FEZ Options History — October 2007

In October 2007, FEZ traded between $61.85 and $65.10. ATM implied volatility averaged 18.3%. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.9% (HV 20d: 15.4%). Max pain ranged from $60.00 to $63.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.21.

Notable Days

  • 2007-10-31: Highest Volume — 35 contracts
  • 2007-10-03: Largest IV spike — 91.6% change
  • 2007-10-01: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.92$61.85$65.10$62.87$65.10
Max Pain$60.17$60.00$63.00$60.00$60.00
ATM IV18.3%10.2%41.5%41.5%19.7%
Expected Move5.5%2.9%11.9%11.9%5.6%
HV 20d15.4%10.3%19.7%19.5%14.3%
HV 60d22.0%20.7%23.2%23.2%20.8%
Term Structure-0.3%-30.3%7.7%-30.3%-1.3%
VWIV24.0%17.4%38.8%38.8%19.2%
Skew 25d4.6%0.3%13.7%13.7%0.3%
Skew 10d7.2%-5.0%22.3%22.3%-5.0%
Call IV 25d17.1%8.3%19.8%8.3%19.8%
Put IV 25d21.7%18.8%25.0%22.1%20.1%
Bid-Ask Spread %49.7419.33156.27156.2788.53
Gamma HHI0.520.470.600.490.60
Net GEX18.2K-84.3K85.0K-5.1K82.1K
Net DEX-592.3K-1.2M-159.6K-187.7K-1.2M
Net VEX-7.6K-9.1K-6.5K-9.1K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.000.000.13
Total Volume4035735
Total OI883.3916421,0211,006644

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$62.87$60.0041.5%11.9%19.5%0.0%38.8%13.7%-30.3%-5.1K-187.7K-9.1K0.00156.27N/AN/A70412594
2007-10-02$62.52$60.0010.2%2.9%19.7%0.0%0.0%4.5%7.7%-53.9K-347.6K-8.9K0.0094.45N/AN/A00412594
2007-10-03$62.11$60.0019.6%5.6%18.6%0.0%0.0%5.1%-1.2%-78.5K-159.6K-8.8K0.0093.32N/AN/A00412594
2007-10-04$62.34$60.0019.6%5.6%18.6%0.0%0.0%4.8%-1.1%-70.1K-234.0K-8.9K0.0094.51N/AN/A00412594
2007-10-05$62.80$0.0010.4%5.1%17.4%0.0%0.0%4.0%1.1%-37.1K-516.8K-8.4K0.0021.23N/AN/A00412594
2007-10-08$62.15$0.0019.1%5.2%18.2%0.0%0.0%5.1%0.9%-84.3K-226.1K-8.2K1.0021.16N/AN/A11412594
2007-10-09$62.72$0.0011.3%5.0%17.9%0.0%0.0%4.2%1.3%2.2K-647.4K-7.7K0.0023.94N/AN/A10413595
2007-10-10$62.54$0.0012.7%5.0%18.0%0.0%0.0%4.2%1.5%-15.6K-588.5K-7.8K0.0024.29N/AN/A00413595
2007-10-11$62.89$0.0017.4%5.0%18.0%0.0%17.4%3.9%1.6%-35.5K-425.6K-8.2K0.0028.86N/AN/A210413595
2007-10-12$63.10$63.0017.6%5.1%17.8%0.0%20.4%3.9%-1.1%51.6K-792.1K-7.6K0.0028.44N/AN/A90420595
2007-10-15$62.69$60.0017.9%5.1%17.6%0.0%0.0%4.1%1.3%31.6K-677.2K-7.4K0.0026.57N/AN/A00425595
2007-10-16$62.17$60.0020.3%5.8%10.3%0.0%19.2%5.4%0.7%-24.6K-509.4K-7.4K0.0019.33N/AN/A10425595
2007-10-17$62.88$60.0019.1%5.5%10.7%0.0%0.0%4.4%2.2%32.4K-730.1K-7.5K0.0041.78N/AN/A00426595
2007-10-18$63.25$60.0019.3%5.5%10.8%0.0%0.0%4.2%-1.1%71.2K-861.9K-7.4K0.0025.85N/AN/A01426595
2007-10-19$62.25$60.0019.6%5.6%12.5%0.0%0.0%5.4%1.8%45.6K-594.4K-7.3K0.0025.60N/AN/A100426595
2007-10-22$61.85$60.0021.5%6.2%12.5%0.0%0.0%6.0%-0.1%54.5K-395.9K-7.0K0.0021.76N/AN/A00399243
2007-10-23$62.72$60.0017.4%5.0%13.3%0.0%0.0%4.9%1.8%66.6K-580.4K-6.9K0.0026.09N/AN/A10399243
2007-10-24$62.54$60.0017.7%5.1%13.3%0.0%0.0%5.2%1.8%65.7K-538.0K-7.0K0.0033.72N/AN/A00399243
2007-10-25$62.96$60.0017.7%5.1%13.1%0.0%0.0%4.9%1.5%71.1K-629.2K-7.0K0.0032.50N/AN/A00399243
2007-10-26$64.04$60.0016.9%4.9%14.3%0.0%0.0%3.4%1.8%84.4K-906.3K-7.0K1.0055.17N/AN/A22399243
2007-10-29$64.46$60.0017.1%4.9%14.1%0.0%0.0%1.8%1.6%85.0K-939.9K-6.7K0.0081.84N/AN/A00399243
2007-10-30$64.23$60.0018.0%5.2%14.0%0.0%0.0%3.1%1.3%80.1K-942.7K-6.7K0.0078.74N/AN/A00401243
2007-10-31$65.10$60.0019.7%5.6%14.3%0.0%0.0%0.3%-1.3%82.1K-1.2M-6.5K0.1388.53N/AN/A314401243