FEZ Options History — June 2016

In June 2016, FEZ traded between $29.14 and $34.30. ATM implied volatility averaged 29.0%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.3% (HV 20d: 26.6%). Max pain ranged from $32.50 to $33.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.98.

Notable Days

2016-06-10: Highest Volume — 29,913 contracts
2016-06-24: Largest IV spike — 30.6% change
2016-06-17: Highest IV Rank — 100.0%
2016-06-17: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.32	$29.14	$34.30	$33.83	$31.17
Max Pain	$32.98	$32.50	$33.00	$32.50	$33.00
ATM IV	29.0%	21.6%	37.5%	23.4%	27.6%
Expected Move	8.4%	5.6%	11.1%	6.5%	8.1%
HV 20d	26.6%	13.6%	55.4%	15.3%	55.4%
HV 60d	22.0%	16.5%	34.5%	17.8%	34.5%
IV Rank	60.0%	25.2%	100.0%	33.6%	52.8%
IV Percentile	82.1%	49.2%	100.0%	60.3%	85.3%
Term Structure	-1.5%	-4.2%	0.1%	-2.2%	-1.1%
VWIV	30.3%	21.9%	39.0%	22.2%	26.3%
Skew 25d	7.1%	3.4%	11.0%	5.8%	9.2%
Skew 10d	15.5%	5.7%	29.1%	14.4%	23.6%
Call IV 25d	25.7%	17.2%	33.5%	20.0%	23.0%
Put IV 25d	32.8%	24.4%	40.9%	25.8%	32.2%
Bid-Ask Spread %	35.62	19.35	46.95	30.29	45.02
Gamma HHI	0.20	0.16	0.24	0.22	0.20
Net GEX	3.9M	-1.3M	9.0M	7.8M	1.6M
Net DEX	-14.1M	-97.7M	84.8M	-65.7M	37.6M
Net VEX	-555.6K	-666.8K	-409.7K	-577.8K	-462.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.34	2.92	1.04	1.21
Total Volume	14,944.227	8,627	29,913	14,855	16,693
Total OI	126,674.227	104,778	147,158	104,778	138,264

