FEZ Options History — August 2007

In August 2007, FEZ traded between $55.26 and $60.02. ATM implied volatility averaged 34.9%. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 11.0% (HV 20d: 23.9%). Max pain ranged from $57.00 to $61.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 6.51.

Notable Days

  • 2007-08-08: Highest Volume — 696 contracts
  • 2007-08-15: Largest IV spike — 612.1% change
  • 2007-08-15: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.60$55.26$60.02$58.56$58.54
Max Pain$58.83$57.00$61.00$61.00$57.00
ATM IV34.9%17.1%121.5%21.2%20.6%
Expected Move7.4%5.9%10.2%6.1%5.9%
HV 20d23.9%21.6%27.5%21.6%27.5%
HV 60d19.8%18.1%22.5%18.2%22.0%
Term Structure-2.3%-14.0%2.3%-0.0%-0.8%
VWIV26.1%18.1%42.4%42.4%22.9%
Skew 25d1.9%-18.2%6.8%6.3%5.9%
Skew 10d4.9%-22.3%15.0%6.9%15.0%
Call IV 25d25.3%16.6%49.9%16.6%18.1%
Put IV 25d27.2%21.8%40.7%22.8%24.0%
Bid-Ask Spread %75.7521.66189.8874.8446.52
Gamma HHI0.500.430.550.550.52
Net GEX-33.8K-70.2K-6.1K-11.3K-70.2K
Net DEX952.3K123.1K1.6M236.9K1.1M
Net VEX-7.0K-10.3K-2.3K-2.3K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.510.0045.000.0012.33
Total Volume43.6090696140
Total OI696.913167968167968

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$58.56$61.0021.2%6.1%21.6%0.0%0.0%6.3%-0.0%-11.3K236.9K-2.3K0.0074.84N/AN/A1047120
2007-08-02$58.78$61.0020.4%5.9%21.6%0.0%0.0%3.9%0.7%-11.7K222.5K-2.3K0.0054.17N/AN/A10048120
2007-08-03$57.98$61.0024.5%7.0%21.7%0.0%0.0%3.9%-0.9%-9.3K243.2K-2.3K0.0084.65N/AN/A0758120
2007-08-06$58.81$59.0022.8%6.5%22.5%0.0%0.0%3.8%-2.5%-7.9K197.3K-2.3K0.0021.66N/AN/A0058118
2007-08-07$59.40$59.0022.6%6.4%22.4%0.0%0.0%4.1%-2.1%-6.3K171.7K-2.3K0.0029.18N/AN/A0058118
2007-08-08$60.02$59.0061.9%8.4%22.4%0.0%0.0%-0.4%-6.6%-6.1K123.1K-2.4K1.00189.88N/AN/A34834858118
2007-08-09$58.31$59.0025.7%7.0%22.5%0.0%0.0%3.5%-3.7%-42.9K1.0M-9.5K0.0027.13N/AN/A00405458
2007-08-10$57.66$59.0071.8%8.9%22.6%0.0%0.0%-13.6%-3.3%-28.0K907.9K-9.9K0.00157.63N/AN/A00405458
2007-08-13$57.43$59.0090.8%9.2%22.6%0.0%0.0%-14.6%-7.6%-28.2K926.6K-9.5K0.00167.46N/AN/A00405458
2007-08-14$56.59$59.0017.1%6.7%22.9%0.0%0.0%1.4%0.7%-46.0K1.4M-7.8K0.0049.43N/AN/A20405458
2007-08-15$55.26$59.00121.5%10.2%23.9%0.0%42.4%-18.2%-14.0%-26.5K1.3M-7.9K0.00151.36N/AN/A300405458
2007-08-16$55.35$59.0030.6%8.8%23.7%0.0%0.0%3.6%-3.0%-35.0K1.5M-7.4K0.0041.02N/AN/A00405458
2007-08-17$56.66$59.0034.4%9.9%25.4%0.0%0.0%-0.7%-9.0%-29.5K1.1M-8.5K0.00170.47N/AN/A00405458
2007-08-20$56.24$59.0028.5%8.2%25.2%0.0%0.0%5.7%-1.2%-38.9K1.3M-7.7K0.0052.44N/AN/A00393458
2007-08-21$56.10$59.0027.4%7.9%24.5%0.0%0.0%5.3%-0.6%-40.0K1.4M-7.6K0.0057.01N/AN/A00393458
2007-08-22$57.38$59.0022.7%6.5%26.2%0.0%21.7%6.8%2.2%-50.0K1.3M-8.1K0.0060.21N/AN/A100393458
2007-08-23$57.23$58.0023.4%6.7%23.4%0.0%0.0%6.3%2.3%-43.2K1.2M-8.1K0.0058.95N/AN/A00403458
2007-08-24$58.53$58.0020.8%6.0%24.3%0.0%18.1%6.2%0.3%-46.7K895.8K-9.2K0.2542.41N/AN/A123403458
2007-08-27$57.99$58.0021.8%6.2%23.4%0.0%0.0%6.0%-0.5%-43.4K1.1M-8.6K0.0050.65N/AN/A065415461
2007-08-28$56.40$58.0026.4%7.6%25.3%0.0%25.3%5.1%0.0%-45.1K1.6M-8.1K0.0058.51N/AN/A081415506
2007-08-29$58.01$57.0023.0%6.6%27.4%0.0%22.9%6.5%-1.5%-54.2K1.2M-9.7K45.0047.38N/AN/A145415524
2007-08-30$57.66$57.0023.2%6.7%27.4%0.0%0.0%6.3%-1.7%-57.9K1.4M-9.5K0.0049.38N/AN/A00416552
2007-08-31$58.54$57.0020.6%5.9%27.5%0.0%0.0%5.9%-0.8%-70.2K1.1M-10.3K12.3346.52N/AN/A337416552