FEZ Options History — June 2007

In June 2007, FEZ traded between $59.05 and $62.26. ATM implied volatility averaged 45.0%. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 27.6% (HV 20d: 17.5%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-06-19: Highest Volume — 10 contracts
  • 2007-06-29: Largest IV spike — 142.0% change
  • 2007-06-01: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.36$59.05$62.26$62.14$60.18
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV45.0%15.8%112.9%48.8%41.7%
Expected Move7.9%4.5%14.0%14.0%11.9%
HV 20d17.5%12.0%19.1%12.0%17.9%
Term Structure-8.0%-17.3%0.8%-14.5%-14.2%
Bid-Ask Spread %138.0565.53166.51165.59165.51
Gamma HHI0.660.540.820.640.62
Net GEX-40.8K-218.8K-10.8K-10.8K-15.6K
Net DEX3.2M133.5K6.4M6.4M133.5K
Net VEX-2.7K-4.2K-2.4K-2.5K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.28601000
Total OI675.1431491,1491,142160

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$62.14$65.0048.8%14.0%0.0%0.0%0.0%0.0%-14.5%-10.8K6.4M-2.5K0.00165.59N/AN/A00251,117
2007-06-04$62.26$0.0054.4%8.1%0.0%0.0%0.0%0.0%-6.9%-11.9K6.4M-2.5K0.00165.07N/AN/A10251,117
2007-06-05$61.86$0.0057.4%8.1%12.0%0.0%0.0%0.0%-7.8%-13.6K6.3M-2.4K0.00164.93N/AN/A00261,117
2007-06-06$60.74$0.0061.4%8.3%14.1%0.0%0.0%0.0%-11.6%-17.1K6.3M-2.5K0.00163.15N/AN/A10261,117
2007-06-07$59.30$0.0065.5%8.5%16.6%0.0%0.0%0.0%-15.1%-16.6K6.2M-2.5K0.00164.39N/AN/A08271,117
2007-06-08$60.20$0.0069.1%8.6%17.2%0.0%0.0%0.0%-14.2%-17.2K6.2M-2.5K0.00163.15N/AN/A50271,118
2007-06-11$60.17$0.0087.4%8.9%16.7%0.0%0.0%0.0%-15.3%-16.6K6.2M-2.5K0.00163.15N/AN/A00311,118
2007-06-12$59.05$0.0098.3%9.0%17.6%0.0%0.0%0.0%-17.3%-172.6K5.0M-4.2K0.00165.25N/AN/A00311,118
2007-06-13$60.03$0.00112.9%9.1%18.4%0.0%0.0%0.0%-16.3%-197.9K4.8M-4.2K0.00163.23N/AN/A00311,118
2007-06-14$60.86$0.0032.2%9.2%19.1%0.0%0.0%0.0%-12.9%-218.8K4.5M-3.9K0.00166.05N/AN/A00311,118
2007-06-15$60.55$0.0015.8%4.5%19.1%0.0%0.0%0.0%-0.2%-17.4K6.2M-2.5K0.0076.98N/AN/A01311,118
2007-06-18$60.63$0.0033.8%9.7%18.0%0.0%0.0%0.0%-8.7%-18.5K150.1K-2.4K0.00165.47N/AN/A0031118
2007-06-19$60.83$0.0034.2%9.8%17.8%0.0%0.0%0.0%-6.3%-17.8K141.4K-2.4K0.00166.51N/AN/A10031118
2007-06-20$60.00$0.0035.2%10.1%18.5%0.0%0.0%0.0%-10.0%-16.2K137.5K-2.5K0.00165.39N/AN/A0041118
2007-06-21$60.38$0.0015.9%4.6%18.5%0.0%0.0%0.0%-0.2%-13.1K137.6K-2.5K0.0090.41N/AN/A0041118
2007-06-22$59.75$0.0016.1%4.6%18.4%0.0%0.0%0.0%0.2%-13.5K172.9K-2.5K0.0065.53N/AN/A0041118
2007-06-25$59.62$0.0015.9%4.6%18.0%0.0%0.0%0.0%0.4%-12.9K176.7K-2.5K0.0086.53N/AN/A1041118
2007-06-26$59.33$0.0015.8%4.5%18.1%0.0%0.0%0.0%0.6%-13.3K178.9K-2.5K0.0085.53N/AN/A0042118
2007-06-27$59.71$0.0017.3%4.9%18.2%0.0%0.0%0.0%0.8%-13.4K166.0K-2.5K0.0078.18N/AN/A0042118
2007-06-28$59.92$0.0017.2%4.9%18.1%0.0%0.0%0.0%0.4%-12.6K159.8K-2.5K0.00109.14N/AN/A0042118
2007-06-29$60.18$0.0041.7%11.9%17.9%0.0%0.0%0.0%-14.2%-15.6K133.5K-2.5K0.00165.51N/AN/A0042118