FEZ Options History — October 2015

In October 2015, FEZ traded between $33.46 and $36.98. ATM implied volatility averaged 20.8%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 1.3% (HV 20d: 22.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.92.

Notable Days

  • 2015-10-02: Highest Volume — 23,003 contracts
  • 2015-10-23: Largest IV drop — 9.5% change
  • 2015-10-01: Highest IV Rank — 60.1%
  • 2015-10-01: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.95$33.46$36.98$33.46$36.69
Max Pain$38.91$35.00$40.00$35.00$39.00
ATM IV20.8%17.0%28.3%28.3%18.6%
Expected Move5.9%4.8%8.7%8.7%5.5%
HV 20d22.1%13.2%28.6%26.3%13.2%
HV 60d21.9%21.6%23.8%23.7%21.7%
IV Rank24.5%7.0%60.1%60.1%14.5%
IV Percentile41.2%3.6%92.1%92.1%22.6%
Term Structure0.4%-1.2%1.9%-0.5%1.6%
VWIV21.7%15.6%32.7%32.7%19.1%
Skew 25d5.0%0.4%7.8%7.8%5.4%
Skew 10d8.6%4.1%13.1%11.2%5.1%
Call IV 25d18.8%15.8%25.7%25.7%15.8%
Put IV 25d23.8%17.6%33.4%33.4%21.2%
Bid-Ask Spread %26.2314.4371.6823.2126.83
Gamma HHI0.190.120.260.200.19
Net GEX1.2M-2.5M2.5M-2.5M1.4M
Net DEX5.6M-19.9M61.4M61.4M-5.3M
Net VEX-324.1K-353.0K-297.6K-313.1K-316.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.920.214.654.651.88
Total Volume12,452.9091,84823,00317,11112,110
Total OI84,139.54575,91790,85477,45284,994

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$33.46$35.0028.3%8.7%26.3%60.1%32.7%7.8%-0.5%-2.5M61.4M-313.1K4.6523.21N/AN/A3,03114,08034,97842,474
2015-10-02$34.27$35.0026.0%7.6%28.0%49.1%29.2%6.4%0.9%-1.7M46.2M-334.3K2.9930.89N/AN/A5,77017,23335,02745,466
2015-10-05$35.10$40.0025.1%7.1%28.6%44.7%23.1%5.7%0.5%-533.4K26.8M-353.0K0.2114.43N/AN/A1,52832037,94945,762
2015-10-06$35.41$40.0023.3%6.9%27.2%36.6%25.5%5.7%-0.1%33.5K19.6M-349.8K2.1116.74N/AN/A4,1688,79938,98645,827
2015-10-07$35.63$40.0022.1%6.4%27.1%30.6%25.1%5.8%1.5%545.4K12.9M-347.3K2.3522.45N/AN/A4,1659,78840,01146,747
2015-10-08$35.89$40.0021.1%6.1%27.0%26.0%23.0%5.5%1.2%1.1M7.9M-349.3K2.7623.96N/AN/A3,99711,05140,88348,416
2015-10-09$35.97$40.0021.0%5.9%27.0%25.8%23.9%5.3%0.2%1.5M3.3M-351.4K2.8722.34N/AN/A4,08111,70941,89248,497
2015-10-12$35.98$40.0020.6%5.8%26.8%23.7%24.2%5.0%-0.3%1.6M2.2M-344.7K4.1925.64N/AN/A2,76811,60042,06948,785
2015-10-13$35.65$39.0021.6%6.1%26.9%28.7%23.1%5.7%-1.0%1.3M7.4M-332.5K3.9125.39N/AN/A2,73710,71142,10448,661
2015-10-14$35.78$39.0020.9%5.9%26.5%25.2%22.8%5.5%-0.3%1.6M1.8M-333.4K3.8625.85N/AN/A2,77510,70742,25647,883
2015-10-15$36.24$39.0020.3%5.7%26.7%22.2%21.3%3.3%-0.2%2.5M-7.4M-318.4K3.8026.64N/AN/A2,82610,74642,31847,847
2015-10-16$36.30$39.0019.5%5.5%22.6%18.8%18.0%5.1%-0.0%1.7M-10.6M-313.0K3.2727.22N/AN/A2,4728,08742,30247,867
2015-10-19$36.16$39.0019.8%5.6%22.5%20.1%21.1%4.6%1.0%1.7M1.4M-307.5K2.2623.30N/AN/A2,3115,22836,34039,577
2015-10-20$36.05$39.0019.7%5.6%16.9%19.5%20.4%6.5%0.1%1.9M4.3M-301.0K2.1319.83N/AN/A2,4465,21136,37839,609
2015-10-21$36.06$39.0018.9%5.4%16.9%15.9%19.0%5.7%0.0%2.0M1.1M-307.7K3.2622.41N/AN/A2,5648,35036,56942,219
2015-10-22$36.59$39.0018.8%5.4%17.1%15.4%18.5%4.7%-0.3%2.4M-6.7M-313.4K1.9027.21N/AN/A4,4628,46436,72443,018
2015-10-23$36.98$39.0017.0%4.8%17.1%7.0%17.0%3.4%0.4%965.6K-19.9M-312.1K1.9223.97N/AN/A4,3468,33038,61243,078
2015-10-26$36.85$39.0018.1%5.0%15.4%11.9%18.7%3.9%1.9%2.5M-9.4M-313.3K3.8926.23N/AN/A2,0027,78737,39743,130
2015-10-27$36.54$39.0018.5%5.3%16.2%14.0%18.6%4.6%1.3%2.3M-4.0M-310.5K4.6422.15N/AN/A2,28810,60537,49443,116
2015-10-28$36.78$39.0019.4%5.1%15.7%18.1%15.6%0.4%-1.2%2.0M-9.8M-297.6K3.5171.68N/AN/A2,2858,02937,76945,826
2015-10-29$36.55$39.0018.1%5.4%15.1%12.3%18.1%4.6%1.9%2.2M-61.7K-310.4K1.9428.61N/AN/A4,0787,91938,24345,970
2015-10-30$36.69$39.0018.6%5.5%13.2%14.5%19.1%5.4%1.6%1.4M-5.3M-316.1K1.8826.83N/AN/A4,2097,90138,98546,009