FEZ Options History — March 2018

In March 2018, FEZ traded between $39.25 and $41.11. ATM implied volatility averaged 16.3%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.7% (HV 20d: 15.6%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.67.

Notable Days

2018-03-16: Highest Volume — 46,028 contracts
2018-03-22: Largest IV spike — 22.3% change
2018-03-23: Highest IV Rank — 48.9%
2018-03-01: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.44	$39.25	$41.11	$40.17	$40.32
Max Pain	$40.33	$40.00	$42.00	$42.00	$40.00
ATM IV	16.3%	12.8%	20.1%	19.6%	15.3%
Expected Move	4.8%	3.8%	6.5%	6.5%	4.4%
HV 20d	15.6%	10.9%	26.8%	26.8%	14.5%
HV 60d	17.9%	17.5%	19.0%	17.6%	19.0%
IV Rank	33.2%	19.3%	48.9%	46.9%	29.3%
IV Percentile	76.2%	52.0%	93.3%	92.1%	71.8%
Term Structure	-0.0%	-3.6%	1.5%	-0.8%	0.5%
VWIV	17.2%	14.3%	23.7%	23.7%	16.2%
Skew 25d	5.1%	3.3%	7.9%	5.7%	4.2%
Skew 10d	11.4%	8.0%	17.9%	16.0%	9.0%
Call IV 25d	14.4%	11.2%	19.0%	17.6%	14.0%
Put IV 25d	19.6%	15.1%	24.7%	23.2%	18.2%
Bid-Ask Spread %	21.17	7.46	57.72	39.73	16.31
Gamma HHI	0.21	0.12	0.33	0.22	0.16
Net GEX	-6.6M	-14.1M	11.7M	-11.1M	-2.2M
Net DEX	83.2M	-447.1K	168.8M	161.4M	19.2M
Net VEX	-1.4M	-1.6M	-1.3M	-1.6M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	0.99	2.31	1.30	1.85
Total Volume	25,816.952	17,740	46,028	21,788	27,135
Total OI	224,124.048	174,402	273,743	245,988	185,146

Daily Data (21 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
2018-03-01	$40.17	$42.00	19.6%	6.5%	26.8%	46.9%	23.7%	5.7%	-0.8%	-11.1M	161.4M	-1.6M	1.30	39.73	N/A	N/A	9,473	12,315	103,880	142,108
2018-03-02	$40.18	$42.00	19.7%	6.4%	26.8%	47.3%	21.6%	5.6%	-0.9%	-11.1M	168.8M	-1.5M	1.27	32.64	N/A	N/A	9,040	11,444	104,394	143,457
2018-03-05	$40.42	$41.00	16.8%	5.0%	25.7%	35.5%	14.7%	7.9%	0.0%	-12.7M	151.4M	-1.4M	0.99	16.94	N/A	N/A	16,177	15,949	103,858	143,295
2018-03-06	$40.63	$41.00	16.6%	4.7%	20.7%	34.6%	14.4%	5.7%	0.8%	-14.1M	136.5M	-1.5M	1.36	15.98	N/A	N/A	8,286	11,258	107,338	148,403
2018-03-07	$40.87	$41.00	16.3%	4.7%	18.1%	33.4%	17.0%	4.7%	0.1%	-13.2M	113.8M	-1.5M	1.27	14.78	N/A	N/A	9,005	11,426	107,364	148,799
2018-03-08	$40.85	$40.00	15.5%	4.5%	17.0%	30.3%	17.0%	4.1%	0.3%	-13.2M	114.3M	-1.5M	1.22	13.91	N/A	N/A	9,133	11,134	107,923	149,080
2018-03-09	$41.03	$40.00	14.4%	4.3%	13.2%	25.8%	16.3%	3.7%	0.2%	-12.0M	96.5M	-1.4M	1.42	22.06	N/A	N/A	9,115	12,912	108,098	149,246
2018-03-12	$41.11	$40.00	14.5%	4.4%	13.2%	26.1%	16.4%	5.2%	1.5%	-9.7M	75.2M	-1.4M	1.54	8.71	N/A	N/A	7,563	11,635	107,290	148,752
2018-03-13	$40.71	$40.00	15.7%	4.4%	13.1%	31.2%	16.2%	4.8%	-0.1%	-14.0M	131.5M	-1.4M	1.22	18.43	N/A	N/A	7,991	9,749	107,388	148,791
2018-03-14	$40.85	$40.00	14.4%	4.2%	13.1%	25.6%	16.2%	3.3%	0.4%	-10.4M	119.2M	-1.3M	1.23	9.20	N/A	N/A	8,100	9,929	107,536	148,875
2018-03-15	$40.88	$40.00	14.0%	4.1%	11.4%	24.0%	15.3%	6.1%	0.4%	-7.1M	118.3M	-1.3M	1.96	11.19	N/A	N/A	11,609	22,770	108,062	151,513
2018-03-16	$41.01	$40.00	12.8%	3.8%	11.2%	19.3%	14.3%	3.9%	0.4%	11.7M	91.6M	-1.3M	2.15	23.20	N/A	N/A	14,632	31,396	108,963	164,780
2018-03-19	$40.73	$40.00	15.3%	4.4%	11.4%	29.2%	16.4%	5.4%	-0.0%	-446.1K	4.8M	-1.3M	2.18	28.95	N/A	N/A	9,726	21,175	81,241	93,161
2018-03-20	$40.66	$40.00	14.3%	4.1%	11.1%	25.4%	16.7%	4.2%	0.4%	-1.4M	8.2M	-1.3M	2.11	7.46	N/A	N/A	8,045	16,982	82,986	97,542
2018-03-21	$40.53	$40.00	14.5%	4.2%	10.9%	26.0%	17.0%	3.3%	0.3%	-1.3M	-447.1K	-1.4M	2.29	57.72	N/A	N/A	7,998	18,329	83,078	97,115
2018-03-22	$39.69	$40.00	17.7%	5.1%	12.8%	39.2%	18.3%	6.5%	-0.6%	-3.4M	41.4M	-1.3M	1.89	31.12	N/A	N/A	11,365	21,494	83,129	96,773
2018-03-23	$39.25	$40.00	20.1%	5.9%	12.7%	48.9%	19.1%	7.4%	-3.6%	-3.6M	67.8M	-1.3M	2.31	21.97	N/A	N/A	7,756	17,945	85,196	99,777
2018-03-26	$40.02	$40.00	17.6%	4.8%	14.6%	38.8%	17.5%	4.7%	0.1%	-2.9M	33.7M	-1.3M	1.84	21.11	N/A	N/A	9,585	17,635	84,809	98,079
2018-03-27	$39.54	$40.00	18.5%	5.7%	14.2%	42.3%	18.4%	5.9%	-0.3%	-3.6M	54.2M	-1.3M	1.83	23.27	N/A	N/A	9,641	17,636	86,358	98,505
2018-03-28	$39.83	$40.00	17.5%	4.9%	14.3%	38.5%	17.7%	5.3%	-0.2%	-3.2M	39.8M	-1.3M	1.84	9.90	N/A	N/A	9,747	17,921	85,992	98,525
2018-03-29	$40.32	$40.00	15.3%	4.4%	14.5%	29.3%	16.2%	4.2%	0.5%	-2.2M	19.2M	-1.3M	1.85	16.31	N/A	N/A	9,529	17,606	86,295	98,851