FEZ Options History — July 2007

In July 2007, FEZ traded between $57.30 and $62.76. ATM implied volatility averaged 21.5%. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.6% (HV 20d: 16.9%). Max pain ranged from $60.00 to $61.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-07-18: Highest Volume — 22 contracts
  • 2007-07-26: Largest IV spike — 131.8% change
  • 2007-07-31: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.88$57.30$62.76$61.10$58.24
Max Pain$60.90$60.00$61.00$60.00$61.00
ATM IV21.5%16.2%47.6%16.5%47.6%
Expected Move6.1%4.4%13.7%4.7%13.7%
HV 20d16.9%14.2%22.4%18.9%21.5%
HV 60d17.1%16.0%18.5%16.2%18.4%
Term Structure-2.3%-17.7%1.7%0.1%-15.5%
VWIV17.0%16.5%17.5%16.5%17.5%
Skew 25d-0.2%-12.6%5.6%3.5%-12.2%
Skew 10d1.4%-12.6%9.6%3.6%-12.2%
Call IV 25d24.5%15.8%61.7%15.8%61.7%
Put IV 25d24.3%17.3%49.5%19.3%49.5%
Bid-Ask Spread %65.1123.33192.2982.00189.33
Gamma HHI0.560.520.630.550.63
Net GEX-12.5K-15.1K-10.2K-13.2K-14.3K
Net DEX119.4K10.9K279.6K102.0K221.0K
Net VEX-2.4K-2.6K-2.3K-2.4K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.85702210
Total OI169.381160187160167

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$61.10$0.0016.5%4.7%18.9%0.0%16.5%0.0%0.1%-13.2K102.0K-2.4K0.0082.00N/AN/A1042118
2007-07-03$61.39$60.0017.4%5.0%18.8%0.0%0.0%0.0%-1.3%-12.4K81.3K-2.4K0.0083.12N/AN/A0043118
2007-07-05$61.10$60.0018.7%5.4%17.7%0.0%0.0%0.0%-1.7%-12.3K100.4K-2.4K0.0080.24N/AN/A0043118
2007-07-06$61.60$61.0017.5%4.6%15.4%0.0%0.0%0.0%1.0%-12.3K74.2K-2.4K0.0026.89N/AN/A0043118
2007-07-09$61.63$61.0016.2%4.4%14.6%0.0%0.0%0.0%1.5%-11.8K73.9K-2.4K0.0031.94N/AN/A0043118
2007-07-10$60.70$61.0018.9%4.8%15.7%0.0%16.9%3.5%-0.0%-12.2K117.6K-2.4K0.0023.33N/AN/A1043118
2007-07-11$61.28$61.0018.9%5.0%14.3%0.0%17.5%2.7%0.8%-11.3K91.1K-2.4K0.0024.80N/AN/A4044118
2007-07-12$62.76$61.0016.3%4.7%15.5%0.0%0.0%1.2%-1.4%-10.2K10.9K-2.3K0.0041.90N/AN/A0048118
2007-07-13$62.54$61.0017.0%4.9%15.0%0.0%0.0%1.5%-1.5%-10.3K19.4K-2.4K0.0036.36N/AN/A0048118
2007-07-16$62.53$61.0016.6%4.8%14.8%0.0%0.0%1.5%-1.6%-10.2K23.3K-2.3K0.0039.13N/AN/A0048118
2007-07-17$62.26$61.0017.1%4.9%14.9%0.0%0.0%1.7%0.7%-10.4K32.6K-2.3K0.0036.06N/AN/A0448118
2007-07-18$61.90$61.0016.6%4.8%15.1%0.0%0.0%2.1%1.5%-10.6K59.3K-2.4K0.0031.80N/AN/A02248120
2007-07-19$62.26$61.0016.6%4.8%14.2%0.0%0.0%1.6%1.7%-14.8K77.0K-2.6K0.0041.34N/AN/A0048139
2007-07-20$61.24$61.0017.4%5.0%15.5%0.0%0.0%2.7%1.1%-14.3K144.8K-2.6K0.0029.09N/AN/A0048139
2007-07-23$61.63$61.0017.2%4.9%15.0%0.0%0.0%2.3%-0.3%-14.4K126.8K-2.6K0.0044.81N/AN/A0047139
2007-07-24$60.37$61.0018.5%5.3%16.9%0.0%0.0%4.2%-1.0%-15.1K200.9K-2.6K0.0028.75N/AN/A0847139
2007-07-25$60.06$61.0018.2%5.2%16.9%0.0%0.0%5.6%-1.2%-14.5K206.0K-2.6K0.0043.96N/AN/A02047137
2007-07-26$58.09$61.0042.2%12.1%20.6%0.0%0.0%-11.7%-10.7%-12.3K238.7K-2.4K0.00186.39N/AN/A0047120
2007-07-27$57.30$61.0021.2%6.1%21.0%0.0%0.0%3.4%-2.4%-12.4K279.6K-2.3K0.0073.77N/AN/A0047120
2007-07-30$58.49$61.0044.8%12.8%22.4%0.0%0.0%-12.6%-17.7%-14.0K226.7K-2.3K0.00192.29N/AN/A0047120
2007-07-31$58.24$61.0047.6%13.7%21.5%0.0%0.0%-12.2%-15.5%-14.3K221.0K-2.3K0.00189.33N/AN/A0047120