FEZ Options History — February 2016

In February 2016, FEZ traded between $29.92 and $32.22. ATM implied volatility averaged 27.0%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.2% (HV 20d: 25.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.29.

Notable Days

  • 2016-02-26: Highest Volume — 81,966 contracts
  • 2016-02-05: Largest IV spike — 20.9% change
  • 2016-02-09: Highest IV Rank — 85.0%
  • 2016-02-09: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.05$29.92$32.22$32.22$30.99
Max Pain$31.75$30.00$35.00$35.00$31.00
ATM IV27.0%23.2%33.9%23.2%24.2%
Expected Move7.8%6.6%9.1%6.8%7.3%
HV 20d25.8%23.3%27.8%25.9%23.8%
HV 60d21.6%19.7%22.6%19.7%22.6%
IV Rank51.0%31.8%85.0%31.8%36.8%
IV Percentile82.3%63.9%99.2%64.3%66.7%
Term Structure-0.5%-4.0%1.3%0.2%-1.0%
VWIV28.6%20.2%33.8%23.2%28.4%
Skew 25d6.0%2.4%8.3%6.3%5.8%
Skew 10d16.1%1.6%27.2%15.4%11.6%
Call IV 25d24.6%21.0%30.9%21.6%22.2%
Put IV 25d30.6%25.5%38.6%28.0%28.0%
Bid-Ask Spread %54.8629.8174.6640.6936.80
Gamma HHI0.230.170.400.190.32
Net GEX-2.2M-6.3M924.1K-2.2M924.1K
Net DEX41.8M17.3M56.9M36.0M28.5M
Net VEX-248.7K-462.8K-201.8K-257.8K-462.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.492.090.691.98
Total Volume20,719.68,82581,96610,92240,589
Total OI70,482.1542,122141,74866,821141,748

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$32.22$35.0023.2%6.8%25.9%31.8%23.2%6.3%0.2%-2.2M36.0M-257.8K0.6940.69N/AN/A6,4634,45930,87435,947
2016-02-02$31.22$35.0026.3%7.9%26.7%47.1%25.1%2.4%0.2%-2.2M43.6M-238.7K0.6837.26N/AN/A6,4944,40131,09436,104
2016-02-03$31.67$35.0025.8%7.6%27.4%44.7%25.5%3.7%-1.5%-2.7M44.7M-238.7K0.7151.68N/AN/A6,4874,59331,23836,108
2016-02-04$31.78$32.0024.3%6.9%26.9%37.2%20.2%7.3%-0.7%-2.5M41.9M-246.0K0.7041.58N/AN/A6,4854,51631,34136,450
2016-02-05$31.24$32.0029.3%8.3%27.3%62.4%25.3%6.7%1.1%-2.3M43.8M-245.4K1.1037.27N/AN/A6,1206,75431,48136,464
2016-02-08$30.56$32.0029.1%8.1%27.8%61.5%29.9%6.1%-0.5%-1.9M48.8M-208.5K1.4865.73N/AN/A6,0258,88831,05834,448
2016-02-09$30.24$32.0033.9%9.1%27.7%85.0%33.8%7.6%-0.8%-1.9M54.2M-216.6K1.4263.09N/AN/A6,1438,74131,08136,702
2016-02-10$30.39$31.0029.9%8.7%27.3%65.3%31.7%7.5%0.0%-2.1M50.5M-218.8K2.0958.41N/AN/A5,90612,35331,18536,702
2016-02-11$29.92$31.0031.5%9.0%26.8%73.2%32.7%7.2%-0.2%-1.9M56.9M-201.8K1.8655.67N/AN/A5,90310,95531,17136,804
2016-02-12$30.31$31.0030.3%8.6%26.8%67.3%33.6%7.0%0.3%-2.1M54.6M-211.5K1.8466.31N/AN/A6,00311,04231,31537,347
2016-02-16$30.82$31.0027.6%7.9%25.3%54.0%32.0%8.3%0.3%-2.2M49.2M-216.1K1.8167.41N/AN/A6,97912,60931,42637,238
2016-02-17$31.57$31.0025.3%7.2%26.6%42.2%31.7%6.8%1.3%-2.4M40.4M-222.1K1.7974.66N/AN/A6,93212,38532,53037,254
2016-02-18$31.26$31.0026.5%7.7%25.4%48.6%28.5%4.3%-1.6%-2.6M40.9M-211.3K1.3072.65N/AN/A6,7098,69332,77637,270
2016-02-19$31.17$31.0027.0%7.8%25.1%50.8%27.7%4.6%-0.3%-877.8K45.7M-215.3K1.3263.16N/AN/A6,6688,83032,79437,352
2016-02-22$31.56$31.0025.5%7.3%23.9%43.2%31.5%7.0%-0.4%-691.6K17.3M-209.4K0.6050.47N/AN/A5,5043,32121,21420,908
2016-02-23$30.98$31.0026.9%8.0%24.4%50.2%28.6%6.3%-2.0%-1.0M19.0M-203.0K2.0166.37N/AN/A6,65313,39021,41120,914
2016-02-24$30.77$31.0025.0%6.6%23.3%40.7%28.2%6.3%-0.3%-3.2M41.6M-229.0K1.3365.81N/AN/A13,76418,34722,46330,970
2016-02-25$31.17$31.0025.4%7.3%23.8%42.8%29.4%6.2%-4.0%-6.3M50.9M-347.1K0.6152.38N/AN/A13,8948,42830,05255,584
2016-02-26$31.16$30.0023.8%7.2%23.8%34.9%25.4%3.4%-0.3%-4.4M27.0M-373.0K0.4929.81N/AN/A54,98126,98535,20955,616
2016-02-29$30.99$31.0024.2%7.3%23.8%36.8%28.4%5.8%-1.0%924.1K28.5M-462.8K1.9836.80N/AN/A13,62026,96970,03271,716