FEZ Options History — October 2008

In October 2008, FEZ traded between $27.56 and $42.61. ATM implied volatility averaged 82.2%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 30.8% (HV 20d: 113.0%). Max pain ranged from $37.00 to $46.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.31.

Notable Days

  • 2008-10-20: Highest Volume — 60 contracts
  • 2008-10-16: Largest IV drop — 66.9% change
  • 2008-10-14: Highest IV Rank — 100.0%
  • 2008-10-28: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.20$27.56$42.61$42.61$32.95
Max Pain$38.17$37.00$46.00$46.00$37.00
ATM IV82.2%53.3%175.5%56.3%67.5%
Expected Move18.4%14.8%24.1%16.2%19.4%
HV 20d113.0%98.8%135.7%108.0%110.7%
HV 60d78.7%66.1%90.5%66.1%90.5%
IV Rank53.4%26.1%100.0%41.4%34.7%
IV Percentile93.3%83.5%100.0%91.4%88.6%
Term Structure-13.4%-39.0%-3.9%-14.3%-16.2%
VWIV63.7%55.1%86.4%57.7%86.4%
Skew 25d6.9%-8.2%32.7%7.1%14.1%
Skew 10d6.0%-12.2%40.2%12.0%36.4%
Call IV 25d61.0%45.9%80.9%56.1%67.9%
Put IV 25d67.8%49.5%106.6%63.2%82.0%
Bid-Ask Spread %136.4494.58200.00141.40137.54
Gamma HHI0.240.070.680.510.08
Net GEX-17.0K-106.9K5.8K-106.9K5.7K
Net DEX2.5M12.4K4.3M3.1M640.7K
Net VEX-3.3K-9.3K-3-9.3K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0013.000.000.00
Total Volume15.087060030
Total OI1,407442,0182,004747

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$42.61$46.0056.3%16.2%108.0%41.4%0.0%7.1%-14.3%-106.9K3.1M-9.3K0.00141.40N/AN/A006811,323
2008-10-02$40.56$46.0061.0%17.5%107.7%45.6%57.7%12.5%-17.4%-79.0K3.8M-7.3K0.00139.16N/AN/A606811,323
2008-10-03$40.77$46.0063.6%18.2%108.0%48.0%0.0%11.1%-20.3%-81.5K3.7M-7.4K0.00140.00N/AN/A506811,323
2008-10-06$38.29$37.0080.8%15.8%108.0%63.4%0.0%7.3%-8.6%-45.9K3.7M-6.1K0.00145.80N/AN/A0106861,323
2008-10-07$36.80$37.0081.4%15.1%108.1%63.9%0.0%3.9%-8.1%-30.6K4.2M-4.4K0.00142.86N/AN/A3006861,332
2008-10-08$35.88$37.0087.0%14.8%106.6%69.0%0.0%3.1%-4.6%-23.9K4.2M-3.7K0.00138.80N/AN/A2006761,332
2008-10-09$33.27$37.00109.4%16.5%107.6%89.1%0.0%9.6%-13.9%-11.8K3.9M-3.6K0.00126.61N/AN/A2006791,332
2008-10-10$31.88$37.00111.7%16.9%107.6%91.2%0.0%-8.2%-16.1%4.1K4.0M-2.1K4.00125.39N/AN/A10406591,332
2008-10-13$37.47$37.00109.2%16.7%128.1%88.9%55.7%5.9%-8.4%-35.5K4.3M-4.0K0.06146.90N/AN/A1816341,352
2008-10-14$36.48$37.00123.7%19.7%127.4%100.0%0.0%28.3%-3.9%-25.6K4.3M-3.8K13.00137.48N/AN/A1136371,351
2008-10-15$32.31$37.00175.5%17.6%131.5%100.0%0.0%-2.2%-18.0%3.6K4.2M-1.6K0.00126.52N/AN/A006371,347
2008-10-16$33.77$37.0058.1%16.6%133.5%29.0%55.1%-6.3%-6.3%4.9K4.2M-2.7K0.00132.41N/AN/A046371,347
2008-10-17$33.35$37.0061.2%17.5%133.2%30.8%0.0%-4.0%-16.8%4.7K4.2M-2.5K0.00129.25N/AN/A016371,351
2008-10-20$35.02$37.0053.3%15.3%135.7%26.1%0.0%-7.4%-11.6%5.8K599.3K-2.7K0.00142.33N/AN/A060398267
2008-10-21$32.87$37.0058.0%16.6%99.6%28.9%0.0%9.9%-10.0%3.3K739.5K-1.9K0.00135.16N/AN/A00398287
2008-10-22$30.07$37.0071.0%20.3%102.8%36.8%0.0%-1.5%-11.4%2.2K708.7K-1.5K0.00130.17N/AN/A01398287
2008-10-23$30.67$37.0071.6%20.5%102.1%37.2%0.0%25.7%-8.8%1.5K745.0K-1.0K0.0094.58N/AN/A01398278
2008-10-24$28.96$37.0078.0%22.4%102.8%41.0%0.0%-3.3%-9.7%2.0K658.1K-1.4K0.00124.61N/AN/A450398277
2008-10-27$27.56$37.0079.7%22.8%98.8%42.0%0.0%2.0%-17.2%1.1K657.1K-1.1K0.00125.19N/AN/A200443277
2008-10-28$31.27$37.0083.9%24.1%110.1%44.6%86.4%32.7%-13.1%4.8K591.4K-2.4K0.00137.69N/AN/A70463277
2008-10-29$31.63$37.0067.4%19.3%110.4%34.6%0.0%0.0%-39.0%5412.4K-30.00200.00N/AN/A00404
2008-10-30$32.24$37.0081.1%23.2%110.3%42.9%0.0%11.3%-15.5%5.0K642.2K-2.1K0.00138.19N/AN/A40468277
2008-10-31$32.95$37.0067.5%19.4%110.7%34.7%0.0%14.1%-16.2%5.7K640.7K-2.3K0.00137.54N/AN/A300470277