FEZ Options History — March 2017

In March 2017, FEZ traded between $34.58 and $36.53. ATM implied volatility averaged 16.2%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.2% (HV 20d: 13.0%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.74.

Notable Days

2017-03-21: Highest Volume — 105,072 contracts
2017-03-02: Largest IV spike — 22.0% change
2017-03-31: Highest IV Rank — 24.9%
2017-03-24: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.66	$34.58	$36.53	$34.85	$36.38
Max Pain	$36.35	$34.00	$37.00	$34.00	$37.00
ATM IV	16.2%	13.4%	19.1%	13.7%	19.1%
Expected Move	4.2%	3.4%	4.6%	3.4%	3.9%
HV 20d	13.0%	10.9%	14.5%	10.9%	11.0%
HV 60d	11.2%	10.6%	12.1%	12.0%	11.0%
IV Rank	13.2%	1.9%	24.9%	3.2%	24.9%
IV Percentile	28.2%	2.8%	57.5%	6.3%	57.5%
Term Structure	0.6%	-3.2%	4.3%	0.7%	-0.1%
VWIV	13.8%	10.0%	16.3%	14.4%	13.5%
Skew 25d	4.0%	-2.2%	9.1%	1.7%	3.3%
Skew 10d	10.1%	-1.0%	18.4%	8.0%	6.1%
Call IV 25d	14.9%	10.9%	18.3%	14.7%	17.9%
Put IV 25d	18.9%	15.2%	21.7%	16.4%	21.1%
Bid-Ask Spread %	55.13	23.38	76.66	65.59	23.38
Gamma HHI	0.21	0.18	0.24	0.22	0.19
Net GEX	42.2M	24.8M	59.8M	24.8M	59.8M
Net DEX	-723.9M	-998.3M	-452.8M	-464.0M	-984.0M
Net VEX	-4.3M	-4.9M	-3.9M	-3.9M	-4.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.07	3.01	0.07	0.40
Total Volume	45,126	14,361	105,072	78,264	31,153
Total OI	708,768.391	587,086	828,456	587,086	828,456

