FEZ Options History — April 2017

In April 2017, FEZ traded between $35.52 and $38.28. ATM implied volatility averaged 24.1%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 12.0% (HV 20d: 12.1%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.33.

Notable Days

  • 2017-04-20: Highest Volume — 167,266 contracts
  • 2017-04-24: Largest IV drop — 43.0% change
  • 2017-04-13: Highest IV Rank — 80.1%
  • 2017-04-21: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.45$35.52$38.28$36.19$37.83
Max Pain$34.47$34.00$37.00$37.00$34.00
ATM IV24.1%16.5%32.6%19.9%17.3%
Expected Move6.6%3.7%9.0%4.1%5.3%
HV 20d12.1%6.4%22.0%11.0%21.8%
HV 60d12.2%10.8%15.7%10.9%15.7%
IV Rank45.4%14.7%80.1%28.5%17.8%
IV Percentile72.5%31.3%97.2%68.7%36.9%
Term Structure-0.1%-4.1%4.9%2.6%-1.2%
VWIV25.7%12.4%36.6%14.2%26.4%
Skew 25d5.9%0.5%10.1%3.6%4.5%
Skew 10d13.9%1.9%23.7%9.2%13.5%
Call IV 25d21.8%15.3%30.1%18.3%15.3%
Put IV 25d27.7%19.1%37.0%21.9%19.8%
Bid-Ask Spread %65.2626.5287.6765.8573.58
Gamma HHI0.200.150.270.190.25
Net GEX60.4M31.6M89.5M59.6M89.2M
Net DEX-923.7M-1.51B-467.5M-921.0M-1.35B
Net VEX-4.5M-4.8M-4.1M-4.6M-4.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.183.710.493.56
Total Volume44,283.26314,676167,26647,42723,644
Total OI913,726.737828,774990,848828,774990,848

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$36.19$37.0019.9%4.1%11.0%28.5%14.2%3.6%2.6%59.6M-921.0M-4.6M0.4965.85N/AN/A31,86215,565626,100202,674
2017-04-04$36.24$37.0019.9%4.1%10.7%28.4%14.4%0.5%3.8%60.4M-918.1M-4.6M1.0562.77N/AN/A25,63126,885634,908202,223
2017-04-05$36.02$37.0018.4%3.7%11.0%22.5%12.4%2.5%4.9%58.0M-878.2M-4.6M0.9956.04N/AN/A14,96914,883638,724212,333
2017-04-06$36.13$34.0019.6%6.5%10.1%27.3%23.1%5.5%4.9%60.5M-888.3M-4.6M1.1656.04N/AN/A8,2949,658647,496219,252
2017-04-07$36.07$34.0022.2%6.9%9.5%37.8%27.5%4.7%4.3%57.0M-864.9M-4.7M1.7346.87N/AN/A7,85613,578648,151224,960
2017-04-10$35.89$34.0026.7%7.6%9.7%55.8%29.6%7.1%-0.5%54.2M-799.7M-4.7M1.7678.41N/AN/A10,31418,109648,027224,555
2017-04-11$35.90$34.0028.2%8.1%8.9%62.1%29.9%6.5%-0.9%53.7M-792.2M-4.8M1.1483.90N/AN/A16,73919,129652,570230,028
2017-04-12$35.90$34.0030.0%8.1%7.5%69.5%31.7%9.5%-1.9%53.1M-782.0M-4.7M1.3579.72N/AN/A8,78111,890658,255234,493
2017-04-13$35.62$34.0032.6%8.2%6.4%80.1%32.6%6.3%-4.1%52.3M-711.6M-4.6M1.5179.89N/AN/A5,8388,838660,252236,469
2017-04-17$35.78$34.0031.6%8.9%6.7%75.9%35.3%10.1%-2.2%50.1M-756.1M-4.6M2.4587.67N/AN/A5,31613,000660,135241,665
2017-04-18$35.61$34.0030.8%8.7%6.8%72.5%36.6%8.5%-0.5%39.4M-625.2M-4.6M3.7126.52N/AN/A11,96544,353662,237297,669
2017-04-19$35.52$34.0029.9%8.6%6.8%69.1%32.5%7.7%-1.0%31.6M-467.5M-4.1M0.1829.49N/AN/A80,53614,463594,697305,801
2017-04-20$35.93$34.0030.6%8.9%8.0%71.9%30.6%8.1%-1.3%34.8M-546.5M-4.1M0.3373.97N/AN/A126,09941,167587,402312,584
2017-04-21$35.89$34.0030.6%9.0%8.0%71.9%33.2%8.3%-3.0%38.5M-548.8M-4.5M0.3077.78N/AN/A72,10421,990653,794336,812
2017-04-24$37.96$34.0017.5%4.7%21.6%18.5%18.9%5.7%-0.6%89.5M-1.39B-4.3M0.5770.16N/AN/A29,97017,093651,860313,232
2017-04-25$38.28$34.0016.5%4.8%21.6%14.7%19.3%3.2%-1.6%88.7M-1.51B-4.2M0.5880.21N/AN/A19,19011,051656,135320,157
2017-04-26$37.92$34.0017.8%5.1%22.0%19.9%21.4%4.0%-1.5%87.9M-1.40B-4.3M2.0265.14N/AN/A6,73913,606664,133322,140
2017-04-27$37.85$34.0017.6%5.1%22.0%19.0%18.1%6.0%-1.8%89.0M-1.39B-4.1M0.3945.88N/AN/A14,6235,654662,318325,719
2017-04-28$37.83$34.0017.3%5.3%21.8%17.8%26.4%4.5%-1.2%89.2M-1.35B-4.2M3.5673.58N/AN/A5,18518,459663,381327,467