FEZ Options History — December 2007 In December 2007, FEZ traded between $61.62 and $65.85. ATM implied volatility averaged 21.4%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 6.0% (HV 20d: 27.3%). Max pain ranged from $60.00 to $63.00. Net GEX was positive for 14 of 14 trading days. Term structure was in contango for 6 of 14 days. Put/call ratio averaged 1.25.
Notable Days 2007-12-07 : Highest Volume — 30 contracts2007-12-11 : Largest IV spike — 115.2% change2007-12-11 : Highest IV Rank — 26.8%2007-12-11 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $63.86 $61.62 $65.85 $64.10 $62.33 Max Pain $60.86 $60.00 $63.00 $63.00 $60.00 ATM IV 21.4% 17.0% 40.1% 19.0% 20.4% Expected Move 5.7% 4.7% 7.3% 5.4% 5.9% HV 20d 27.3% 25.7% 28.9% 27.8% 26.6% HV 60d 21.8% 20.9% 22.4% 21.5% 22.4% IV Rank 10.0% 6.1% 26.8% 7.9% 9.2% IV Percentile 40.1% 11.4% 83.0% 31.2% 42.9% Term Structure -0.1% -4.3% 5.4% -1.4% 2.4% VWIV 19.4% 16.1% 21.9% 20.2% 21.9% Skew 25d 4.4% 2.1% 9.1% 3.7% 9.1% Skew 10d 4.6% -0.1% 18.1% 2.9% 9.2% Call IV 25d 17.1% 12.8% 20.2% 17.6% 12.8% Put IV 25d 21.5% 18.5% 28.3% 21.3% 22.0% Bid-Ask Spread % 74.14 51.95 137.44 52.07 76.73 Gamma HHI 0.52 0.39 0.65 0.55 0.39 Net GEX 65.8K 20.7K 102.7K 72.9K 30.1K Net DEX -524.0K -1.1M 145.9K -676.2K 81.2K Net VEX -4.0K -5.1K -3.6K -4.0K -3.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.25 0.00 5.00 0.00 0.00 Total Volume 4.714 0 30 0 0 Total OI 596.429 558 616 558 613
Daily Data (14 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-12-03 $64.10 $63.00 19.0% 5.4% 27.8% 7.9% 0.0% 3.7% -1.4% 72.9K -676.2K -4.0K 0.00 52.07 N/A N/A 0 0 313 245 2007-12-04 $64.09 $63.00 20.3% 5.8% 27.6% 9.0% 0.0% 3.6% -2.6% 73.0K -657.5K -3.9K 0.00 51.95 N/A N/A 0 0 313 245 2007-12-05 $64.65 $63.00 20.3% 5.8% 27.3% 9.0% 20.2% 3.0% -2.6% 81.5K -809.0K -3.8K 0.00 65.81 N/A N/A 8 0 313 245 2007-12-06 $65.36 $63.00 19.9% 5.7% 27.2% 8.7% 0.0% 3.0% -3.5% 95.0K -1.0M -3.7K 0.00 75.35 N/A N/A 0 20 321 245 2007-12-07 $65.15 $60.00 18.3% 4.8% 27.1% 7.3% 0.0% 2.8% 2.5% 93.5K -987.6K -4.0K 0.00 73.86 N/A N/A 0 30 321 265 2007-12-10 $65.85 $60.00 18.6% 4.8% 25.7% 7.5% 0.0% 2.2% 0.4% 99.1K -1.1M -4.1K 0.00 84.49 N/A N/A 0 0 321 295 2007-12-11 $64.05 $60.00 40.1% 7.3% 27.3% 26.8% 0.0% 8.1% -0.1% 30.0K -518.2K -5.1K 0.00 137.44 N/A N/A 0 0 321 295 2007-12-12 $65.43 $60.00 17.9% 4.7% 26.7% 6.9% 16.1% 2.1% 5.4% 102.7K -1.0M -4.1K 5.00 83.17 N/A N/A 1 5 321 295 2007-12-13 $64.46 $60.00 17.0% 4.9% 27.3% 6.1% 0.0% 3.6% 3.7% 92.4K -655.6K -4.3K 0.00 67.38 N/A N/A 0 0 321 291 2007-12-14 $62.79 $60.00 22.1% 6.3% 28.3% 10.7% 0.0% 5.0% -1.1% 57.5K -199.5K -4.3K 0.00 61.79 N/A N/A 1 0 321 291 2007-12-17 $61.62 $60.00 22.1% 6.3% 28.9% 10.7% 21.9% 3.5% -4.3% 20.7K 145.9K -3.9K 0.00 66.91 N/A N/A 1 0 322 291 2007-12-18 $62.30 $60.00 22.0% 6.3% 28.1% 10.6% 0.0% 5.9% 0.9% 41.1K 34.2K -3.9K 0.00 67.69 N/A N/A 0 0 322 291 2007-12-19 $61.79 $60.00 21.1% 6.1% 26.9% 9.8% 0.0% 5.5% -0.5% 32.2K 81.0K -3.8K 0.00 73.30 N/A N/A 0 0 322 291 2007-12-20 $62.33 $60.00 20.4% 5.9% 26.6% 9.2% 0.0% 9.1% 2.4% 30.1K 81.2K -3.6K 0.00 76.73 N/A N/A 0 0 322 291
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