FEZ Options History — July 2016

In July 2016, FEZ traded between $29.85 and $32.55. ATM implied volatility averaged 22.0%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 24.8% (HV 20d: 46.9%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.95.

Notable Days

2016-07-06: Highest Volume — 21,124 contracts
2016-07-25: Largest IV spike — 18.1% change
2016-07-06: Highest IV Rank — 62.8%
2016-07-06: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.44	$29.85	$32.55	$31.18	$32.55
Max Pain	$33.00	$33.00	$33.00	$33.00	$33.00
ATM IV	22.0%	17.2%	29.7%	25.9%	18.3%
Expected Move	6.2%	4.9%	7.9%	7.9%	5.2%
HV 20d	46.9%	18.9%	56.7%	55.4%	18.9%
HV 60d	34.7%	34.2%	35.0%	34.2%	34.5%
IV Rank	26.2%	3.4%	62.8%	44.5%	8.6%
IV Percentile	47.1%	3.2%	91.7%	78.6%	17.5%
Term Structure	-0.4%	-2.9%	2.6%	0.2%	0.6%
VWIV	22.1%	18.1%	27.4%	25.7%	18.1%
Skew 25d	4.9%	3.1%	7.0%	3.5%	4.4%
Skew 10d	11.1%	4.0%	18.6%	13.4%	12.2%
Call IV 25d	19.6%	15.7%	26.1%	25.2%	15.7%
Put IV 25d	24.5%	20.1%	32.5%	28.7%	20.1%
Bid-Ask Spread %	32.78	19.43	55.41	44.20	48.62
Gamma HHI	0.17	0.15	0.21	0.19	0.17
Net GEX	1.7M	-2.2M	6.5M	1.7M	2.9M
Net DEX	-208.8K	-51.9M	71.7M	42.7M	-51.9M
Net VEX	-659.4K	-729.8K	-458.2K	-516.6K	-684.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.33	1.50	1.19	1.23
Total Volume	13,174.05	9,831	21,124	17,292	16,509
Total OI	128,673.25	101,070	158,520	142,980	111,054

Daily Data (20 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
2016-07-01	$31.18	$33.00	25.9%	7.9%	55.4%	44.5%	25.7%	3.5%	0.2%	1.7M	42.7M	-516.6K	1.19	44.20	N/A	N/A	7,894	9,398	83,845	59,135
2016-07-05	$30.21	$33.00	28.9%	7.6%	56.1%	58.7%	26.8%	5.7%	-2.7%	-1.1M	64.7M	-458.2K	0.54	42.13	N/A	N/A	8,498	4,594	78,427	57,545
2016-07-06	$30.05	$33.00	29.7%	7.9%	55.9%	62.8%	26.9%	7.0%	-0.8%	-2.2M	71.7M	-473.2K	0.33	44.24	N/A	N/A	15,938	5,186	82,619	57,903
2016-07-07	$29.85	$33.00	28.0%	7.6%	55.8%	54.4%	26.0%	5.9%	-1.3%	-1.8M	59.1M	-626.8K	0.65	38.31	N/A	N/A	7,828	5,112	92,655	58,934
2016-07-08	$30.54	$33.00	26.5%	6.9%	56.7%	47.6%	27.4%	6.5%	-1.3%	-1.3M	43.6M	-680.0K	1.13	27.00	N/A	N/A	6,412	7,266	96,304	59,028
2016-07-11	$30.96	$33.00	23.8%	6.7%	55.8%	34.8%	26.4%	6.1%	-0.5%	35.6K	29.1M	-690.0K	0.97	21.76	N/A	N/A	6,727	6,537	96,440	60,223
2016-07-12	$31.56	$33.00	22.8%	5.8%	55.9%	30.1%	21.0%	5.0%	-2.9%	3.4M	7.3M	-717.3K	1.01	31.81	N/A	N/A	5,606	5,644	97,231	60,370
2016-07-13	$31.64	$33.00	22.4%	5.9%	55.6%	27.9%	20.2%	6.1%	-2.0%	3.3M	9.3M	-715.0K	1.03	27.69	N/A	N/A	4,849	4,982	97,179	60,474
2016-07-14	$32.02	$33.00	21.2%	5.8%	55.7%	22.4%	20.7%	3.8%	-1.3%	6.5M	-5.5M	-729.8K	1.00	23.95	N/A	N/A	5,277	5,256	97,270	60,579
2016-07-15	$31.84	$33.00	19.9%	5.8%	55.6%	16.2%	21.4%	4.0%	1.3%	2.5M	7.3M	-706.0K	1.01	27.09	N/A	N/A	5,122	5,156	97,787	60,733
2016-07-18	$31.76	$33.00	19.7%	5.5%	55.3%	14.9%	20.7%	6.4%	1.8%	2.1M	-30.0M	-694.9K	1.50	33.67	N/A	N/A	4,677	7,019	63,164	37,906
2016-07-19	$31.41	$33.00	20.2%	5.8%	54.8%	17.5%	21.3%	4.3%	0.0%	1.2M	-20.5M	-691.2K	1.00	27.11	N/A	N/A	6,871	6,887	63,423	40,726
2016-07-20	$31.76	$33.00	18.5%	5.3%	54.7%	9.6%	20.5%	3.4%	-1.1%	1.8M	-28.3M	-694.5K	1.01	23.27	N/A	N/A	6,736	6,815	64,518	40,792
2016-07-21	$31.72	$33.00	19.9%	5.7%	54.7%	16.1%	20.5%	4.2%	-0.0%	2.1M	-28.9M	-688.2K	0.73	34.98	N/A	N/A	6,672	4,903	64,460	40,804
2016-07-22	$31.76	$33.00	17.2%	4.9%	52.8%	3.4%	20.1%	3.1%	-0.3%	2.3M	-31.6M	-694.3K	0.76	23.88	N/A	N/A	6,463	4,934	64,584	41,122
2016-07-25	$31.74	$33.00	20.3%	6.0%	24.3%	18.2%	21.1%	5.7%	-1.0%	2.0M	-29.9M	-681.8K	0.78	19.43	N/A	N/A	6,366	4,955	64,568	41,034
2016-07-26	$31.88	$33.00	18.2%	5.5%	22.3%	8.1%	18.5%	5.4%	2.6%	2.4M	-30.8M	-682.5K	0.73	29.22	N/A	N/A	6,682	4,887	64,812	41,091
2016-07-27	$32.15	$33.00	19.7%	5.9%	20.6%	15.0%	19.1%	4.5%	0.5%	3.0M	-35.7M	-686.2K	1.04	55.41	N/A	N/A	6,604	6,852	64,903	41,092
2016-07-28	$32.22	$33.00	19.3%	5.4%	19.8%	13.4%	18.9%	3.2%	1.1%	3.2M	-45.9M	-677.4K	1.45	31.94	N/A	N/A	6,266	9,101	65,601	43,130
2016-07-29	$32.55	$33.00	18.3%	5.2%	18.9%	8.6%	18.1%	4.4%	0.6%	2.9M	-51.9M	-684.3K	1.23	48.62	N/A	N/A	7,419	9,090	65,607	45,447