Daily Data (23 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
2017-03-01	$34.85	$34.00	13.7%	3.4%	10.9%	3.2%	14.4%	1.7%	0.7%	24.8M	-464.0M	-3.9M	0.07	65.59	N/A	N/A	73,302	4,962	399,267	187,819
2017-03-02	$34.58	$34.00	16.7%	4.1%	11.3%	15.4%	12.1%	-0.1%	0.5%	25.6M	-468.6M	-3.9M	0.14	51.98	N/A	N/A	48,636	7,049	409,621	185,412
2017-03-03	$35.19	$34.00	13.4%	3.4%	12.8%	1.9%	15.8%	6.1%	2.2%	29.0M	-544.6M	-4.0M	0.31	64.84	N/A	N/A	51,895	15,926	411,346	187,757
2017-03-06	$34.97	$34.00	15.5%	4.5%	12.9%	10.4%	16.3%	8.0%	-0.0%	29.6M	-525.1M	-3.9M	3.01	64.12	N/A	N/A	6,475	19,503	410,788	188,036
2017-03-07	$34.82	$34.00	16.0%	4.4%	11.7%	12.4%	10.0%	5.3%	-0.3%	26.9M	-491.6M	-4.0M	0.67	57.43	N/A	N/A	28,413	19,166	410,849	207,276
2017-03-08	$34.71	$37.00	16.5%	4.1%	11.6%	14.4%	10.9%	9.1%	-0.4%	26.6M	-452.8M	-4.0M	0.82	57.62	N/A	N/A	24,377	19,990	433,666	214,694
2017-03-09	$35.17	$37.00	15.5%	4.5%	12.3%	10.7%	11.9%	5.0%	0.3%	31.3M	-544.8M	-4.1M	2.67	57.69	N/A	N/A	8,899	23,771	439,537	215,388
2017-03-10	$35.55	$37.00	15.5%	4.2%	12.6%	10.3%	11.8%	5.1%	-0.5%	33.6M	-600.3M	-4.1M	0.85	52.94	N/A	N/A	9,268	7,893	441,005	219,704
2017-03-13	$35.51	$37.00	16.4%	4.1%	12.5%	14.1%	15.2%	3.7%	-2.7%	33.8M	-601.8M	-4.1M	0.58	61.36	N/A	N/A	9,115	5,246	442,231	218,520
2017-03-14	$35.15	$37.00	15.8%	4.4%	13.2%	11.6%	12.5%	4.6%	-0.1%	33.1M	-544.8M	-4.0M	0.15	59.42	N/A	N/A	70,513	10,827	442,545	218,757
2017-03-15	$35.64	$37.00	16.2%	4.5%	13.9%	13.5%	12.3%	3.7%	-3.2%	44.8M	-701.2M	-4.4M	0.26	69.36	N/A	N/A	40,683	10,532	504,398	222,750
2017-03-16	$36.10	$37.00	15.3%	4.1%	14.4%	9.5%	14.0%	2.9%	-1.3%	43.9M	-794.9M	-4.3M	0.40	53.76	N/A	N/A	46,390	18,655	504,614	222,656
2017-03-17	$36.01	$37.00	15.1%	4.6%	14.5%	8.8%	15.0%	6.1%	1.3%	44.6M	-808.4M	-4.3M	0.54	68.40	N/A	N/A	40,951	22,299	510,351	228,419
2017-03-20	$35.92	$37.00	14.3%	4.1%	14.4%	5.5%	13.1%	4.7%	3.4%	45.1M	-782.8M	-4.3M	0.40	51.99	N/A	N/A	41,428	16,557	510,302	182,532
2017-03-21	$35.94	$37.00	15.3%	4.3%	14.4%	9.9%	14.7%	3.0%	2.3%	45.8M	-789.8M	-4.3M	0.13	66.12	N/A	N/A	93,131	11,941	510,810	184,341
2017-03-22	$35.99	$37.00	14.5%	4.2%	14.4%	6.5%	13.1%	-2.2%	3.7%	53.5M	-871.7M	-4.7M	0.76	76.66	N/A	N/A	12,797	9,711	593,153	187,357
2017-03-23	$36.06	$37.00	15.8%	4.3%	14.3%	11.9%	13.4%	5.0%	4.3%	53.3M	-907.5M	-4.7M	0.84	40.62	N/A	N/A	22,166	18,519	593,391	187,584
2017-03-24	$36.17	$37.00	17.1%	4.6%	13.8%	17.0%	16.0%	4.0%	2.9%	54.2M	-905.5M	-4.9M	1.02	52.01	N/A	N/A	10,558	10,806	604,672	196,470
2017-03-27	$36.40	$37.00	18.8%	4.2%	13.8%	23.8%	16.1%	3.4%	-0.5%	55.3M	-943.4M	-4.7M	1.23	28.75	N/A	N/A	8,960	10,979	602,461	199,340
2017-03-28	$36.53	$37.00	18.1%	4.0%	13.7%	21.0%	14.8%	3.2%	0.3%	57.2M	-998.3M	-4.6M	0.99	44.12	N/A	N/A	16,394	16,206	602,760	200,209
2017-03-29	$36.45	$37.00	18.5%	4.1%	12.5%	22.7%	14.7%	3.0%	0.5%	59.5M	-972.8M	-4.6M	0.43	56.70	N/A	N/A	21,854	9,375	611,369	201,445
2017-03-30	$36.20	$37.00	19.0%	4.1%	12.4%	24.8%	15.1%	3.2%	0.1%	59.7M	-950.1M	-4.8M	0.39	43.08	N/A	N/A	22,000	8,627	626,048	201,567
2017-03-31	$36.38	$37.00	19.1%	3.9%	11.0%	24.9%	13.5%	3.3%	-0.1%	59.8M	-984.0M	-4.7M	0.40	23.38	N/A	N/A	22,271	8,882	626,512	201,944