FEZ Options History — September 2008

In September 2008, FEZ traded between $41.06 and $45.98. ATM implied volatility averaged 44.9%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 58.8% (HV 20d: 103.6%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 0 of 6 trading days. Term structure was in contango for 0 of 6 days. Put/call ratio averaged 0.55.

Notable Days

2008-09-25: Highest Volume — 85 contracts
2008-09-29: Largest IV spike — 51.8% change
2008-09-29: Highest IV Rank — 42.7%
2008-09-29: Largest Expected Move — 16.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.06	$41.06	$45.98	$44.59	$42.59
Max Pain	$46.00	$46.00	$46.00	$46.00	$46.00
ATM IV	44.9%	35.3%	57.7%	38.1%	54.8%
Expected Move	12.9%	10.1%	16.5%	10.9%	15.7%
HV 20d	103.6%	100.7%	108.2%	102.1%	108.2%
HV 60d	63.4%	62.0%	66.2%	62.0%	66.2%
IV Rank	31.1%	22.5%	42.7%	25.0%	40.0%
IV Percentile	86.1%	79.9%	92.5%	82.8%	91.4%
Term Structure	-8.6%	-17.9%	-2.4%	-4.5%	-17.9%
VWIV	49.4%	35.4%	58.4%	35.4%	54.3%
Skew 25d	10.0%	4.1%	11.8%	11.6%	4.1%
Skew 10d	17.6%	4.6%	29.9%	29.9%	9.4%
Call IV 25d	42.4%	30.0%	56.7%	33.4%	56.4%
Put IV 25d	52.4%	40.5%	68.1%	44.9%	60.5%
Bid-Ask Spread %	90.56	38.77	142.82	38.77	142.43
Gamma HHI	0.53	0.49	0.57	0.57	0.51
Net GEX	-122.1K	-148.4K	-82.8K	-140.4K	-106.6K
Net DEX	2.5M	1.8M	3.6M	2.5M	3.1M
Net VEX	-10.0K	-11.1K	-8.0K	-10.5K	-9.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.55	0.55	0.55	0.55
Total Volume	16.833	0	85	0	8
Total OI	1,960.167	1,919	2,004	1,919	1,996

Daily Data (6 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
2008-09-23	$44.59	$46.00	38.1%	10.9%	102.1%	25.0%	0.0%	11.6%	-4.5%	-140.4K	2.5M	-10.5K	0.00	38.77	N/A	N/A	0	0	626	1,293
2008-09-24	$44.55	$46.00	45.3%	13.0%	100.7%	31.5%	0.0%	10.3%	-6.8%	-117.6K	2.4M	-10.7K	0.00	142.82	N/A	N/A	0	0	626	1,293
2008-09-25	$45.98	$46.00	35.3%	10.1%	102.3%	22.5%	35.4%	10.5%	-2.4%	-148.4K	1.8M	-10.7K	0.55	40.11	N/A	N/A	55	30	626	1,293
2008-09-26	$45.57	$46.00	38.0%	10.9%	102.1%	25.0%	0.0%	11.8%	-5.0%	-137.1K	1.9M	-11.1K	0.00	39.98	N/A	N/A	0	0	681	1,323
2008-09-29	$41.06	$46.00	57.7%	16.5%	106.4%	42.7%	58.4%	11.4%	-14.9%	-82.8K	3.6M	-8.0K	0.00	139.28	N/A	N/A	0	8	681	1,323
2008-09-30	$42.59	$46.00	54.8%	15.7%	108.2%	40.0%	54.3%	4.1%	-17.9%	-106.6K	3.1M	-9.4K	0.00	142.43	N/A	N/A	0	8	681	1,315