FEZ Options History — September 2007

In September 2007, FEZ traded between $57.47 and $62.28. ATM implied volatility averaged 24.6%. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.2% (HV 20d: 24.8%). Max pain ranged from $57.00 to $60.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.10.

Notable Days

  • 2007-09-20: Highest Volume — 20 contracts
  • 2007-09-06: Largest IV spike — 107.0% change
  • 2007-09-06: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.72$57.47$62.28$58.96$62.28
Max Pain$59.53$57.00$60.00$57.00$60.00
ATM IV24.6%14.5%50.5%21.1%19.4%
Expected Move6.9%4.2%14.5%6.0%5.6%
HV 20d24.8%19.8%27.5%27.2%19.8%
HV 60d22.4%21.5%23.3%21.8%23.1%
Term Structure-1.5%-14.7%6.2%-0.2%-0.9%
VWIV20.0%14.1%24.8%22.5%18.6%
Skew 25d5.2%-3.2%8.1%4.7%4.8%
Skew 10d10.0%-2.2%17.7%14.8%7.6%
Call IV 25d22.3%15.3%68.9%19.1%16.5%
Put IV 25d27.5%20.0%67.5%23.7%21.4%
Bid-Ask Spread %72.7939.83183.4853.0388.18
Gamma HHI0.510.490.550.510.52
Net GEX-69.7K-101.5K-45.1K-72.1K-74.1K
Net DEX792.6K-116.1K1.6M1.1M-116.1K
Net VEX-9.9K-11.2K-9.1K-10.5K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.000.670.000.00
Total Volume3.26302010
Total OI1,0071,0011,0121,0011,006

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$58.96$57.0021.1%6.0%27.2%0.0%22.5%4.7%-0.2%-72.1K1.1M-10.5K0.0053.03N/AN/A10419582
2007-09-05$57.98$57.0024.4%7.0%27.5%0.0%0.0%6.5%-2.9%-68.6K1.5M-9.3K0.0053.70N/AN/A00420582
2007-09-06$58.31$57.0050.5%14.5%27.3%0.0%0.0%-1.4%-14.7%-45.1K841.1K-11.2K0.00183.48N/AN/A00420582
2007-09-07$57.47$60.0026.9%7.9%25.8%0.0%0.0%7.2%-3.2%-64.3K1.6M-9.1K0.0040.69N/AN/A010420582
2007-09-10$57.57$60.0028.7%6.9%25.6%0.0%0.0%7.6%-2.0%-61.5K1.6M-9.3K0.0039.83N/AN/A00420587
2007-09-11$58.39$60.0028.5%7.0%26.0%0.0%0.0%7.4%-2.3%-62.9K1.3M-9.8K0.0040.45N/AN/A20420587
2007-09-12$58.47$60.0028.6%7.0%25.3%0.0%0.0%6.0%-2.1%-63.1K1.3M-9.8K0.0040.94N/AN/A20421587
2007-09-13$58.85$60.0023.7%6.8%23.5%0.0%0.0%8.1%-1.5%-67.2K1.1M-10.1K0.0045.16N/AN/A00423587
2007-09-14$58.58$60.0023.8%6.8%23.7%0.0%0.0%6.6%-1.6%-66.1K1.2M-9.8K0.0041.70N/AN/A00423587
2007-09-17$58.06$60.0024.9%7.1%22.7%0.0%24.8%6.6%-2.1%-65.3K1.4M-9.4K0.0040.81N/AN/A40423587
2007-09-18$60.62$60.0031.3%9.0%26.9%0.0%0.0%-3.2%-3.0%-46.3K520.2K-10.6K0.00153.87N/AN/A00425587
2007-09-19$61.01$60.0022.2%6.4%26.8%0.0%0.0%6.5%-1.9%-70.1K348.4K-10.2K0.0064.62N/AN/A00425587
2007-09-20$61.29$60.0022.6%6.5%25.9%0.0%21.7%5.7%-2.3%-68.8K240.4K-10.0K0.6767.71N/AN/A128425587
2007-09-21$61.39$60.0014.5%4.2%25.8%0.0%14.1%5.2%4.7%-63.5K421.3K-10.2K0.0085.93N/AN/A200412595
2007-09-24$61.00$60.0019.2%5.5%25.0%0.0%0.0%5.6%6.2%-101.5K332.9K-10.0K0.0084.35N/AN/A00412594
2007-09-25$61.11$60.0021.1%6.1%24.7%0.0%0.0%5.3%4.1%-91.8K400.5K-9.5K0.0084.89N/AN/A10412594
2007-09-26$61.42$60.0018.6%5.3%21.9%0.0%18.6%5.0%-1.1%-95.4K192.7K-9.6K0.0085.68N/AN/A01412594
2007-09-27$62.00$60.0018.5%5.3%20.1%0.0%18.6%5.0%-1.8%-75.6K-55.5K-9.4K0.0087.93N/AN/A01412595
2007-09-28$62.28$60.0019.4%5.6%19.8%0.0%0.0%4.8%-0.9%-74.1K-116.1K-9.5K0.0088.18N/AN/A00412594