FEZ Options History — December 2015

In December 2015, FEZ traded between $34.16 and $36.22. ATM implied volatility averaged 20.0%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.8% (HV 20d: 16.2%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.98.

Notable Days

  • 2015-12-18: Highest Volume — 15,622 contracts
  • 2015-12-09: Largest IV spike — 16.6% change
  • 2015-12-14: Highest IV Rank — 37.4%
  • 2015-12-14: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.99$34.16$36.22$36.22$34.50
Max Pain$35.70$35.00$36.00$36.00$35.00
ATM IV20.0%17.3%24.3%19.0%18.7%
Expected Move5.7%4.6%7.0%6.0%5.1%
HV 20d16.2%13.1%18.8%13.1%18.5%
HV 60d17.3%14.8%19.1%19.1%14.8%
IV Rank15.8%2.5%37.4%10.9%9.5%
IV Percentile34.3%3.2%75.0%25.8%21.8%
Term Structure-0.3%-5.5%1.3%-0.7%0.7%
VWIV19.0%13.5%24.0%19.5%20.8%
Skew 25d4.0%1.3%8.3%3.7%2.1%
Skew 10d9.1%3.3%14.3%8.5%9.8%
Call IV 25d17.9%15.5%22.7%16.9%18.6%
Put IV 25d22.0%18.1%27.0%20.6%20.7%
Bid-Ask Spread %41.9224.3867.0830.0733.52
Gamma HHI0.190.170.240.180.18
Net GEX28.8K-1.9M1.3M1.3M-563.6K
Net DEX-263.0K-15.2M15.8M-15.2M4.0M
Net VEX-241.2K-268.0K-184.3K-251.7K-224.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.642.930.792.80
Total Volume9,102.1362315,6223038,844
Total OI59,895.68255,04861,58258,67160,306

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$36.22$36.0019.0%6.0%13.1%10.9%19.5%3.7%-0.7%1.3M-15.2M-251.7K0.7930.07N/AN/A16913427,80430,867
2015-12-02$35.69$36.0019.2%6.5%13.9%12.1%21.1%2.4%0.8%800.8K-9.4M-268.0K1.3033.79N/AN/A3,3244,32827,96430,944
2015-12-03$35.33$36.0019.4%5.8%13.7%13.0%19.6%2.5%-0.3%502.6K-5.3M-264.1K1.1743.66N/AN/A4,1274,80828,13531,022
2015-12-04$35.84$36.0017.8%5.1%14.7%5.2%17.0%3.7%-0.3%1.3M-7.7M-252.3K1.0731.05N/AN/A4,0124,27829,36931,553
2015-12-07$35.70$36.0019.3%5.0%14.7%12.6%0.0%4.5%-2.2%689.9K-8.1M-260.2K0.6431.98N/AN/A14928,29431,535
2015-12-08$35.15$36.0020.1%5.8%15.0%16.3%18.2%4.9%0.3%-441.2K945.4K-251.7K1.3424.38N/AN/A3,0744,12228,29831,542
2015-12-09$34.96$36.0023.4%6.5%15.0%32.9%19.0%5.3%-0.1%-263.8K2.1M-257.8K1.2931.71N/AN/A3,2684,20228,29531,581
2015-12-10$34.91$36.0021.8%6.1%14.6%24.9%17.7%5.5%-0.5%-384.7K3.0M-255.0K0.9635.08N/AN/A4,1663,99128,56031,718
2015-12-11$34.21$36.0023.7%6.7%14.9%34.2%21.8%3.9%-0.3%-1.2M13.4M-252.9K1.0450.08N/AN/A3,8414,00229,40531,733
2015-12-14$34.16$36.0024.3%7.0%14.5%37.4%24.0%3.7%-0.2%-1.9M15.8M-244.6K2.7843.55N/AN/A2,3076,42028,54031,713
2015-12-15$34.57$36.0022.3%6.4%14.8%27.2%21.4%7.2%0.2%-1.0M7.7M-249.2K2.1840.36N/AN/A4,0668,88228,57531,740
2015-12-16$35.26$36.0022.2%6.4%16.5%26.8%18.3%8.3%-5.5%1.0M-6.9M-184.3K2.1861.39N/AN/A4,1228,99329,50331,744
2015-12-17$34.94$36.0020.4%5.9%16.3%18.2%16.8%5.6%-0.5%-54.2K-1.1M-248.9K2.1350.15N/AN/A4,2148,96629,61531,813
2015-12-18$34.26$36.0020.0%5.7%17.4%16.1%21.3%4.0%0.8%569.7K6.2M-233.9K2.9056.15N/AN/A4,00411,61829,66431,918
2015-12-21$34.33$36.0019.5%5.5%17.4%13.7%19.8%2.2%-2.7%49.3K2.9M-235.3K2.0147.86N/AN/A3,1246,27527,10627,942
2015-12-22$34.52$35.5018.8%5.2%17.6%10.1%21.2%4.2%0.6%-497.9K5.6M-231.8K2.8367.08N/AN/A3,1278,85427,17430,373
2015-12-23$35.11$35.0017.6%4.7%18.8%3.8%19.3%2.1%0.3%-381.7K-1.3M-218.9K2.9255.35N/AN/A3,0488,89627,31532,950
2015-12-24$35.03$35.0018.4%4.7%18.5%8.0%19.2%3.9%0.7%317.8K-2.4M-238.1K2.9340.37N/AN/A3,0408,89927,43932,978
2015-12-28$34.95$35.0018.5%4.8%18.3%8.5%13.5%3.5%0.4%-5.7K-1.1M-232.0K2.7033.24N/AN/A2,4066,49027,26232,944
2015-12-29$35.24$35.0017.3%5.0%18.6%2.5%14.3%1.3%0.4%498.8K-6.0M-226.1K2.7444.09N/AN/A2,3776,52027,28332,936
2015-12-30$34.91$35.0017.4%4.6%18.7%3.1%14.6%3.9%1.3%265.2K-3.0M-226.6K2.8237.27N/AN/A2,3276,55927,30832,945
2015-12-31$34.50$35.0018.7%5.1%18.5%9.5%20.8%2.1%0.7%-563.6K4.0M-224.0K2.8033.52N/AN/A2,3266,51827,31632,990