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-06-01	$33.83	$32.50	23.4%	6.5%	15.3%	33.6%	22.2%	5.8%	-2.2%	7.8M	-65.7M	-577.8K	1.04	30.29	N/A	N/A	7,283	7,572	66,610	38,168
2016-06-02	$33.83	$33.00	22.9%	5.6%	14.3%	31.3%	28.4%	4.6%	-2.6%	6.9M	-75.5M	-440.5K	0.72	21.64	N/A	N/A	7,126	5,160	66,937	41,490
2016-06-03	$33.93	$33.00	22.0%	5.7%	14.0%	27.2%	21.9%	3.7%	-0.8%	9.0M	-78.7M	-535.4K	0.81	31.27	N/A	N/A	6,475	5,264	66,973	42,067
2016-06-06	$33.99	$33.00	23.3%	6.4%	13.8%	33.4%	24.6%	7.7%	-0.6%	7.1M	-76.4M	-549.3K	0.52	21.90	N/A	N/A	6,284	3,249	67,068	40,162
2016-06-07	$34.27	$33.00	23.4%	6.2%	14.0%	33.6%	23.1%	9.7%	-0.9%	8.0M	-88.8M	-568.8K	0.56	19.35	N/A	N/A	6,039	3,369	67,077	40,499
2016-06-08	$34.30	$33.00	21.6%	6.2%	13.6%	25.2%	24.6%	6.2%	-0.9%	8.2M	-88.7M	-561.1K	0.47	23.47	N/A	N/A	7,699	3,631	67,141	40,975
2016-06-09	$33.82	$33.00	22.2%	6.6%	14.2%	28.1%	24.1%	5.3%	0.1%	6.9M	-64.5M	-559.2K	0.79	32.03	N/A	N/A	16,558	13,051	66,555	41,286
2016-06-10	$32.61	$33.00	26.5%	7.5%	19.4%	49.1%	26.1%	5.7%	-0.3%	3.1M	-6.0M	-619.3K	0.87	40.53	N/A	N/A	16,018	13,895	76,689	51,282
2016-06-13	$31.93	$33.00	32.2%	9.2%	20.4%	76.8%	29.5%	7.8%	-2.3%	834.3K	22.1M	-586.7K	0.34	32.57	N/A	N/A	9,978	3,398	76,799	52,310
2016-06-14	$31.45	$33.00	33.7%	9.7%	20.4%	84.6%	33.5%	3.4%	-3.3%	-41.9K	43.3M	-534.5K	0.67	30.70	N/A	N/A	7,170	4,824	80,255	52,502
2016-06-15	$31.66	$33.00	30.9%	8.8%	20.6%	70.5%	32.2%	7.3%	-1.4%	1.2M	31.3M	-571.5K	0.54	46.12	N/A	N/A	6,306	3,383	82,509	53,283
2016-06-16	$32.01	$33.00	33.9%	9.8%	21.0%	85.2%	35.1%	7.1%	-2.8%	1.8M	19.8M	-565.3K	0.65	39.05	N/A	N/A	5,759	3,758	82,823	53,519
2016-06-17	$31.48	$33.00	37.5%	11.1%	21.7%	100.0%	36.1%	7.4%	-4.2%	2.6M	15.8M	-617.9K	0.88	30.43	N/A	N/A	8,152	7,189	82,935	53,986
2016-06-20	$32.22	$33.00	34.5%	10.1%	23.2%	85.4%	35.1%	7.7%	-1.8%	4.6M	-35.6M	-651.8K	0.95	37.76	N/A	N/A	4,434	4,193	79,334	50,440
2016-06-21	$32.63	$33.00	32.1%	9.6%	23.6%	74.3%	38.1%	11.0%	-1.3%	5.1M	-43.3M	-642.1K	2.92	37.14	N/A	N/A	4,125	12,057	80,021	50,569
2016-06-22	$32.67	$33.00	33.0%	10.7%	22.2%	78.4%	39.0%	7.3%	-1.4%	4.8M	-49.3M	-666.8K	1.76	45.64	N/A	N/A	5,989	10,552	80,912	53,180
2016-06-23	$33.90	$33.00	25.8%	8.2%	25.4%	44.2%	30.5%	9.8%	-0.9%	6.7M	-97.7M	-664.1K	1.32	45.61	N/A	N/A	9,037	11,952	83,547	58,503
2016-06-24	$29.80	$33.00	33.7%	10.1%	52.2%	81.8%	36.7%	8.9%	-1.1%	390.1K	84.8M	-475.0K	2.01	39.52	N/A	N/A	6,507	13,061	86,116	61,042
2016-06-27	$29.14	$33.00	35.4%	10.5%	52.4%	90.1%	36.9%	8.3%	-1.3%	-1.3M	84.6M	-409.7K	1.19	46.95	N/A	N/A	7,192	8,535	81,938	54,511
2016-06-28	$29.96	$33.00	32.0%	9.8%	53.9%	73.5%	32.5%	5.9%	-0.8%	-588.7K	65.6M	-479.4K	0.64	40.02	N/A	N/A	7,613	4,901	83,003	54,532
2016-06-29	$30.53	$33.00	29.3%	8.4%	54.6%	61.1%	31.1%	6.1%	-1.1%	338.4K	54.2M	-484.9K	0.75	46.58	N/A	N/A	7,620	5,722	84,269	54,752
2016-06-30	$31.17	$33.00	27.6%	8.1%	55.4%	52.8%	26.3%	9.2%	-1.1%	1.6M	37.6M	-462.0K	1.21	45.02	N/A	N/A	7,542	9,151	83,837	54,427