FEZ Options History — October 2017

In October 2017, FEZ traded between $41.04 and $41.66. ATM implied volatility averaged 10.2%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.9% (HV 20d: 7.3%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.37.

Notable Days

  • 2017-10-02: Highest Volume — 54,365 contracts
  • 2017-10-19: Largest IV spike — 21.0% change
  • 2017-10-25: Highest IV Rank — 11.1%
  • 2017-10-25: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.32$41.04$41.66$41.14$41.66
Max Pain$39.36$39.00$40.00$39.00$40.00
ATM IV10.2%8.6%11.3%10.3%9.8%
Expected Move3.0%2.5%3.4%2.7%2.8%
HV 20d7.3%5.7%9.7%9.7%6.2%
HV 60d8.9%8.7%9.1%9.1%8.9%
IV Rank4.5%0.0%11.1%3.0%4.7%
IV Percentile5.4%0.0%15.1%3.2%2.0%
Term Structure0.2%-1.1%1.3%0.3%0.1%
VWIV11.5%8.7%13.6%9.5%10.4%
Skew 25d3.4%3.0%3.8%3.0%3.2%
Skew 10d7.8%5.4%9.8%7.1%6.6%
Call IV 25d8.8%7.9%9.3%9.0%8.2%
Put IV 25d12.1%11.4%13.0%12.0%11.4%
Bid-Ask Spread %13.495.0126.089.139.26
Gamma HHI0.250.220.300.230.30
Net GEX26.6M18.3M33.8M24.1M33.8M
Net DEX-262.2M-326.8M-215.9M-232.1M-326.8M
Net VEX-2.0M-2.1M-1.9M-2.1M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.512.750.771.57
Total Volume24,690.68213,77054,36554,36516,713
Total OI357,618.182344,239375,322344,239375,322

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$41.14$39.0010.3%2.7%9.7%3.0%9.5%3.0%0.3%24.1M-232.1M-2.1M0.779.13N/AN/A30,67523,690157,817186,422
2017-10-03$41.22$39.0010.4%2.7%8.9%3.5%9.0%3.1%0.1%25.8M-242.2M-2.1M1.445.01N/AN/A16,61723,965157,867186,428
2017-10-04$41.04$39.0010.3%2.6%8.3%3.0%8.7%3.1%-0.0%23.6M-218.8M-2.1M1.3323.44N/AN/A15,65420,753157,849187,303
2017-10-05$41.14$39.0010.2%3.0%7.8%2.5%11.7%3.1%0.5%25.6M-232.0M-2.1M1.7219.27N/AN/A11,93820,521163,384189,962
2017-10-06$41.16$39.0010.2%3.0%7.8%2.6%12.0%3.2%0.6%26.0M-231.5M-2.1M1.9425.88N/AN/A10,93521,217163,527190,055
2017-10-09$41.12$39.0010.4%3.0%7.1%3.6%13.2%3.5%0.1%25.5M-229.5M-2.1M1.227.80N/AN/A10,67412,989164,253190,058
2017-10-10$41.48$39.0010.0%3.2%7.6%1.8%11.6%3.2%1.0%27.2M-275.8M-2.1M1.0610.35N/AN/A10,28310,919164,256190,045
2017-10-11$41.63$39.0010.0%2.7%7.4%1.8%12.8%3.3%-0.4%32.4M-302.3M-2.1M0.9426.08N/AN/A9,8899,252165,401190,577
2017-10-12$41.48$39.0010.1%3.2%7.6%2.3%12.6%3.6%1.2%31.9M-285.5M-2.0M1.038.18N/AN/A8,9819,225165,533190,602
2017-10-13$41.43$39.0010.1%3.1%7.5%2.3%11.4%3.6%1.2%27.9M-277.0M-2.0M0.8719.43N/AN/A9,8418,514165,596190,614
2017-10-16$41.38$39.0010.6%3.1%7.4%4.6%11.0%3.0%-1.1%27.8M-278.0M-1.9M1.1020.21N/AN/A9,43510,423164,703190,670
2017-10-17$41.31$39.0010.5%3.0%7.3%3.9%11.1%3.1%-0.8%27.4M-258.3M-2.0M1.199.38N/AN/A8,90310,555165,702192,730
2017-10-18$41.51$39.008.6%2.5%7.4%0.0%9.4%3.7%1.3%27.8M-289.2M-2.0M1.1710.59N/AN/A9,00310,527165,719192,812
2017-10-19$41.49$39.0010.5%3.0%7.4%7.6%13.0%3.7%-1.0%23.8M-288.1M-1.9M1.4317.03N/AN/A9,07013,010165,708192,938
2017-10-20$41.28$40.0010.3%3.0%7.7%6.7%13.0%3.3%-1.1%23.1M-267.1M-1.9M1.796.69N/AN/A8,99516,072166,006195,474
2017-10-23$41.12$40.0010.8%3.1%6.9%8.9%13.2%3.8%0.2%18.3M-215.9M-1.9M2.759.16N/AN/A5,23314,406154,011197,127
2017-10-24$41.30$40.009.7%2.8%6.7%4.6%10.0%3.5%0.3%20.6M-244.9M-1.9M0.517.87N/AN/A22,64011,479154,048197,186
2017-10-25$41.23$40.0011.3%3.4%6.6%11.1%13.6%3.6%0.4%25.9M-252.4M-2.0M0.6118.97N/AN/A14,1738,664171,823197,310
2017-10-26$41.31$40.0010.0%2.9%6.6%5.8%12.0%3.8%0.4%25.0M-269.4M-2.0M1.729.28N/AN/A5,0638,707172,582197,540
2017-10-27$41.20$40.0010.8%3.1%5.7%9.0%11.5%3.4%0.1%29.3M-259.9M-2.0M1.8917.07N/AN/A5,2689,961173,103197,588
2017-10-30$41.45$40.0010.1%2.9%6.0%6.0%12.8%3.5%0.4%32.4M-292.3M-2.0M2.176.63N/AN/A5,79512,568173,647196,302
2017-10-31$41.66$40.009.8%2.8%6.2%4.7%10.4%3.2%0.1%33.8M-326.8M-1.9M1.579.26N/AN/A6,49110,222174,191201,131