FEZ Options History — May 2018

In May 2018, FEZ traded between $39.02 and $41.88. ATM implied volatility averaged 14.2%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 5.4% (HV 20d: 8.8%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.49.

Notable Days

  • 2018-05-29: Highest Volume — 136,294 contracts
  • 2018-05-29: Largest IV spike — 24.2% change
  • 2018-05-29: Highest IV Rank — 61.8%
  • 2018-05-29: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.17$39.02$41.88$41.31$39.60
Max Pain$40.91$40.00$41.00$41.00$40.00
ATM IV14.2%10.7%21.1%11.7%19.2%
Expected Move4.7%3.2%7.2%3.3%6.8%
HV 20d8.8%6.2%17.0%9.8%16.9%
HV 60d13.3%12.0%18.3%18.3%14.5%
IV Rank29.2%12.4%61.8%17.0%53.0%
IV Percentile63.0%22.6%97.2%41.3%95.6%
Term Structure0.3%-2.8%3.2%0.3%-0.8%
VWIV16.7%11.2%24.7%12.1%19.7%
Skew 25d4.5%2.9%8.1%3.5%7.7%
Skew 10d9.0%5.9%13.7%7.2%13.7%
Call IV 25d11.6%8.3%17.1%10.5%15.6%
Put IV 25d16.1%11.2%25.2%14.0%23.2%
Bid-Ask Spread %39.2825.7953.8825.7942.27
Gamma HHI0.150.100.350.130.10
Net GEX-8.6M-22.9M-1.0M-5.8M-14.7M
Net DEX14.2M-65.2M214.6M2.3M213.0M
Net VEX-1.2M-1.8M-1.0M-1.2M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.491.266.932.076.93
Total Volume44,804.31824,174136,29436,332119,959
Total OI236,820.091168,873341,250228,379339,944

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$41.31$41.0011.7%3.3%9.8%17.0%12.1%3.5%0.3%-5.8M2.3M-1.2M2.0725.79N/AN/A11,82024,512100,873127,506
2018-05-02$41.44$41.0011.1%3.2%9.7%14.2%11.2%3.1%0.6%-5.0M-14.4M-1.2M2.3753.88N/AN/A10,12023,993100,993127,713
2018-05-03$41.51$41.0011.6%4.5%8.9%16.6%16.8%3.2%0.3%-6.1M-13.7M-1.2M1.8234.59N/AN/A11,16520,272101,711130,191
2018-05-04$41.65$41.0010.9%4.2%8.4%13.3%17.3%3.1%0.5%-7.7M-28.0M-1.2M2.1735.91N/AN/A9,73121,085103,829136,596
2018-05-07$41.62$41.0011.1%4.3%7.5%14.1%15.4%3.3%1.7%-8.6M-24.6M-1.2M2.1336.18N/AN/A8,95819,088103,670132,126
2018-05-08$41.41$41.0011.1%4.5%7.2%14.3%14.3%3.5%2.9%-10.9M4.1M-1.2M1.8837.33N/AN/A10,21419,190104,116132,324
2018-05-09$41.56$41.0010.8%4.2%7.1%13.0%15.5%3.3%1.7%-9.5M-21.9M-1.2M2.6345.17N/AN/A9,23224,273105,738132,517
2018-05-10$41.85$41.0010.7%4.1%7.2%12.4%15.5%3.2%3.0%-4.0M-60.9M-1.1M2.8431.68N/AN/A9,10925,894106,153132,660
2018-05-11$41.88$41.0011.2%4.1%7.2%14.7%14.8%2.9%3.2%-4.1M-65.2M-1.1M2.2742.74N/AN/A8,87220,150106,169134,166
2018-05-14$41.85$41.0013.7%4.2%7.0%26.5%18.9%3.9%-0.1%-5.3M-59.0M-1.1M2.0952.92N/AN/A9,31919,433106,108134,171
2018-05-15$41.51$41.0014.4%4.3%6.7%30.1%15.3%3.7%1.8%-10.1M-21.1M-1.1M1.9039.07N/AN/A10,19519,416106,640134,388
2018-05-16$41.42$41.0015.4%4.4%6.5%34.6%14.9%4.0%-1.2%-11.0M-11.8M-1.1M1.8741.49N/AN/A10,86920,289107,784134,592
2018-05-17$41.52$41.0015.4%4.5%6.5%35.0%16.6%3.6%1.0%-11.6M-28.8M-1.0M2.4141.60N/AN/A9,82423,723108,595135,416
2018-05-18$41.41$41.0015.7%4.7%6.4%36.3%18.4%4.9%-2.8%-22.9M-14.0M-1.0M1.5527.88N/AN/A16,08224,875108,859137,538
2018-05-21$41.58$41.0015.6%4.8%6.6%35.5%17.4%5.0%0.1%-3.2M-28.3M-1.1M1.5749.28N/AN/A13,39021,07966,534102,339
2018-05-22$41.67$41.0015.1%4.7%6.2%33.4%15.8%4.1%-1.3%-1.0M-41.6M-1.2M2.7434.46N/AN/A6,45717,71775,860106,298
2018-05-23$40.98$41.0016.2%5.0%8.6%38.7%16.0%6.7%-0.5%-6.3M20.9M-1.2M1.2651.73N/AN/A12,87016,25676,197106,809
2018-05-24$40.85$41.0016.2%5.1%8.5%38.7%15.3%5.9%-0.7%-5.7M21.4M-1.2M2.5131.75N/AN/A12,59331,55584,062109,464
2018-05-25$40.44$41.0017.0%5.4%9.0%42.2%17.2%6.0%-1.5%-9.5M76.4M-1.3M2.7635.02N/AN/A21,73460,04687,281124,627
2018-05-29$39.02$41.0021.1%7.2%15.1%61.8%24.1%8.1%-1.4%-9.8M214.6M-1.4M4.0335.94N/AN/A27,080109,214100,399155,836
2018-05-30$39.76$40.0017.8%6.5%17.0%46.5%24.7%6.7%-0.9%-16.1M192.2M-1.8M3.0837.44N/AN/A15,70548,337110,924230,326
2018-05-31$39.60$40.0019.2%6.8%16.9%53.0%19.7%7.7%-0.8%-14.7M213.0M-1.8M6.9342.27N/AN/A15,133104,826112,175227,769