FEZ Options History — May 2015

In May 2015, FEZ traded between $39.06 and $40.75. ATM implied volatility averaged 23.2%, placing in the 67.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.0% (HV 20d: 17.2%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.22.

Notable Days

  • 2015-05-07: Highest Volume — 17,565 contracts
  • 2015-05-13: Largest IV drop — 19.3% change
  • 2015-05-12: Highest IV Rank — 86.1%
  • 2015-05-05: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.95$39.06$40.75$39.99$39.11
Max Pain$39.70$39.00$40.00$40.00$40.00
ATM IV23.2%20.3%28.0%23.6%24.4%
Expected Move6.5%5.8%7.4%6.8%7.0%
HV 20d17.2%12.0%21.3%12.6%21.3%
HV 60d17.4%16.8%18.5%17.7%18.5%
IV Rank67.1%55.5%86.1%68.4%71.9%
IV Percentile86.2%67.9%99.2%92.1%91.3%
Term Structure-2.1%-4.0%0.1%0.1%-4.0%
VWIV23.2%20.2%29.0%27.2%24.6%
Skew 25d3.5%1.8%5.3%5.3%1.8%
Skew 10d5.2%1.4%14.5%14.5%1.8%
Call IV 25d20.7%18.3%23.6%22.1%22.4%
Put IV 25d24.1%21.0%27.9%27.3%24.2%
Bid-Ask Spread %51.7333.6479.7852.8747.12
Gamma HHI0.250.150.390.170.20
Net GEX540.4K-4.2M5.0M-2.2M-2.2M
Net DEX-21.0M-104.9M29.2M-14.2M29.2M
Net VEX-306.5K-342.6K-271.6K-342.6K-275.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.349.827.061.15
Total Volume7,105.91,22317,5658,85014,652
Total OI127,664.776,796184,010147,03593,595

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$39.99$40.0023.6%6.8%12.6%68.4%27.2%5.3%0.1%-2.2M-14.2M-342.6K7.0652.87N/AN/A1,0987,75240,275106,760
2015-05-04$39.82$39.0024.3%7.0%12.0%71.3%23.5%4.6%-2.3%-1.7M-13.0M-315.7K2.6346.19N/AN/A33788640,434106,856
2015-05-05$39.06$39.0027.1%7.4%13.6%82.6%26.9%5.0%-3.3%-4.2M20.5M-319.7K3.7338.20N/AN/A1,1534,29940,669107,607
2015-05-06$39.57$39.0023.8%7.0%14.5%69.2%29.0%4.3%-2.3%-3.1M3.7M-315.3K2.7953.82N/AN/A1,5804,41040,777108,441
2015-05-07$39.39$39.0026.6%7.3%14.5%80.7%22.9%4.0%-2.8%-2.7M7.2M-303.5K0.3437.41N/AN/A13,1104,45541,245108,673
2015-05-08$40.33$39.0022.3%6.6%16.8%63.4%23.1%4.9%-1.5%3.1M-58.8M-319.0K1.0358.76N/AN/A3,9344,05252,701109,398
2015-05-11$39.82$39.0025.9%6.4%17.3%77.6%23.4%3.0%-0.5%1.6M-32.9M-299.4K9.8268.20N/AN/A6015,90254,535111,597
2015-05-12$39.67$40.0028.0%6.6%17.3%86.1%23.6%3.8%-1.0%68.7K-16.6M-320.3K3.5861.33N/AN/A1,8286,55054,714116,147
2015-05-13$39.76$40.0022.6%6.5%17.3%64.5%22.8%2.8%-0.9%407.6K-23.3M-310.7K2.2166.05N/AN/A2,6515,86555,486117,774
2015-05-14$40.65$40.0021.6%6.2%18.9%60.5%20.8%3.0%-1.7%5.0M-83.9M-302.5K0.4638.37N/AN/A9,5764,40857,992120,558
2015-05-15$40.58$40.0021.2%6.1%17.6%59.1%21.8%2.9%-1.6%3.0M-104.9M-291.2K1.4461.96N/AN/A2,3873,44463,283120,727
2015-05-18$40.36$40.0020.9%6.0%17.7%57.9%20.7%2.3%-1.2%2.7M-30.7M-299.9K1.2079.78N/AN/A2,4862,98436,59840,198
2015-05-19$40.44$40.0021.4%6.1%17.7%59.7%21.1%3.3%-2.8%2.7M-32.3M-304.9K1.1539.10N/AN/A9641,10638,02642,672
2015-05-20$40.55$40.0020.9%6.0%17.7%57.7%20.3%2.4%-2.4%3.3M-35.7M-312.4K0.6153.15N/AN/A2,8271,73738,79742,992
2015-05-21$40.75$40.0020.3%5.8%17.8%55.5%20.2%2.7%-2.0%4.2M-41.5M-309.6K1.4355.40N/AN/A3,6415,19838,88643,977
2015-05-22$40.25$40.0021.1%6.1%18.4%58.7%22.1%3.3%-2.5%1.9M-21.1M-311.4K0.7651.18N/AN/A1,6771,28140,89947,616
2015-05-26$39.21$40.0023.3%6.7%20.0%67.4%23.5%2.3%-3.7%-1.9M24.7M-271.6K0.8742.16N/AN/A2,2351,95341,28348,180
2015-05-27$39.88$40.0022.4%6.4%21.0%63.9%24.1%3.6%-2.9%705.7K536.8K-321.8K0.7633.64N/AN/A2,2251,68042,63649,111
2015-05-28$39.76$40.0022.7%6.5%20.4%65.1%22.7%4.0%-2.3%116.0K2.7M-282.7K1.3049.85N/AN/A2,2562,93842,42648,753
2015-05-29$39.11$40.0024.4%7.0%21.3%71.9%24.6%1.8%-4.0%-2.2M29.2M-275.6K1.1547.12N/AN/A6,8277,82542,68850,907