FEZ Options History — December 2016

In December 2016, FEZ traded between $31.26 and $33.49. ATM implied volatility averaged 15.0%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 1.4% (HV 20d: 16.4%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.22.

Notable Days

  • 2016-12-15: Highest Volume — 23,218 contracts
  • 2016-12-05: Largest IV drop — 17.8% change
  • 2016-12-02: Highest IV Rank — 21.4%
  • 2016-12-02: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.84$31.26$33.49$31.26$33.49
Max Pain$31.10$31.00$32.00$32.00$31.00
ATM IV15.0%12.9%20.4%19.5%15.7%
Expected Move4.4%3.2%7.5%7.1%4.2%
HV 20d16.4%14.3%18.6%14.4%15.0%
HV 60d14.6%13.2%15.8%15.3%13.3%
IV Rank5.1%0.0%21.4%17.2%11.3%
IV Percentile6.5%0.0%55.2%41.7%6.7%
Term Structure0.5%-2.1%3.3%-2.1%-0.9%
VWIV16.2%12.1%24.5%24.3%15.3%
Skew 25d5.0%1.6%10.8%10.8%6.7%
Skew 10d5.9%-0.7%11.2%7.3%4.5%
Call IV 25d12.7%8.7%14.2%12.8%11.9%
Put IV 25d17.7%14.4%24.3%23.5%18.5%
Bid-Ask Spread %43.7624.6977.4658.4343.75
Gamma HHI0.180.130.380.130.17
Net GEX4.0M-48.9K9.8M-48.9K3.0M
Net DEX-65.9M-96.6M-14.5M-14.9M-66.1M
Net VEX-476.7K-509.6K-447.1K-473.3K-477.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.455.210.573.69
Total Volume14,266.3819,86723,21812,88512,097
Total OI92,030.28684,366105,92484,36687,139

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$31.26$32.0019.5%7.1%14.4%17.2%24.3%10.8%-2.1%-48.9K-14.9M-473.3K0.5758.43N/AN/A8,2304,65547,09637,270
2016-12-02$31.29$32.0020.4%7.5%14.3%21.4%24.5%10.4%-0.9%990.0K-14.5M-482.9K0.4537.26N/AN/A14,6616,57450,73638,527
2016-12-05$32.03$31.0016.8%4.6%16.5%4.7%16.9%8.4%-0.6%6.2M-49.6M-493.2K0.7440.81N/AN/A5,6744,19357,57038,228
2016-12-06$32.51$31.0014.3%3.2%16.3%0.0%15.1%6.4%0.9%5.5M-70.6M-466.0K0.6635.06N/AN/A6,6104,38557,79038,354
2016-12-07$33.17$31.0014.0%4.2%17.6%0.0%15.2%10.1%-0.1%5.3M-96.6M-455.1K0.7337.48N/AN/A7,1615,23858,14738,378
2016-12-08$32.97$31.0013.9%4.0%17.8%0.0%15.4%5.2%0.6%6.6M-94.9M-447.1K1.5140.16N/AN/A7,34811,11558,83438,811
2016-12-09$32.98$31.0014.1%4.2%17.5%0.7%19.7%2.0%0.6%4.1M-91.5M-470.5K1.4334.85N/AN/A5,7838,25459,36841,306
2016-12-12$33.02$31.0014.6%4.2%17.1%3.0%20.5%5.8%0.1%4.1M-82.1M-466.0K1.6226.38N/AN/A4,7777,72655,69138,596
2016-12-13$33.49$31.0014.1%4.6%17.3%0.7%17.0%4.8%2.4%5.1M-92.0M-462.1K1.0931.17N/AN/A5,4595,96155,73638,611
2016-12-14$32.93$31.0014.7%4.9%18.6%3.2%17.7%2.2%2.4%4.3M-85.0M-459.5K2.1536.89N/AN/A4,6279,92856,47038,740
2016-12-15$32.91$31.0014.5%4.3%17.6%2.6%14.7%2.2%0.5%5.2M-79.4M-489.1K1.0824.69N/AN/A11,18712,03157,18343,229
2016-12-16$32.92$31.0014.5%4.0%17.6%2.6%14.8%4.9%-0.2%9.8M-76.9M-509.6K1.1433.20N/AN/A10,53512,03460,59445,330
2016-12-19$32.86$31.0012.9%3.6%16.8%0.0%13.9%3.2%3.3%2.9M-55.3M-479.4K2.5971.86N/AN/A3,7339,67745,70439,190
2016-12-20$33.04$31.0013.5%3.8%16.7%2.2%13.3%3.3%1.3%3.4M-58.5M-482.9K5.2145.72N/AN/A2,60813,59446,20139,211
2016-12-21$33.12$31.0013.8%4.0%16.7%3.7%14.3%2.7%0.5%3.1M-59.1M-492.3K3.6677.46N/AN/A2,6049,53746,24341,395
2016-12-22$33.10$31.0013.8%3.9%15.9%3.5%13.2%1.6%1.0%2.9M-59.4M-490.0K3.9939.61N/AN/A2,3869,51946,24841,435
2016-12-23$33.20$31.0013.9%4.0%15.9%3.9%12.1%3.3%-0.2%2.8M-63.1M-475.8K4.3132.40N/AN/A2,32710,03646,24541,448
2016-12-27$33.24$31.0015.6%4.2%14.9%10.8%14.5%1.9%0.6%2.8M-61.7M-472.9K3.4553.20N/AN/A2,7529,50445,20741,605
2016-12-28$32.98$31.0014.5%4.0%15.1%6.4%15.6%2.9%1.1%2.9M-54.1M-484.3K4.0768.67N/AN/A2,3239,46445,73141,623
2016-12-29$33.22$31.0015.4%4.3%15.2%10.2%13.4%5.7%0.4%3.1M-58.4M-480.8K2.4849.92N/AN/A3,8239,46445,78041,636
2016-12-30$33.49$31.0015.7%4.2%15.0%11.3%15.3%6.7%-0.9%3.0M-66.1M-477.9K3.6943.75N/AN/A2,5789,51945,51341,626