FEZ Options History — July 2017

In July 2017, FEZ traded between $38.38 and $39.75. ATM implied volatility averaged 12.4%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.0% (HV 20d: 10.4%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2017-07-12: Highest Volume — 35,157 contracts
  • 2017-07-27: Largest IV spike — 14.2% change
  • 2017-07-06: Highest IV Rank — 12.3%
  • 2017-07-06: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.19$38.38$39.75$38.55$39.75
Max Pain$38.10$38.00$39.00$39.00$38.00
ATM IV12.4%10.7%14.3%14.1%12.3%
Expected Move3.5%3.0%4.4%4.0%3.3%
HV 20d10.4%6.9%11.8%11.6%6.9%
HV 60d14.8%11.5%17.0%17.0%11.5%
IV Rank5.3%0.0%12.3%11.5%7.2%
IV Percentile6.3%0.0%23.4%19.8%6.3%
Term Structure0.3%-0.7%1.6%-0.2%0.2%
VWIV13.3%10.5%18.7%15.4%12.5%
Skew 25d3.0%1.4%4.6%4.2%3.6%
Skew 10d8.1%5.7%10.1%9.9%8.3%
Call IV 25d11.1%9.8%13.4%11.9%10.2%
Put IV 25d14.1%12.4%16.9%16.2%13.7%
Bid-Ask Spread %30.678.00113.1475.0430.45
Gamma HHI0.200.170.230.210.21
Net GEX41.6M26.6M55.5M27.9M43.3M
Net DEX-284.9M-370.9M-158.8M-189.9M-353.9M
Net VEX-2.6M-2.8M-2.5M-2.8M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.193.820.822.57
Total Volume17,056.39,97335,15712,65314,830
Total OI464,641.95452,934475,636456,095473,952

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$38.55$39.0014.1%4.0%11.6%11.5%15.4%4.2%-0.2%27.9M-189.9M-2.8M0.8275.04N/AN/A6,9435,710280,906175,189
2017-07-05$38.54$39.0014.0%4.2%11.5%11.1%15.8%1.4%-0.5%34.5M-204.1M-2.8M1.05113.14N/AN/A5,4245,700280,386176,375
2017-07-06$38.38$38.0014.3%4.4%11.5%12.3%18.7%3.6%-0.0%26.6M-158.8M-2.7M1.7727.52N/AN/A5,5109,780280,568176,380
2017-07-07$38.58$38.0013.9%3.8%11.7%10.6%18.6%2.1%0.2%31.6M-191.0M-2.7M1.0612.37N/AN/A5,1425,451280,563172,441
2017-07-10$38.66$38.0013.3%3.7%11.8%7.7%16.0%3.5%-0.4%33.4M-201.4M-2.6M1.129.94N/AN/A4,9105,495280,505172,429
2017-07-11$38.83$38.0013.1%3.8%11.6%6.4%14.2%2.3%0.1%35.9M-223.2M-2.6M0.2514.34N/AN/A22,0285,547280,723172,694
2017-07-12$39.17$38.0012.2%3.6%11.7%2.3%12.3%3.0%0.3%44.8M-296.8M-2.7M0.1915.08N/AN/A29,4515,706294,055172,878
2017-07-13$39.24$38.0012.0%3.5%11.7%1.6%12.7%2.8%0.3%47.4M-308.9M-2.7M0.9012.09N/AN/A6,5265,903298,937173,639
2017-07-14$39.48$38.0011.6%3.6%10.7%0.0%12.2%1.6%0.9%43.9M-322.7M-2.7M0.9712.51N/AN/A5,6535,486289,103173,965
2017-07-17$39.29$38.0011.7%3.4%10.5%0.2%12.3%2.8%-0.1%47.4M-295.4M-2.6M1.108.44N/AN/A5,1425,634288,889173,875
2017-07-18$39.21$38.0012.0%3.4%10.2%1.6%10.5%3.1%0.8%45.6M-280.6M-2.6M0.358.00N/AN/A23,1108,050288,994174,079
2017-07-19$39.33$38.0011.8%3.4%9.3%0.6%11.9%2.9%-0.2%53.9M-319.0M-2.5M0.639.55N/AN/A11,1847,056301,030174,421
2017-07-20$39.63$38.0010.7%3.0%9.6%0.0%11.6%2.7%0.9%55.5M-370.9M-2.6M0.4614.21N/AN/A16,4057,483301,222174,414
2017-07-21$39.32$38.0011.9%3.4%10.1%5.5%13.2%3.1%-0.7%41.3M-302.7M-2.6M0.6811.46N/AN/A14,83610,087296,288175,271
2017-07-24$39.31$38.0012.0%3.3%10.1%6.0%12.7%3.1%0.4%42.9M-292.1M-2.6M0.7765.17N/AN/A8,9966,971289,808175,463
2017-07-25$39.41$38.0012.3%3.2%10.0%7.2%12.3%4.6%0.9%43.4M-321.2M-2.5M2.2430.87N/AN/A3,3207,433290,073175,972
2017-07-26$39.70$38.0010.9%3.2%10.2%0.8%10.6%2.1%0.2%43.7M-360.2M-2.5M2.0489.04N/AN/A3,2806,693290,468177,156
2017-07-27$39.62$38.0012.4%3.3%9.8%7.9%11.8%3.9%1.6%44.9M-348.4M-2.5M3.8221.09N/AN/A3,32312,700290,431177,484
2017-07-28$39.72$38.0011.9%3.3%7.1%5.3%11.3%3.1%0.3%44.0M-356.5M-2.5M2.2833.07N/AN/A5,55512,673290,506181,307
2017-07-31$39.75$38.0012.3%3.3%6.9%7.2%12.5%3.6%0.2%43.3M-353.9M-2.5M2.5730.45N/AN/A4,15510,675290,536183,416