56,011 contracts
  • 2015-04-17: Largest IV spike — 25.8% change
  • 2015-04-29: Highest IV Rank — 78.9%
  • 2015-04-29: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.50$38.84$40.08$39.13$39.53
Max Pain$39.05$39.00$40.00$39.00$40.00
ATM IV20.3%17.6%26.2%20.6%24.2%
Expected Move5.9%5.0%7.5%5.9%6.9%
HV 20d16.2%12.4%21.7%21.3%12.6%
HV 60d20.4%18.1%21.3%21.3%18.1%
IV Rank55.5%44.5%78.9%56.6%71.0%
IV Percentile72.0%46.0%97.2%81.0%92.5%
Term Structure0.8%-1.3%1.9%-0.2%0.1%
VWIV22.3%18.1%31.1%23.4%27.3%
Skew 25d4.7%3.3%5.9%5.1%4.9%
Skew 10d10.5%5.9%18.4%11.9%9.6%
Call IV 25d19.0%16.7%23.5%17.9%23.5%
Put IV 25d23.7%20.8%28.4%23.0%28.4%
Bid-Ask Spread %62.5031.49103.99103.9975.25
Gamma HHI0.160.110.270.110.19
Net GEX-1.0M-4.4M1.1M-554.9K-3.0M
Net DEX-6.5M-25.4M24.1M-690.3K4.3M
Net VEX-299.3K-376.7K-249.4K-304.7K-375.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.3710.181.314.29
Total Volume8,803.71449756,0115,2259,685
Total OI99,647.04874,181146,75874,181146,758

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$39.13$39.0020.6%5.9%21.3%56.6%23.4%5.1%-0.2%-554.9K-690.3K-304.7K1.31103.99N/AN/A2,2612,96430,60343,578
2015-04-02$39.58$39.0017.8%5.5%21.7%45.2%20.2%5.1%0.3%320.4K-15.0M-281.7K0.8231.53N/AN/A1,7211,40630,76843,661
2015-04-06$40.02$39.0018.0%5.4%20.4%46.2%18.6%4.2%1.5%1.1M-25.4M-268.1K0.4758.37N/AN/A4,2701,98830,82443,714
2015-04-07$39.75$39.0018.6%5.4%20.6%48.7%19.0%3.3%1.1%791.3K-20.8M-271.7K0.3731.49N/AN/A3,1401,15131,62144,787
2015-04-08$39.63$39.0018.9%5.4%18.1%49.8%19.3%4.1%0.7%605.4K-17.8M-265.4K0.7059.32N/AN/A29320432,04745,181
2015-04-09$39.52$39.0018.8%5.4%18.1%49.5%20.7%4.0%0.3%356.4K-16.3M-252.6K0.4939.20N/AN/A1,82589732,18645,251
2015-04-10$39.61$39.0017.9%5.1%18.0%45.7%21.2%5.0%1.5%544.6K-14.2M-269.6K0.6080.45N/AN/A1,7071,03032,24245,294
2015-04-13$39.37$39.0019.2%5.5%18.0%50.8%18.7%4.4%0.8%81.1K-8.8M-250.2K0.5866.79N/AN/A1,7631,02032,31545,609
2015-04-14$39.55$39.0017.6%5.1%17.1%44.6%18.4%5.0%1.3%560.6K-13.4M-249.4K1.7463.86N/AN/A2,0153,51432,44645,838
2015-04-15$39.69$39.0017.6%5.0%16.9%44.5%18.1%3.8%1.7%894.8K-18.3M-258.0K1.6464.62N/AN/A2,1463,51632,75946,938
2015-04-16$39.53$39.0017.7%5.1%16.2%44.9%19.7%4.8%1.3%481.4K-12.5M-260.0K1.3877.65N/AN/A2,5883,56532,87547,091
2015-04-17$38.84$39.0022.3%6.4%16.6%63.2%31.1%5.6%-1.1%-1.7M7.7M-273.8K10.1845.50N/AN/A5,01250,99933,58549,068
2015-04-20$38.99$39.0021.5%6.2%13.1%60.0%23.6%5.7%1.9%-4.4M24.1M-370.4K1.8142.40N/AN/A2,6824,86530,91188,994
2015-04-21$39.13$39.0022.1%6.3%13.0%62.7%26.1%5.9%1.5%-4.2M21.6M-376.7K2.3055.48N/AN/A1,1352,60731,48391,727
2015-04-22$39.24$39.0021.9%6.3%12.9%61.7%23.4%5.7%1.1%-3.6M9.2M-335.1K1.4980.26N/AN/A1,4282,12431,65892,332
2015-04-23$39.34$39.0022.4%6.4%12.7%63.7%24.0%5.5%0.2%-3.4M10.1M-352.0K0.6752.34N/AN/A3,3372,23231,85992,358
2015-04-24$39.49$39.0021.6%6.2%12.4%60.4%22.8%3.7%1.3%-1.9M-6.3M-326.8K2.9965.61N/AN/A2,3567,03333,61193,461
2015-04-27$40.08$39.0020.7%5.9%13.3%57.1%23.4%4.2%1.7%-651.0K-24.1M-304.5K2.4253.37N/AN/A2,4185,84534,02197,036
2015-04-28$40.00$39.0021.4%6.1%13.3%59.7%24.9%4.9%0.6%-555.5K-22.8M-292.0K5.7278.34N/AN/A1,87010,70134,40097,135
2015-04-29$39.45$39.0026.2%7.5%12.9%78.9%24.0%4.9%-1.3%-3.3M2.7M-346.5K2.4686.72N/AN/A6,81616,74934,74899,815
2015-04-30$39.53$40.0024.2%6.9%12.6%71.0%27.3%4.9%0.1%-3.0M4.3M-375.9K4.2975.25N/AN/A1,8317,85440,102106,656