FEZ Options History — April 2016

In April 2016, FEZ traded between $31.71 and $34.74. ATM implied volatility averaged 18.8%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 1.1% (HV 20d: 19.9%). Max pain ranged from $32.50 to $33.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.38.

Notable Days

  • 2016-04-04: Highest Volume — 50,341 contracts
  • 2016-04-07: Largest IV spike — 19.0% change
  • 2016-04-07: Highest IV Rank — 32.0%
  • 2016-04-07: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.54$31.71$34.74$32.87$34.09
Max Pain$32.98$32.50$33.00$32.50$33.00
ATM IV18.8%17.4%23.0%19.3%19.7%
Expected Move5.4%4.9%6.2%5.4%5.5%
HV 20d19.9%16.9%22.1%17.0%19.7%
HV 60d21.7%19.7%23.4%22.6%19.7%
IV Rank11.4%4.3%32.0%13.7%15.5%
IV Percentile21.1%5.6%57.1%27.4%33.7%
Term Structure0.0%-1.1%1.0%-0.2%0.4%
VWIV19.2%17.8%21.3%21.3%21.3%
Skew 25d4.3%2.7%5.5%4.1%5.2%
Skew 10d11.5%6.3%20.0%17.0%7.7%
Call IV 25d17.3%15.5%19.8%17.4%17.2%
Put IV 25d21.5%19.3%25.1%21.5%22.3%
Bid-Ask Spread %23.9213.3538.7127.3330.67
Gamma HHI0.220.180.310.210.18
Net GEX2.6M-1.5M5.4M1.3M3.3M
Net DEX-54.1M-120.0M69.1M-32.8M-56.7M
Net VEX-628.8K-776.3K-505.9K-539.4K-607.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.380.767.293.231.83
Total Volume22,524.38112,53650,34122,98029,559
Total OI154,787.619124,183194,689145,924158,808

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$32.87$32.5019.3%5.4%17.0%13.7%21.3%4.1%-0.2%1.3M-32.8M-539.4K3.2327.33N/AN/A5,43117,54976,80269,122
2016-04-04$32.78$33.0019.1%5.4%16.9%12.6%19.0%3.4%0.1%1.6M-21.5M-505.9K1.2035.87N/AN/A22,89427,44767,35056,833
2016-04-05$31.99$33.0021.1%6.0%19.0%22.6%19.5%4.9%0.2%153.6K40.1M-616.6K7.2918.52N/AN/A4,26431,07385,79572,882
2016-04-06$32.44$33.0019.4%5.9%19.5%13.9%19.3%5.5%0.4%668.9K20.7M-747.4K1.3935.73N/AN/A16,79823,42597,79586,840
2016-04-07$31.71$33.0023.0%6.2%21.2%32.0%19.6%5.3%-0.6%-1.5M69.1M-617.7K5.5823.23N/AN/A4,18623,37289,97679,342
2016-04-08$32.29$33.0020.4%6.1%22.1%18.9%19.1%4.9%-0.2%-27.2K33.6M-776.3K5.5315.56N/AN/A4,27323,639102,64892,041
2016-04-11$32.48$33.0020.2%6.1%18.6%18.1%20.9%4.7%1.0%555.2K4.5M-653.6K2.2519.04N/AN/A3,8558,68189,18377,660
2016-04-12$32.79$33.0019.5%5.5%19.0%14.8%20.6%4.7%-0.0%1.3M-22.8M-676.7K2.1322.92N/AN/A4,0578,62689,35077,747
2016-04-13$33.48$33.0018.3%5.5%20.4%8.6%19.5%4.4%0.7%2.6M-96.9M-611.5K2.1736.84N/AN/A4,1228,93689,52577,759
2016-04-14$33.60$33.0018.0%5.0%20.1%7.4%18.9%3.9%-1.1%3.1M-107.5M-617.4K2.0813.35N/AN/A4,2258,78989,60877,951
2016-04-15$33.61$33.0017.6%4.9%20.1%5.4%17.8%4.1%-0.4%2.9M-107.9M-622.3K1.9214.98N/AN/A4,6108,87289,79677,995
2016-04-18$33.90$33.0018.1%5.2%20.3%7.7%18.9%5.1%0.1%3.4M-73.4M-618.8K1.1319.72N/AN/A6,3007,12874,79754,305
2016-04-19$34.58$33.0017.4%5.0%21.4%4.3%19.2%3.8%-0.3%4.5M-104.9M-615.4K0.7621.88N/AN/A9,2917,01976,57654,557
2016-04-20$34.70$33.0017.5%5.0%21.3%4.7%18.3%3.8%0.0%5.4M-120.0M-625.0K1.2022.68N/AN/A8,1649,83580,68654,762
2016-04-21$34.63$33.0017.6%5.1%20.9%5.6%18.7%2.7%0.3%5.0M-113.0M-646.6K1.3023.58N/AN/A9,89112,85180,79757,355
2016-04-22$34.54$33.0017.7%5.1%20.3%6.0%18.7%3.3%0.1%4.7M-97.9M-636.1K1.5323.95N/AN/A9,93615,22383,73460,423
2016-04-25$34.35$33.0018.0%5.2%20.5%7.4%18.6%4.3%0.1%3.4M-70.3M-638.8K1.9121.84N/AN/A7,32713,98685,64066,348
2016-04-26$34.52$33.0018.1%5.2%20.1%7.6%18.0%4.3%-0.1%3.9M-91.7M-623.0K1.8013.86N/AN/A7,73113,90482,67264,063
2016-04-27$34.74$33.0017.8%5.1%19.9%6.4%18.0%3.6%0.5%4.5M-104.7M-602.2K1.8238.71N/AN/A6,53511,89183,29764,082
2016-04-28$34.35$33.0018.0%5.2%20.1%7.3%19.2%3.9%-0.1%4.1M-81.7M-607.5K1.8421.96N/AN/A6,09411,22386,63667,002
2016-04-29$34.09$33.0019.7%5.5%19.7%15.5%21.3%5.2%0.4%3.3M-56.7M-607.4K1.8330.67N/AN/A10,45719,10289,26069,548