FEZ Options History — May 2016

In May 2016, FEZ traded between $32.56 and $34.39. ATM implied volatility averaged 23.1%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.5% (HV 20d: 16.6%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2016-05-19: Highest Volume — 46,405 contracts
  • 2016-05-03: Largest IV spike — 16.0% change
  • 2016-05-23: Highest IV Rank — 52.4%
  • 2016-05-05: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.32$32.56$34.39$34.39$33.92
Max Pain$32.69$32.00$33.00$33.00$32.50
ATM IV23.1%19.8%27.2%19.8%23.4%
Expected Move6.9%5.7%7.5%5.7%6.8%
HV 20d16.6%14.1%19.8%19.8%17.1%
HV 60d18.7%17.8%19.9%19.8%17.8%
IV Rank32.6%16.1%52.4%16.1%33.6%
IV Percentile59.8%34.5%86.1%34.5%59.9%
Term Structure1.0%-2.9%4.5%0.4%-2.1%
VWIV24.2%17.4%27.2%21.9%18.9%
Skew 25d5.3%2.2%8.3%6.2%2.2%
Skew 10d11.1%1.3%17.9%13.7%10.2%
Call IV 25d20.6%17.8%25.2%17.8%21.7%
Put IV 25d25.9%23.0%31.5%24.0%23.9%
Bid-Ask Spread %33.1119.4847.3720.8037.95
Gamma HHI0.180.140.230.170.23
Net GEX2.1M-1.5M7.9M2.8M7.9M
Net DEX-7.6M-79.9M110.5M-75.5M-73.3M
Net VEX-607.9K-706.6K-516.7K-644.6K-602.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.162.062.060.42
Total Volume15,286.199,47946,40519,2929,479
Total OI151,171.1990,688191,465163,102104,669

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$34.39$33.0019.8%5.7%19.8%16.1%21.9%6.2%0.4%2.8M-75.5M-644.6K2.0620.80N/AN/A6,31012,98288,55574,547
2016-05-03$33.67$33.0023.0%6.5%19.2%31.7%22.1%5.0%-1.0%1.9M-33.0M-706.6K1.7019.48N/AN/A6,50611,06992,48878,611
2016-05-04$33.19$33.0023.0%6.4%19.6%32.0%23.0%5.1%-0.0%754.7K5.4M-677.9K1.6931.10N/AN/A6,41910,84188,93676,854
2016-05-05$32.94$33.0022.2%7.5%17.8%27.9%24.5%5.5%-0.2%370.6K23.5M-663.0K0.9734.69N/AN/A6,5556,35088,94976,880
2016-05-06$33.21$33.0021.6%7.3%16.9%25.1%24.3%6.6%-0.4%418.5K7.0M-651.4K0.6935.63N/AN/A6,5434,48889,36877,657
2016-05-09$33.23$33.0021.6%7.4%16.8%24.8%24.7%4.5%3.8%348.4K-972.5K-628.3K0.6730.05N/AN/A6,5344,40089,27377,746
2016-05-10$33.58$33.0020.1%6.7%16.9%17.5%23.4%5.6%1.8%963.8K-31.2M-602.1K0.6526.28N/AN/A7,3944,80189,60177,754
2016-05-11$33.28$33.0020.2%7.1%15.6%17.9%26.0%5.2%4.2%451.9K-10.0M-613.7K0.7233.60N/AN/A7,3725,33290,91978,254
2016-05-12$33.12$33.0021.6%7.2%15.6%24.8%26.3%4.8%4.5%221.9K5.0M-604.3K1.1136.43N/AN/A6,9717,71591,05978,884
2016-05-13$32.78$33.0021.8%7.3%15.9%26.0%26.1%4.3%3.5%-1.0M46.2M-592.7K1.2235.55N/AN/A7,3829,03291,12981,260
2016-05-16$33.16$33.0023.9%7.2%16.2%36.3%26.9%5.1%2.9%-402.0K2.6M-569.2K0.6728.46N/AN/A7,4595,02391,20980,908
2016-05-17$32.94$33.0024.2%7.1%14.3%37.8%27.2%4.4%3.5%-1.5M35.6M-551.3K0.6332.37N/AN/A7,0674,41791,43581,028
2016-05-18$32.77$33.0024.9%7.1%14.1%41.2%26.3%4.2%2.2%680.8K49.1M-620.1K0.4747.37N/AN/A7,5293,563109,75881,135
2016-05-19$32.56$33.0025.9%7.4%14.2%46.1%27.1%3.5%2.9%305.0K110.5M-544.6K0.8546.01N/AN/A25,08821,317110,20681,259
2016-05-20$32.85$32.0025.5%7.1%14.8%44.2%26.6%4.1%2.3%2.1M64.3M-545.5K0.4938.77N/AN/A15,2947,42794,21465,426
2016-05-23$32.68$32.0027.2%7.1%14.8%52.4%26.3%6.3%-0.7%1.8M-12.5M-516.7K0.1635.68N/AN/A18,3242,91253,53237,156
2016-05-24$33.40$32.0025.2%7.0%17.0%42.8%24.4%7.2%-2.9%4.2M-45.8M-596.2K0.4032.57N/AN/A7,7543,11263,89737,247
2016-05-25$33.90$32.0025.2%6.8%17.8%42.5%25.3%8.3%-1.9%5.7M-67.7M-617.2K0.4023.42N/AN/A7,3772,97566,55037,613
2016-05-26$34.14$32.0023.3%6.7%17.6%33.2%18.8%6.5%-1.0%7.8M-79.9M-620.7K0.4030.28N/AN/A7,1372,85866,27237,820
2016-05-27$34.06$32.0022.6%6.3%17.4%30.0%17.4%7.6%-0.8%7.6M-79.4M-597.7K0.4438.87N/AN/A6,8943,00866,55637,981
2016-05-31$33.92$32.5023.4%6.8%17.1%33.6%18.9%2.2%-2.1%7.9M-73.3M-602.3K0.4237.95N/AN/A6,6802,79966,55038,119