FEZ Options History — June 2018

In June 2018, FEZ traded between $37.89 and $40.80. ATM implied volatility averaged 14.3%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 4.7% (HV 20d: 18.9%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 4.03.

Notable Days

2018-06-29: Highest Volume — 141,212 contracts
2018-06-25: Largest IV spike — 24.6% change
2018-06-27: Highest IV Rank — 42.1%
2018-06-01: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.44	$37.89	$40.80	$39.98	$38.31
Max Pain	$39.90	$39.00	$40.00	$40.00	$39.00
ATM IV	14.3%	10.6%	16.9%	15.7%	15.8%
Expected Move	4.1%	3.0%	5.9%	5.9%	4.5%
HV 20d	18.9%	16.7%	22.0%	17.3%	16.9%
HV 60d	15.0%	14.6%	16.0%	14.6%	14.8%
IV Rank	29.4%	11.8%	42.1%	36.2%	36.9%
IV Percentile	69.9%	19.8%	89.3%	84.5%	83.7%
Term Structure	-0.2%	-1.2%	1.3%	-1.2%	0.2%
VWIV	16.5%	11.5%	20.9%	16.9%	19.4%
Skew 25d	5.5%	3.6%	6.9%	4.8%	5.4%
Skew 10d	10.6%	8.4%	13.5%	9.2%	10.0%
Call IV 25d	12.1%	8.8%	15.1%	13.1%	13.9%
Put IV 25d	17.6%	13.7%	20.6%	17.9%	19.3%
Bid-Ask Spread %	21.48	8.89	49.57	49.57	30.56
Gamma HHI	0.17	0.12	0.28	0.13	0.25
Net GEX	-26.9M	-43.3M	-11.2M	-21.6M	-37.5M
Net DEX	221.7M	83.1M	393.9M	219.1M	317.6M
Net VEX	-2.1M	-2.2M	-1.9M	-2.0M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.03	1.76	17.53	3.78	17.53
Total Volume	56,058.238	34,515	141,212	58,731	141,212
Total OI	396,928.952	369,298	424,033	400,841	409,122

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
2018-06-01	$39.98	$40.00	15.7%	5.9%	17.3%	36.2%	16.9%	4.8%	-1.2%	-21.6M	219.1M	-2.0M	3.78	49.57	N/A	N/A	12,297	46,434	112,236	288,605
2018-06-04	$40.20	$39.00	15.8%	4.0%	17.4%	36.6%	15.1%	5.4%	-0.7%	-18.3M	123.0M	-1.9M	2.97	29.50	N/A	N/A	16,048	47,661	112,160	277,422
2018-06-05	$40.10	$40.00	14.5%	3.9%	17.4%	30.4%	14.3%	5.8%	-0.8%	-19.9M	152.7M	-2.0M	2.08	24.90	N/A	N/A	13,884	28,909	112,307	282,109
2018-06-06	$40.58	$40.00	13.8%	3.6%	18.0%	27.2%	16.4%	6.7%	-0.3%	-11.2M	83.1M	-1.9M	3.10	13.04	N/A	N/A	13,730	42,526	112,827	282,532
2018-06-07	$40.31	$40.00	14.4%	4.1%	18.1%	30.2%	16.6%	6.9%	-0.6%	-18.1M	159.8M	-2.1M	1.76	21.31	N/A	N/A	20,405	35,963	115,205	295,741
2018-06-08	$40.32	$40.00	13.0%	3.9%	17.8%	23.3%	16.2%	6.5%	-0.2%	-15.2M	157.7M	-2.2M	2.68	25.51	N/A	N/A	16,209	43,382	118,915	305,118
2018-06-11	$40.80	$40.00	11.2%	3.4%	18.4%	14.8%	18.4%	6.4%	-0.2%	-14.6M	102.9M	-2.2M	2.54	18.02	N/A	N/A	15,291	38,795	113,194	302,973
2018-06-12	$40.49	$40.00	12.7%	3.9%	18.6%	21.7%	16.6%	6.0%	1.3%	-18.9M	150.4M	-2.2M	2.35	21.83	N/A	N/A	13,489	31,725	113,246	303,432
2018-06-13	$40.68	$40.00	12.1%	3.2%	18.5%	19.2%	17.1%	5.9%	-1.2%	-15.9M	126.8M	-2.2M	2.18	49.05	N/A	N/A	14,118	30,755	116,743	303,457
2018-06-14	$40.72	$40.00	10.6%	3.0%	18.5%	11.8%	15.2%	5.7%	-0.9%	-16.3M	103.3M	-2.1M	2.68	15.64	N/A	N/A	13,428	36,044	117,877	305,149
2018-06-15	$39.62	$40.00	11.7%	3.2%	20.7%	17.0%	11.5%	3.6%	-0.6%	-31.0M	195.7M	-2.0M	1.97	24.55	N/A	N/A	15,448	30,469	111,304	301,126
2018-06-18	$39.08	$40.00	13.5%	3.9%	21.1%	25.6%	15.3%	4.5%	0.1%	-31.0M	224.9M	-2.0M	2.98	18.78	N/A	N/A	11,772	35,114	91,047	284,774
2018-06-19	$38.74	$40.00	14.4%	4.1%	21.1%	30.1%	16.1%	4.9%	-0.1%	-33.4M	267.6M	-2.0M	3.58	12.66	N/A	N/A	11,410	40,893	91,074	278,224
2018-06-20	$38.72	$40.00	14.2%	4.1%	21.0%	28.9%	16.3%	4.6%	0.2%	-34.1M	274.9M	-2.0M	2.99	10.34	N/A	N/A	11,915	35,665	91,371	282,679
2018-06-21	$38.25	$40.00	16.0%	4.6%	20.7%	37.6%	20.9%	4.9%	-0.0%	-36.2M	332.4M	-2.1M	2.36	29.54	N/A	N/A	16,454	38,880	89,238	283,776
2018-06-22	$38.88	$40.00	13.4%	3.8%	21.8%	25.1%	19.8%	4.6%	0.2%	-35.6M	258.4M	-2.0M	2.91	9.03	N/A	N/A	11,922	34,705	93,897	288,025
2018-06-25	$38.38	$40.00	16.6%	4.8%	22.0%	40.7%	17.3%	6.1%	-0.1%	-35.4M	318.2M	-2.1M	6.76	10.96	N/A	N/A	7,096	48,001	91,487	288,330
2018-06-26	$38.21	$40.00	16.4%	4.7%	18.2%	39.8%	15.0%	5.8%	0.1%	-38.2M	328.5M	-2.1M	6.04	14.91	N/A	N/A	7,506	45,358	91,595	288,692
2018-06-27	$37.93	$40.00	16.9%	4.8%	16.7%	42.1%	14.8%	5.7%	-0.2%	-38.8M	364.7M	-2.1M	8.85	12.53	N/A	N/A	6,885	60,910	94,064	289,817
2018-06-28	$37.89	$40.00	16.8%	4.8%	16.7%	41.5%	17.7%	5.5%	-0.2%	-43.3M	393.9M	-2.1M	2.47	8.89	N/A	N/A	9,956	24,559	94,215	310,403
2018-06-29	$38.31	$39.00	15.8%	4.5%	16.9%	36.9%	19.4%	5.4%	0.2%	-37.5M	317.6M	-2.1M	17.53	30.56	N/A	N/A	7,621	133,591	97,573	311,549