FEZ Options History — October 2016

In October 2016, FEZ traded between $32.05 and $32.97. ATM implied volatility averaged 18.4%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.2% (HV 20d: 16.2%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.02.

Notable Days

  • 2016-10-17: Highest Volume — 20,481 contracts
  • 2016-10-18: Largest IV drop — 14.6% change
  • 2016-10-17: Highest IV Rank — 25.6%
  • 2016-10-11: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.57$32.05$32.97$32.64$32.60
Max Pain$32.00$32.00$32.00$32.00$32.00
ATM IV18.4%16.5%21.3%19.2%18.3%
Expected Move5.4%4.6%6.3%5.5%6.0%
HV 20d16.2%9.0%21.0%21.0%9.0%
HV 60d14.8%14.2%15.5%15.5%14.2%
IV Rank12.3%3.5%25.6%15.6%11.6%
IV Percentile26.1%2.8%61.9%34.5%25.8%
Term Structure0.6%-2.1%3.8%0.4%0.7%
VWIV20.8%14.1%28.8%22.0%19.2%
Skew 25d5.1%-2.5%9.7%7.4%6.5%
Skew 10d9.4%2.7%20.8%7.3%6.7%
Call IV 25d16.4%11.3%26.0%14.1%14.2%
Put IV 25d21.5%18.9%26.3%21.5%20.7%
Bid-Ask Spread %53.0930.98107.1158.23107.11
Gamma HHI0.180.120.540.140.13
Net GEX-377.5K-12.3M2.3M1.2M1.1M
Net DEX-23.7M-38.7M3.7M-27.0M-26.5M
Net VEX-541.3K-601.3K-471.4K-601.3K-471.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.021.764.884.412.65
Total Volume14,852.66710,61920,48118,92611,139
Total OI98,737.76288,283110,47099,32488,283

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$32.64$32.0019.2%5.5%21.0%15.6%22.0%7.4%0.4%1.2M-27.0M-601.3K4.4158.23N/AN/A3,49615,43053,98345,341
2016-10-04$32.73$32.0019.2%5.5%20.9%15.7%18.9%4.4%0.4%1.7M-33.1M-593.6K2.2435.27N/AN/A3,9768,89053,91145,348
2016-10-05$32.97$32.0016.8%4.6%21.0%4.9%18.1%7.9%1.7%2.3M-37.5M-590.3K2.3350.94N/AN/A3,7388,71353,99745,343
2016-10-06$32.84$32.0017.8%5.2%21.0%9.3%20.3%5.6%1.9%2.3M-38.7M-590.2K2.1530.98N/AN/A4,1378,91354,02145,429
2016-10-07$32.64$32.0018.9%5.1%19.8%14.5%19.3%3.4%1.4%779.0K-29.9M-588.1K1.8034.99N/AN/A5,0109,03354,17547,629
2016-10-10$32.81$32.0018.3%5.4%19.8%11.7%21.7%4.1%-0.0%2.2M-37.9M-582.0K1.7647.02N/AN/A3,8416,77854,53045,196
2016-10-11$32.40$32.0018.4%6.3%18.4%12.2%24.6%5.3%3.8%775.8K-28.8M-556.1K3.7747.82N/AN/A3,18912,01053,65845,195
2016-10-12$32.22$32.0020.8%5.8%18.5%23.3%26.8%-2.5%-0.1%-780.5K-12.6M-557.6K3.4152.96N/AN/A3,44811,76453,65447,546
2016-10-13$32.05$32.0020.2%5.5%18.3%20.3%25.9%3.4%-1.0%-2.3M-3.2M-558.9K3.4956.24N/AN/A3,37611,76853,42947,549
2016-10-14$32.27$32.0019.6%6.0%16.2%17.8%27.0%9.7%2.1%-1.0M-10.2M-541.9K4.8844.94N/AN/A3,44316,79453,38447,639
2016-10-17$32.15$32.0021.3%6.1%16.1%25.6%27.3%8.8%-2.1%-3.8M3.7M-540.9K4.7345.94N/AN/A3,57216,90953,32852,760
2016-10-18$32.52$32.0018.2%5.2%16.6%11.3%28.8%4.3%1.1%-2.5M-16.2M-539.2K3.1844.57N/AN/A4,54114,42853,46552,874
2016-10-19$32.60$32.0016.8%4.8%15.6%4.6%17.1%3.2%1.1%-2.7M-16.8M-529.6K3.1053.57N/AN/A3,98312,33055,53652,867
2016-10-20$32.70$32.0017.9%5.1%14.4%9.8%17.9%4.6%0.5%-3.1M-19.4M-525.8K3.3848.22N/AN/A4,67215,79154,51752,832
2016-10-21$32.57$32.0016.5%4.6%14.3%3.5%16.5%3.8%1.0%-12.3M-17.2M-516.5K3.9248.40N/AN/A3,99615,66155,23255,238
2016-10-24$32.69$32.0017.3%5.0%13.3%7.2%14.1%6.0%-0.5%2.1M-31.8M-496.6K2.2233.10N/AN/A3,7238,28150,25138,259
2016-10-25$32.65$32.0017.6%5.5%13.3%8.4%17.6%4.9%0.4%1.2M-28.0M-499.0K2.3062.01N/AN/A3,4848,02350,66738,503
2016-10-26$32.59$32.0018.4%5.3%12.7%12.2%16.7%5.0%-0.7%1.6M-28.6M-497.0K2.5255.22N/AN/A3,2168,10850,72138,488
2016-10-27$32.64$32.0017.9%5.8%11.1%10.0%19.0%6.5%-0.0%1.9M-29.4M-505.1K2.5460.64N/AN/A3,1648,02750,71938,615
2016-10-28$32.65$32.0017.6%5.1%9.2%8.5%17.6%5.5%1.3%1.4M-28.1M-486.8K2.6196.70N/AN/A3,0778,03450,72338,658
2016-10-31$32.60$32.0018.3%6.0%9.0%11.6%19.2%6.5%0.7%1.1M-26.5M-471.4K2.65107.11N/AN/A3,0488,09149,68238,601