FEZ Options History — November 2007

In November 2007, FEZ traded between $61.55 and $64.85. ATM implied volatility averaged 26.5%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.1% (HV 20d: 23.4%). Max pain ranged from $60.00 to $63.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-11-08: Highest Volume — 342 contracts
  • 2007-11-08: Largest IV spike — 176.1% change
  • 2007-11-09: Highest IV Rank — 50.1%
  • 2007-11-09: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.21$61.55$64.85$63.30$64.29
Max Pain$62.40$60.00$63.00$60.00$63.00
ATM IV26.5%17.8%66.0%22.0%17.8%
Expected Move6.4%5.1%8.2%6.3%5.1%
HV 20d23.4%17.9%29.9%17.9%28.1%
HV 60d21.0%20.1%21.9%21.6%21.8%
IV Rank14.1%6.8%50.1%50.1%6.8%
IV Percentile54.9%22.9%94.4%94.4%22.9%
Term Structure-0.9%-4.8%1.7%-2.2%-0.8%
VWIV21.5%21.5%21.5%21.5%21.5%
Skew 25d5.9%1.4%24.7%4.8%3.5%
Skew 10d6.6%-4.9%27.8%-3.3%2.8%
Call IV 25d24.6%17.0%74.1%19.6%17.0%
Put IV 25d30.4%19.9%85.0%24.4%20.5%
Bid-Ask Spread %48.5320.22188.6762.3151.69
Gamma HHI0.500.390.590.560.55
Net GEX55.0K19.3K90.2K79.4K74.2K
Net DEX-539.6K-1.1M-96.6K-794.2K-690.8K
Net VEX-5.3K-7.0K-4.2K-6.9K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume22.429034270
Total OI586.19532677677558

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$63.30$60.0022.0%6.3%17.9%0.0%0.0%4.8%-2.2%79.4K-794.2K-6.9K0.0062.31N/AN/A70430247
2007-11-02$64.11$60.0020.4%5.8%18.3%0.0%0.0%3.5%-1.2%89.7K-985.3K-7.0K0.0059.91N/AN/A70430247
2007-11-05$63.56$0.0023.0%6.4%18.1%0.0%0.0%3.6%-2.0%79.9K-892.6K-6.9K0.0022.00N/AN/A00430245
2007-11-06$64.47$0.0018.6%5.5%18.5%0.0%0.0%1.7%0.5%90.2K-1.1M-6.7K0.0032.86N/AN/A00430245
2007-11-07$63.70$0.0022.1%6.2%19.1%0.0%0.0%1.4%-1.7%79.1K-867.0K-6.7K0.0030.96N/AN/A00430245
2007-11-08$64.15$0.0061.1%7.9%19.1%0.0%0.0%24.7%-4.1%65.0K-1.1M-6.7K0.00179.16N/AN/A3420430245
2007-11-09$62.64$0.0066.0%8.2%21.0%50.1%0.0%10.9%-4.8%19.3K-337.6K-5.2K0.00188.67N/AN/A40287245
2007-11-12$61.82$0.0031.0%7.1%21.4%18.7%0.0%6.6%1.5%26.5K-147.0K-5.0K0.0020.22N/AN/A00288245
2007-11-13$63.51$0.0023.4%6.3%23.3%11.8%0.0%4.7%-0.7%40.9K-433.8K-4.9K0.0024.84N/AN/A00288245
2007-11-14$63.28$0.0028.5%6.5%23.0%16.5%0.0%4.9%-2.2%42.8K-387.9K-4.9K0.0021.07N/AN/A1000288245
2007-11-15$62.27$0.0022.7%6.5%23.6%11.2%0.0%6.0%0.3%41.6K-174.8K-4.9K0.0024.84N/AN/A00314245
2007-11-16$62.92$0.0020.9%6.0%23.3%9.6%0.0%5.7%1.7%64.7K-349.5K-5.0K0.0026.17N/AN/A00314245
2007-11-19$61.55$0.0022.8%6.5%24.5%11.3%21.5%5.6%-0.5%25.9K-96.6K-4.6K0.0026.31N/AN/A100302245
2007-11-20$63.00$63.0020.9%6.0%25.4%9.6%0.0%5.5%1.2%50.1K-384.6K-4.8K0.0027.36N/AN/A00312245
2007-11-21$62.08$63.0024.0%6.9%26.0%12.4%0.0%6.2%-0.4%36.6K-234.2K-4.8K0.0027.65N/AN/A00312245
2007-11-23$63.23$63.0022.4%6.4%26.7%10.9%0.0%4.5%-2.7%50.3K-440.8K-4.7K0.0036.62N/AN/A00312245
2007-11-26$61.84$63.0023.9%6.9%27.0%12.3%0.0%5.9%-0.1%33.9K-177.1K-4.5K0.0027.95N/AN/A10312245
2007-11-27$62.85$63.0022.2%6.4%27.7%10.8%0.0%6.1%1.4%44.8K-308.0K-4.6K0.0031.93N/AN/A00313245
2007-11-28$64.85$63.0020.1%5.7%29.9%8.8%0.0%3.3%-0.6%64.7K-817.4K-4.3K0.0054.42N/AN/A00313245
2007-11-29$64.04$63.0022.3%6.4%29.9%10.8%0.0%3.9%-2.0%54.9K-662.9K-4.4K0.0042.15N/AN/A00313245
2007-11-30$64.29$63.0017.8%5.1%28.1%6.8%0.0%3.5%-0.8%74.2K-690.8K-4.2K0.0051.69N/AN/A00313245