FEZ Options History — August 2017

In August 2017, FEZ traded between $39.22 and $40.28. ATM implied volatility averaged 12.8%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.9% (HV 20d: 9.0%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.85.

Notable Days

2017-08-15: Highest Volume — 24,650 contracts
2017-08-10: Largest IV spike — 24.4% change
2017-08-11: Highest IV Rank — 22.1%
2017-08-11: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.75	$39.22	$40.28	$39.99	$39.74
Max Pain	$38.70	$38.00	$40.00	$38.00	$38.00
ATM IV	12.8%	10.4%	15.4%	11.0%	13.2%
Expected Move	3.7%	2.9%	4.5%	2.9%	3.5%
HV 20d	9.0%	6.7%	10.4%	7.1%	10.4%
HV 60d	10.3%	9.8%	11.1%	11.1%	9.9%
IV Rank	10.6%	0.0%	22.1%	1.3%	12.2%
IV Percentile	16.6%	0.0%	44.4%	0.8%	17.1%
Term Structure	0.2%	-1.7%	1.3%	0.1%	-0.0%
VWIV	14.7%	10.5%	18.7%	10.6%	12.4%
Skew 25d	4.1%	2.2%	5.7%	3.0%	4.6%
Skew 10d	9.2%	5.5%	12.8%	5.6%	12.8%
Call IV 25d	11.1%	9.5%	12.6%	9.8%	10.9%
Put IV 25d	15.2%	12.2%	17.8%	12.8%	15.5%
Bid-Ask Spread %	24.43	7.39	69.32	16.84	10.01
Gamma HHI	0.21	0.14	0.39	0.19	0.19
Net GEX	31.8M	10.6M	60.6M	46.0M	17.5M
Net DEX	-289.5M	-463.2M	-123.6M	-402.7M	-162.9M
Net VEX	-2.3M	-2.4M	-2.1M	-2.4M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.85	0.80	2.53	2.16	1.80
Total Volume	16,928.174	13,080	24,650	13,269	15,546
Total OI	412,171.739	298,749	494,876	470,670	311,530

