FEZ Options History — February 2018

In February 2018, FEZ traded between $39.86 and $43.56. ATM implied volatility averaged 19.8%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 4.2% (HV 20d: 24.1%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2018-02-16: Highest Volume — 37,114 contracts
  • 2018-02-05: Largest IV spike — 56.0% change
  • 2018-02-09: Highest IV Rank — 85.4%
  • 2018-02-09: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.12$39.86$43.56$43.56$40.60
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV19.8%13.4%29.1%13.4%18.1%
Expected Move5.9%4.2%8.5%4.2%5.7%
HV 20d24.1%10.8%26.8%10.8%26.8%
HV 60d16.0%9.5%17.5%9.5%17.5%
IV Rank47.9%21.8%85.4%21.8%40.8%
IV Percentile88.2%59.5%97.2%59.5%87.3%
Term Structure-0.3%-2.6%2.6%2.6%-0.5%
VWIV21.4%15.5%30.4%15.6%20.9%
Skew 25d6.7%3.3%13.0%3.3%7.2%
Skew 10d15.7%8.2%32.1%8.2%11.8%
Call IV 25d17.3%12.0%23.6%12.0%15.2%
Put IV 25d23.9%15.3%36.7%15.3%22.4%
Bid-Ask Spread %32.6115.1851.8828.5341.40
Gamma HHI0.200.160.270.200.18
Net GEX-12.7M-25.0M-5.6M-5.6M-9.0M
Net DEX123.7M-111.5M287.3M-111.5M101.3M
Net VEX-1.6M-1.7M-1.5M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.331.710.841.71
Total Volume20,917.36814,09937,11420,10024,937
Total OI250,228.211220,254273,100245,141241,207

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$43.56$42.0013.4%4.2%10.8%21.8%15.6%3.3%2.6%-5.6M-111.5M-1.6M0.8428.53N/AN/A10,8989,20289,598155,543
2018-02-02$42.44$42.0016.5%5.3%13.7%34.1%19.2%4.6%2.1%-12.9M9.7M-1.7M0.7828.62N/AN/A9,9027,74291,061156,891
2018-02-05$40.62$42.0025.7%6.7%20.4%71.7%24.7%7.9%-2.6%-14.1M194.2M-1.7M0.6551.88N/AN/A12,6468,25096,762157,116
2018-02-06$41.76$42.0021.4%6.1%22.9%54.2%26.4%7.3%-0.2%-13.6M97.4M-1.7M1.2749.60N/AN/A11,96215,21697,900158,976
2018-02-07$41.04$42.0021.6%5.9%23.7%55.0%25.5%6.7%-1.0%-20.0M179.1M-1.6M1.2329.09N/AN/A11,67114,32698,244162,364
2018-02-08$39.86$42.0024.9%7.5%25.7%68.5%27.5%9.4%0.7%-14.7M254.0M-1.6M0.7334.71N/AN/A13,94810,22898,383164,596
2018-02-09$39.92$42.0029.1%8.5%25.6%85.4%30.4%13.0%-0.7%-13.2M287.3M-1.6M0.6549.21N/AN/A9,3866,14799,988167,013
2018-02-12$40.41$42.0024.9%7.1%25.5%68.5%25.2%8.8%0.1%-17.6M238.0M-1.6M0.5431.74N/AN/A10,5885,70099,740166,329
2018-02-13$40.33$42.0022.6%6.5%25.3%59.3%22.2%8.3%-1.2%-14.7M267.0M-1.5M0.7118.71N/AN/A9,4376,657100,946166,289
2018-02-14$41.07$42.0018.5%5.3%26.4%42.2%19.9%7.2%0.2%-24.2M206.8M-1.5M0.9924.56N/AN/A10,78710,656100,945165,912
2018-02-15$41.33$42.0018.9%5.5%26.5%43.9%21.9%6.4%-0.9%-25.0M179.9M-1.5M0.8518.16N/AN/A10,1398,587103,151169,949
2018-02-16$41.41$42.0019.0%5.6%26.3%44.5%17.8%5.4%-1.6%-12.5M164.8M-1.5M0.3334.36N/AN/A27,8129,302102,862169,080
2018-02-20$41.07$42.0018.9%5.7%26.1%44.0%19.4%6.4%-0.2%-6.6M54.6M-1.6M1.1330.08N/AN/A8,0489,11295,695124,559
2018-02-21$40.79$42.0017.2%5.6%26.0%37.1%19.0%5.6%-0.5%-7.0M74.1M-1.6M0.9432.11N/AN/A7,2866,81396,790126,782
2018-02-22$41.05$42.0018.3%5.5%26.2%41.6%20.1%5.2%-0.1%-7.2M63.7M-1.6M1.3530.07N/AN/A6,3808,62296,832126,826
2018-02-23$41.36$42.0015.7%4.7%26.5%30.8%17.4%4.8%-0.0%-7.9M38.0M-1.5M1.0825.73N/AN/A12,80013,80797,422128,728
2018-02-26$41.64$42.0015.8%4.8%26.4%31.5%15.5%5.5%-1.0%-7.4M-6.1M-1.6M1.2215.18N/AN/A8,56310,476103,663135,460
2018-02-27$40.99$42.0016.6%5.2%26.7%34.7%17.2%3.6%-0.5%-8.3M58.3M-1.6M1.2945.78N/AN/A8,45310,944103,874136,860
2018-02-28$40.60$42.0018.1%5.7%26.8%40.8%20.9%7.2%-0.5%-9.0M101.3M-1.6M1.7141.40N/AN/A9,19015,747104,038137,169