FEZ Options History — November 2008 In November 2008, FEZ traded between $26.35 and $35.52. ATM implied volatility averaged 77.3%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 23.7% (HV 20d: 101.0%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2008-11-11 : Highest Volume — 60 contracts2008-11-13 : Largest IV drop — 38.2% change2008-11-12 : Highest IV Rank — 56.7%2008-11-03 : Largest Expected Move — 25.4%Monthly Statistics Metric Avg Min Max Open Close Price $30.77 $26.35 $35.52 $32.41 $30.62 Max Pain $35.42 $35.00 $37.00 $37.00 $35.00 ATM IV 77.3% 61.5% 104.0% 88.7% 61.5% Expected Move 20.2% 15.2% 25.4% 25.4% 17.6% HV 20d 101.0% 88.8% 116.6% 109.1% 88.8% HV 60d 97.4% 90.5% 102.1% 90.5% 101.9% IV Rank 40.6% 31.0% 56.7% 47.5% 31.0% IV Percentile 88.7% 77.9% 96.4% 95.2% 77.9% Term Structure -13.8% -38.0% -2.1% -13.8% -2.1% Skew 25d 8.0% 0.2% 17.9% 0.2% 17.9% Skew 10d 3.3% -7.8% 28.8% 22.9% 28.8% Call IV 25d 70.2% 50.1% 120.2% 82.3% 50.1% Put IV 25d 78.2% 63.9% 123.4% 82.5% 68.0% Bid-Ask Spread % 143.77 57.05 160.37 140.63 57.05 Gamma HHI 0.08 0.07 0.12 0.07 0.11 Net GEX 6.6K 3.1K 9.3K 5.9K 6.9K Net DEX 566.2K 483.3K 616.8K 528.4K 595.5K Net VEX -2.1K -2.7K -1.2K -2.7K -1.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 4.263 0 60 0 0 Total OI 805.053 777 838 777 787
Daily Data (19 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 2008-11-03 $32.41 $37.00 88.7% 25.4% 109.1% 47.5% 0.0% 0.2% -13.8% 5.9K 528.4K -2.7K 0.00 140.63 N/A N/A 0 0 500 277 2008-11-04 $35.52 $37.00 64.1% 18.4% 113.9% 32.6% 0.0% 9.1% -19.0% 8.8K 571.3K -2.7K 0.00 151.04 N/A N/A 1 0 500 277 2008-11-05 $33.33 $37.00 84.7% 24.3% 115.8% 45.0% 0.0% 3.2% -38.0% 7.2K 553.5K -2.6K 0.00 141.97 N/A N/A 0 0 501 277 2008-11-06 $31.12 $37.00 84.2% 24.1% 115.2% 44.8% 0.0% 10.0% -26.1% 5.6K 611.5K -2.0K 0.00 137.98 N/A N/A 0 0 501 277 2008-11-07 $33.19 $35.00 73.4% 15.2% 116.6% 38.2% 0.0% 10.1% -8.8% 6.9K 601.9K -2.3K 0.00 142.70 N/A N/A 0 0 501 277 2008-11-10 $32.47 $35.00 98.8% 18.0% 100.4% 53.6% 0.0% 6.5% -13.2% 6.6K 616.8K -2.1K 0.00 143.85 N/A N/A 0 0 501 277 2008-11-11 $31.11 $35.00 97.9% 17.7% 101.0% 53.1% 0.0% 5.5% -7.9% 6.0K 583.3K -2.2K 0.00 147.66 N/A N/A 60 0 501 277 2008-11-12 $29.42 $35.00 104.0% 19.0% 93.6% 56.7% 0.0% 4.1% -11.0% 6.3K 579.8K -1.8K 0.00 155.02 N/A N/A 0 0 561 277 2008-11-13 $32.40 $35.00 64.3% 18.4% 98.9% 32.7% 0.0% 11.0% -11.8% 9.3K 514.0K -2.6K 0.00 145.75 N/A N/A 0 0 561 277 2008-11-14 $30.31 $35.00 68.3% 19.6% 101.5% 35.1% 0.0% 5.9% -9.3% 6.9K 537.9K -2.2K 0.00 149.32 N/A N/A 0 0 561 277 2008-11-17 $29.61 $35.00 68.1% 19.5% 99.7% 35.0% 0.0% 1.9% -14.7% 6.4K 559.3K -2.0K 0.00 155.75 N/A N/A 0 0 561 277 2008-11-18 $29.76 $35.00 69.0% 19.8% 97.6% 35.6% 0.0% 7.6% -3.5% 5.8K 554.0K -2.0K 0.00 154.41 N/A N/A 0 0 561 277 2008-11-19 $27.73 $35.00 75.8% 21.7% 95.7% 39.7% 0.0% 4.5% -15.3% 4.5K 583.0K -1.5K 0.00 146.50 N/A N/A 0 0 561 277 2008-11-20 $26.35 $35.00 79.4% 22.8% 96.7% 41.8% 0.0% 7.7% -16.8% 3.1K 600.0K -1.2K 0.00 136.89 N/A N/A 0 0 561 277 2008-11-21 $27.60 $35.00 71.4% 20.5% 96.6% 37.0% 0.0% 6.6% -10.6% 5.1K 615.5K -1.3K 0.00 155.41 N/A N/A 20 0 561 277 2008-11-24 $30.11 $35.00 71.4% 20.5% 99.9% 37.0% 0.0% 15.2% -10.1% 7.3K 536.3K -2.0K 0.00 160.37 N/A N/A 0 0 514 273 2008-11-25 $30.73 $35.00 71.1% 20.4% 89.2% 36.8% 0.0% 14.9% -12.5% 8.1K 531.9K -2.1K 0.00 157.49 N/A N/A 0 0 514 273 2008-11-26 $30.80 $35.00 73.3% 21.0% 89.1% 38.2% 0.0% 8.9% -17.2% 7.9K 483.3K -2.4K 0.00 151.84 N/A N/A 0 0 514 273 2008-11-28 $30.62 $35.00 61.5% 17.6% 88.8% 31.0% 0.0% 17.9% -2.1% 6.9K 595.5K -1.5K 0.00 57.05 N/A N/A 0 0 514 273
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