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
2017-08-01	$39.99	$38.00	11.0%	2.9%	7.1%	1.3%	10.6%	3.0%	0.1%	46.0M	-402.7M	-2.4M	2.16	16.84	N/A	N/A	4,193	9,076	290,513	180,157
2017-08-02	$39.99	$38.00	11.1%	3.0%	7.1%	1.9%	10.5%	3.0%	0.0%	43.9M	-405.8M	-2.3M	2.08	10.69	N/A	N/A	4,252	8,828	290,281	180,150
2017-08-03	$40.11	$39.00	11.4%	3.4%	6.7%	3.0%	12.2%	2.9%	0.2%	46.8M	-422.4M	-2.4M	2.23	38.38	N/A	N/A	5,134	11,449	290,493	180,179
2017-08-04	$40.28	$40.00	10.4%	3.4%	6.7%	0.0%	12.2%	2.8%	0.4%	46.3M	-452.5M	-2.3M	2.53	25.40	N/A	N/A	4,973	12,565	290,712	181,966
2017-08-07	$40.28	$40.00	10.8%	3.3%	6.7%	1.4%	11.6%	2.2%	1.2%	45.8M	-463.2M	-2.2M	1.56	18.14	N/A	N/A	5,571	8,699	290,481	181,659
2017-08-08	$40.08	$40.00	11.8%	3.4%	7.1%	6.3%	13.9%	3.9%	-0.0%	40.3M	-421.3M	-2.3M	1.14	24.22	N/A	N/A	7,243	8,264	291,396	182,322
2017-08-09	$39.83	$40.00	11.9%	3.4%	7.1%	6.4%	15.2%	3.2%	0.1%	44.9M	-374.5M	-2.3M	2.14	35.21	N/A	N/A	5,310	11,368	292,399	185,814
2017-08-10	$39.22	$40.00	14.8%	4.3%	9.1%	19.4%	16.8%	4.6%	0.7%	45.5M	-262.1M	-2.4M	2.19	38.75	N/A	N/A	5,926	12,971	292,699	187,997
2017-08-11	$39.25	$39.00	15.4%	4.5%	8.9%	22.1%	18.7%	5.1%	0.1%	42.9M	-255.7M	-2.4M	1.93	32.08	N/A	N/A	6,301	12,165	293,910	189,382
2017-08-14	$39.62	$39.00	12.9%	3.7%	9.3%	10.9%	17.8%	4.5%	1.3%	47.2M	-346.1M	-2.3M	1.87	18.69	N/A	N/A	6,226	11,660	295,012	192,025
2017-08-15	$39.68	$39.00	12.3%	3.5%	9.3%	8.6%	18.3%	4.2%	1.1%	44.7M	-378.7M	-2.2M	0.80	20.89	N/A	N/A	13,675	10,975	295,582	192,004
2017-08-16	$39.85	$39.00	11.6%	3.3%	9.3%	5.3%	14.9%	3.2%	0.3%	33.4M	-416.1M	-2.2M	1.47	16.59	N/A	N/A	6,849	10,038	296,962	192,566
2017-08-17	$39.32	$39.00	14.2%	4.1%	10.2%	16.8%	16.7%	4.5%	-1.7%	60.6M	-314.5M	-2.2M	1.77	30.65	N/A	N/A	7,366	13,054	297,288	192,976
2017-08-18	$39.50	$38.00	14.9%	4.3%	9.9%	20.2%	17.2%	4.5%	-1.0%	16.6M	-365.2M	-2.3M	2.07	24.14	N/A	N/A	6,774	14,022	299,077	195,799
2017-08-21	$39.37	$38.00	14.0%	4.0%	10.0%	15.8%	17.6%	4.8%	-0.1%	10.6M	-123.6M	-2.2M	2.22	11.86	N/A	N/A	5,603	12,412	145,786	152,963
2017-08-22	$39.65	$38.00	13.2%	3.8%	10.3%	12.5%	16.4%	4.0%	0.4%	12.7M	-148.0M	-2.2M	2.11	9.10	N/A	N/A	5,422	11,460	146,436	155,492
2017-08-23	$39.67	$38.00	13.8%	3.9%	10.0%	14.9%	15.9%	4.2%	-0.1%	13.4M	-146.2M	-2.2M	1.50	13.62	N/A	N/A	7,160	10,755	147,006	157,981
2017-08-24	$39.63	$38.00	13.5%	3.8%	9.9%	13.9%	18.3%	5.2%	0.5%	13.1M	-149.3M	-2.2M	1.91	16.38	N/A	N/A	5,705	10,877	148,223	158,446
2017-08-25	$39.94	$38.00	12.5%	3.4%	10.3%	9.3%	13.2%	4.1%	0.8%	14.6M	-177.1M	-2.2M	2.36	26.99	N/A	N/A	4,346	10,272	148,439	159,005
2017-08-28	$39.89	$38.00	12.8%	3.5%	10.3%	10.8%	11.6%	5.3%	-0.2%	15.1M	-171.0M	-2.2M	1.88	69.32	N/A	N/A	5,064	9,512	148,359	158,864
2017-08-29	$39.74	$38.00	14.1%	3.9%	10.1%	16.4%	13.4%	5.0%	-0.9%	14.3M	-158.3M	-2.2M	1.32	46.56	N/A	N/A	6,691	8,838	149,475	158,895
2017-08-30	$39.54	$38.00	13.5%	3.7%	10.3%	13.7%	13.1%	5.7%	0.3%	14.8M	-141.7M	-2.1M	1.42	7.39	N/A	N/A	6,104	8,654	152,258	158,991
2017-08-31	$39.74	$38.00	13.2%	3.5%	10.4%	12.2%	12.4%	4.6%	-0.0%	17.5M	-162.9M	-2.1M	1.80	10.01	N/A	N/A	5,549	9,997	152,617	158,913