FEZ Options History — July 2018

In July 2018, FEZ traded between $38.13 and $39.97. ATM implied volatility averaged 13.0%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 2.6% (HV 20d: 15.6%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 6.02.

Notable Days

  • 2018-07-02: Highest Volume — 90,888 contracts
  • 2018-07-11: Largest IV spike — 13.1% change
  • 2018-07-02: Highest IV Rank — 42.0%
  • 2018-07-02: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.30$38.13$39.97$38.13$39.97
Max Pain$39.95$39.00$41.00$39.00$40.00
ATM IV13.0%10.2%16.9%16.9%11.1%
Expected Move3.8%2.9%4.8%4.8%3.2%
HV 20d15.6%11.9%18.9%16.7%11.9%
HV 60d15.4%14.6%15.7%14.8%15.6%
IV Rank23.2%10.1%42.0%42.0%14.2%
IV Percentile55.6%12.7%88.9%88.9%32.1%
Term Structure-0.0%-1.1%1.1%-0.1%0.0%
VWIV14.2%10.1%19.4%19.4%10.8%
Skew 25d4.1%3.2%5.7%5.7%3.5%
Skew 10d8.9%7.1%11.5%11.5%7.6%
Call IV 25d11.2%8.9%14.2%14.1%9.8%
Put IV 25d15.3%12.7%19.8%19.8%13.3%
Bid-Ask Spread %17.046.6237.2413.7427.01
Gamma HHI0.230.200.280.260.20
Net GEX-32.0M-43.7M-20.3M-43.7M-20.3M
Net DEX208.2M104.3M398.0M398.0M104.3M
Net VEX-2.0M-2.4M-1.7M-2.4M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.021.7010.158.273.02
Total Volume58,892.47623,63090,88890,88829,416
Total OI425,791.524366,054459,386430,469382,889

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$38.13$39.0016.9%4.8%16.7%42.0%19.4%5.7%-0.1%-43.7M398.0M-2.4M8.2713.74N/AN/A9,80781,08195,169335,300
2018-07-03$38.37$39.0016.0%4.6%17.0%37.6%17.6%4.9%-0.0%-42.8M363.8M-2.4M5.7521.26N/AN/A10,33859,46695,569344,107
2018-07-05$39.07$41.0015.2%4.4%17.8%34.0%15.6%5.0%0.0%-33.5M256.8M-2.3M4.3322.98N/AN/A16,45871,34195,966344,043
2018-07-06$39.32$40.0013.5%4.2%17.9%25.8%19.2%4.5%0.1%-26.8M220.0M-2.3M6.8115.15N/AN/A10,95474,588102,549356,837
2018-07-09$39.50$40.0013.2%4.1%18.0%24.5%15.3%4.0%1.1%-31.3M194.7M-2.2M7.116.62N/AN/A9,46267,26697,141361,374
2018-07-10$39.61$40.0012.3%3.5%17.4%20.2%13.0%3.3%-0.1%-29.2M168.8M-2.1M6.3512.22N/AN/A10,10864,17497,147361,430
2018-07-11$38.77$40.0014.0%4.1%18.7%27.9%15.9%4.0%0.5%-43.6M299.6M-2.2M6.4925.50N/AN/A10,21366,31696,763356,018
2018-07-12$39.08$40.0013.5%4.0%18.9%25.9%14.2%4.1%0.5%-41.3M252.6M-2.1M5.8420.83N/AN/A9,21053,80497,107358,208
2018-07-13$39.16$40.0013.3%3.9%18.9%24.9%13.9%4.0%0.4%-38.8M230.6M-2.1M5.7121.74N/AN/A9,41053,74797,205358,261
2018-07-16$39.27$40.0013.5%4.0%16.4%25.8%13.7%4.3%-1.1%-37.2M215.1M-2.0M5.5512.24N/AN/A9,74854,08197,001358,198
2018-07-17$39.28$40.0013.3%3.9%15.7%24.9%16.1%3.8%-1.0%-35.4M203.0M-2.0M9.2410.41N/AN/A8,36077,20897,813358,370
2018-07-18$39.35$40.0013.3%3.8%15.3%24.5%15.6%3.9%-1.0%-32.1M181.3M-2.0M9.4910.62N/AN/A6,34060,19799,954356,469
2018-07-19$39.16$40.0013.2%3.8%15.4%24.1%15.3%4.0%-0.1%-35.9M207.2M-1.9M10.1515.57N/AN/A5,97160,600100,201356,616
2018-07-20$39.35$40.0013.1%3.8%14.7%23.6%15.3%4.5%-1.1%-31.7M185.9M-1.9M8.4417.46N/AN/A6,22852,588100,698356,642
2018-07-23$39.30$40.0012.1%3.5%13.6%18.9%11.9%4.3%0.1%-28.6M199.0M-1.9M5.5612.10N/AN/A4,86527,04590,400275,654
2018-07-24$39.46$40.0011.5%3.4%12.7%16.3%12.1%3.8%0.3%-27.8M175.2M-1.8M5.3710.74N/AN/A4,98926,78490,725279,248
2018-07-25$39.81$40.0010.2%2.9%12.8%10.1%11.9%4.0%0.4%-23.9M135.2M-1.8M5.5917.28N/AN/A4,81426,89190,923279,682
2018-07-26$39.62$40.0011.5%3.2%12.6%16.0%11.6%3.9%0.4%-25.1M145.4M-1.8M3.348.42N/AN/A5,44118,18991,137279,975
2018-07-27$39.80$40.0010.5%2.9%12.5%11.4%10.1%3.2%0.3%-21.3M120.5M-1.7M1.7037.24N/AN/A9,26015,69791,835280,726
2018-07-30$39.85$40.0011.1%3.2%12.1%14.2%10.7%3.6%0.2%-21.5M115.1M-1.8M2.2418.61N/AN/A10,59723,69092,705283,567
2018-07-31$39.97$40.0011.1%3.2%11.9%14.2%10.8%3.5%0.0%-20.3M104.3M-1.8M3.0227.01N/AN/A7,32522,09192,914289,975