FEZ Options History — November 2017

In November 2017, FEZ traded between $40.66 and $41.91. ATM implied volatility averaged 11.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 3.6% (HV 20d: 7.5%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.09.

Notable Days

  • 2017-11-10: Highest Volume — 27,872 contracts
  • 2017-11-09: Largest IV spike — 23.4% change
  • 2017-11-15: Highest IV Rank — 19.7%
  • 2017-11-15: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.18$40.66$41.91$41.77$41.35
Max Pain$41.05$40.00$42.00$40.00$42.00
ATM IV11.0%8.1%12.9%8.1%11.0%
Expected Move3.3%2.1%3.7%2.1%3.3%
HV 20d7.5%5.9%9.3%5.9%9.0%
HV 60d8.1%7.8%8.8%8.8%7.8%
IV Rank12.0%0.0%19.7%0.0%11.8%
IV Percentile18.4%0.0%34.9%0.0%18.7%
Term Structure0.3%-0.7%1.9%0.1%0.0%
VWIV12.6%10.4%14.6%12.8%13.3%
Skew 25d3.6%3.1%4.7%4.7%3.3%
Skew 10d7.6%5.3%9.3%7.1%6.5%
Call IV 25d9.9%7.5%11.9%7.5%10.0%
Put IV 25d13.5%11.0%15.6%12.1%13.3%
Bid-Ask Spread %19.816.0872.6672.6637.22
Gamma HHI0.310.250.470.310.37
Net GEX26.6M9.2M57.2M36.0M23.1M
Net DEX-206.5M-356.8M-104.0M-344.0M-193.3M
Net VEX-1.8M-2.0M-1.7M-1.8M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.091.012.702.082.70
Total Volume21,948.85714,94327,87219,41318,361
Total OI369,925.81333,303399,509375,545337,382

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$41.77$40.008.1%2.1%5.9%0.0%12.8%4.7%0.1%36.0M-344.0M-1.8M2.0872.66N/AN/A6,31213,101174,385201,160
2017-11-02$41.91$41.009.0%3.0%6.0%3.6%10.4%3.3%0.7%31.9M-356.8M-1.9M2.6610.15N/AN/A7,25319,306174,269205,413
2017-11-03$41.65$41.009.4%2.8%6.5%5.4%11.3%3.1%0.6%31.2M-314.7M-1.9M2.5710.36N/AN/A7,49519,256175,243210,504
2017-11-06$41.62$41.009.3%2.7%6.5%4.7%11.0%3.2%0.1%31.8M-310.4M-1.9M1.9711.47N/AN/A7,85415,454174,815210,261
2017-11-07$41.23$41.0010.5%3.1%6.7%9.8%11.2%3.5%0.5%30.9M-243.5M-1.9M2.496.91N/AN/A6,29415,656176,220211,710
2017-11-08$41.26$41.009.3%3.2%6.5%4.7%11.1%3.6%1.9%30.9M-250.5M-1.9M2.266.08N/AN/A6,65315,010176,912212,040
2017-11-09$40.91$41.0011.4%3.6%7.0%13.5%12.5%3.6%1.0%26.5M-175.1M-1.9M1.9019.95N/AN/A9,08817,281177,793213,021
2017-11-10$40.82$41.0011.8%3.7%7.1%15.0%13.5%3.7%1.3%24.2M-161.0M-2.0M1.4717.01N/AN/A11,29316,579179,076216,756
2017-11-13$40.67$41.0012.1%3.5%7.1%16.3%14.1%3.5%0.6%24.0M-134.1M-1.9M2.218.83N/AN/A8,29918,376180,728216,970
2017-11-14$40.81$41.0012.3%3.6%7.3%17.2%12.8%3.6%0.0%32.8M-155.0M-1.9M1.787.38N/AN/A9,14616,302180,748217,518
2017-11-15$40.69$41.0012.9%3.7%7.0%19.7%14.5%3.7%1.1%24.8M-140.2M-1.9M2.3114.75N/AN/A7,45517,223181,298218,211
2017-11-16$40.92$41.0012.3%3.5%7.4%16.9%13.7%3.3%-0.6%57.2M-193.7M-1.8M2.1123.48N/AN/A8,00116,900181,042217,411
2017-11-17$40.73$41.0012.2%3.4%7.4%16.8%12.7%3.7%0.9%9.2M-121.4M-1.8M1.017.77N/AN/A11,31511,414180,389217,441
2017-11-20$40.66$41.0012.7%3.6%7.3%18.8%13.4%3.8%-0.7%11.9M-104.0M-1.8M1.3025.46N/AN/A6,5108,433154,131180,236
2017-11-21$40.93$41.0011.5%3.4%7.6%13.7%12.3%3.4%-0.3%16.1M-138.4M-1.8M1.7115.00N/AN/A6,38510,919154,475180,239
2017-11-22$40.98$41.0010.9%3.3%7.6%11.4%11.9%3.6%-0.1%17.3M-143.9M-1.8M1.8227.35N/AN/A7,00612,751155,341183,055
2017-11-24$41.57$41.0011.9%3.3%9.2%15.6%12.2%4.2%-0.6%26.1M-239.9M-1.8M2.0718.51N/AN/A6,19912,812155,565184,959
2017-11-27$41.34$41.0011.3%3.5%9.3%13.1%13.4%3.9%0.3%21.9M-195.6M-1.8M2.3227.38N/AN/A5,41212,565151,910181,393
2017-11-28$41.52$41.5011.2%3.3%9.2%12.5%14.6%3.1%-0.2%25.6M-217.6M-1.7M2.6539.55N/AN/A4,72112,518152,233181,660
2017-11-29$41.42$41.5010.8%3.3%9.1%11.0%10.9%3.4%0.4%24.4M-203.9M-1.7M2.518.72N/AN/A5,12912,889152,269182,260
2017-11-30$41.35$42.0011.0%3.3%9.0%11.8%13.3%3.3%0.0%23.1M-193.3M-1.7M2.7037.22N/AN/A4,96813,393152,268185,114