FEZ Options History — September 2015

In September 2015, FEZ traded between $33.20 and $36.25. ATM implied volatility averaged 25.5%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.4% (HV 20d: 24.2%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.42.

Notable Days

  • 2015-09-23: Highest Volume — 24,109 contracts
  • 2015-09-04: Largest IV spike — 14.2% change
  • 2015-09-28: Highest IV Rank — 68.8%
  • 2015-09-28: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.71$33.20$36.25$34.89$33.86
Max Pain$35.29$35.00$38.00$38.00$35.00
ATM IV25.5%21.6%30.2%27.2%26.9%
Expected Move7.5%6.2%9.1%8.8%8.0%
HV 20d24.2%20.3%27.8%20.6%26.6%
HV 60d24.8%23.5%26.0%25.4%23.8%
IV Rank55.2%35.1%68.8%68.0%53.3%
IV Percentile82.0%57.5%96.0%90.5%87.3%
Term Structure-0.2%-3.4%2.8%-0.2%-0.3%
VWIV27.8%21.5%32.5%32.5%30.1%
Skew 25d8.0%4.1%11.2%10.3%7.1%
Skew 10d13.6%9.6%21.2%15.5%12.2%
Call IV 25d22.9%20.0%26.8%24.0%24.5%
Put IV 25d30.8%25.4%34.3%34.3%31.6%
Bid-Ask Spread %35.4222.1863.2563.2527.13
Gamma HHI0.190.120.290.130.23
Net GEX-2.8M-4.5M-1.1M-2.7M-2.5M
Net DEX69.8M51.7M87.9M81.4M51.7M
Net VEX-187.4K-286.1K-125.8K-174.8K-285.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.374.020.784.02
Total Volume9,644.8185724,1096,47515,198
Total OI64,129.66755,77575,16859,77373,882

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$34.89$38.0027.2%8.8%20.6%68.0%32.5%10.3%-0.2%-2.7M81.4M-174.8K0.7863.25N/AN/A3,6282,84721,56438,209
2015-09-02$35.31$38.0025.4%8.1%20.4%62.0%31.2%9.7%-0.4%-3.0M77.7M-178.3K0.7861.58N/AN/A3,7252,90621,63938,333
2015-09-03$35.29$35.0023.6%7.3%20.3%56.3%28.2%11.2%0.9%-3.0M78.5M-171.8K1.0952.37N/AN/A3,5133,82121,74838,494
2015-09-04$34.64$35.0027.0%7.4%20.8%63.5%28.0%10.6%0.7%-2.7M87.9M-158.7K0.9454.38N/AN/A3,4643,26621,78239,541
2015-09-08$35.55$35.0024.1%6.7%22.7%53.1%28.4%8.8%0.7%-3.5M75.0M-168.5K2.1735.59N/AN/A27058720,71038,950
2015-09-09$35.24$35.0024.8%7.0%22.4%55.6%26.6%8.6%0.6%-3.3M78.9M-162.5K1.0030.54N/AN/A2,7992,78920,88439,200
2015-09-10$35.57$35.0023.3%6.4%22.9%49.9%26.9%7.4%-0.3%-3.7M74.3M-153.0K0.9831.55N/AN/A2,7002,65920,97039,508
2015-09-11$35.46$35.0023.6%7.1%22.8%51.0%26.0%8.8%2.8%-3.7M78.3M-157.0K0.6931.27N/AN/A3,6912,54421,00939,749
2015-09-14$35.17$35.0025.5%7.3%22.9%58.2%27.4%9.5%0.1%-3.2M73.8M-145.4K0.6427.07N/AN/A3,7452,38821,59237,069
2015-09-15$35.47$35.0024.7%7.1%23.3%55.1%21.5%8.9%-1.2%-3.5M66.3M-131.7K1.5228.15N/AN/A2,2613,44721,94337,338
2015-09-16$35.93$35.0021.6%6.2%23.8%43.7%25.6%7.0%0.2%-4.2M62.6M-160.2K1.5126.34N/AN/A3,9976,02624,07240,588
2015-09-17$36.25$35.0021.6%6.2%24.1%35.1%23.0%4.1%-3.4%-4.5M53.8M-161.9K1.4838.05N/AN/A5,4047,98324,29341,296
2015-09-18$34.89$35.0023.6%6.8%26.1%42.3%25.9%7.2%-1.0%-1.1M85.9M-143.4K1.9338.37N/AN/A5,37710,39025,60642,993
2015-09-21$34.71$35.0024.6%7.0%25.3%46.9%24.6%5.5%-0.1%-2.0M58.9M-145.5K1.6133.82N/AN/A3,6805,93121,01234,763
2015-09-22$33.40$35.0027.3%7.9%27.7%58.3%27.3%6.4%-0.7%-2.4M72.3M-125.8K1.3441.23N/AN/A6,7219,02621,19534,943
2015-09-23$33.60$35.0027.6%7.9%27.8%59.9%27.2%6.8%-0.3%-2.6M72.5M-190.0K0.3722.18N/AN/A17,6386,47124,32740,503
2015-09-24$33.46$35.0028.4%8.4%26.6%63.3%29.8%7.9%-0.5%-1.7M59.7M-280.1K1.6226.38N/AN/A3,8276,21335,02340,126
2015-09-25$33.77$35.0026.8%7.8%26.5%52.6%29.4%7.5%-0.5%-1.7M57.8M-286.1K1.5325.84N/AN/A4,9627,61035,28039,888
2015-09-28$33.20$35.0030.2%9.1%26.9%68.8%32.0%7.1%-0.3%-1.9M60.3M-279.4K1.7123.70N/AN/A3,6266,18934,02739,056
2015-09-29$33.34$35.0028.6%8.8%27.1%61.1%31.9%6.8%-0.4%-2.0M58.6M-276.1K2.1325.13N/AN/A2,9496,27334,72838,890
2015-09-30$33.86$35.0026.9%8.0%26.6%53.3%30.1%7.1%-0.3%-2.5M51.7M-285.1K4.0227.13N/AN/A3,02612,17234,81439,068