FEZ Options History — December 2008

In December 2008, FEZ traded between $27.86 and $35.05. ATM implied volatility averaged 65.0%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 8.4% (HV 20d: 73.4%). Max pain ranged from $35.00 to $55.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2008-12-30: Highest Volume — 2,000 contracts
  • 2008-12-26: Largest IV spike — 186.4% change
  • 2008-12-10: Highest IV Rank — 61.1%
  • 2008-12-30: Largest Expected Move — 23.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.17$27.86$35.05$27.86$34.35
Max Pain$50.59$35.00$55.00$35.00$54.00
ATM IV65.0%25.5%111.1%64.8%34.0%
Expected Move16.9%7.3%23.0%18.6%9.8%
HV 20d73.4%42.4%97.5%94.0%42.4%
HV 60d97.8%87.1%106.7%103.3%87.1%
IV Rank33.1%9.2%61.1%33.0%14.4%
IV Percentile77.0%47.3%97.6%80.0%54.4%
Term Structure-10.0%-47.0%17.4%-3.9%6.2%
VWIV61.4%55.5%67.2%67.2%55.5%
Skew 25d16.2%0.1%43.3%18.5%9.9%
Skew 10d23.0%-7.4%64.3%30.5%23.8%
Call IV 25d58.1%22.6%112.1%53.4%34.0%
Put IV 25d74.3%41.7%116.7%71.9%43.9%
Bid-Ask Spread %109.6357.89152.9357.89107.77
Gamma HHI0.120.060.670.170.67
Net GEX6.8K-50.2K12.8K5.1K-50.2K
Net DEX498.8K233.8K1.4M623.2K1.4M
Net VEX-2.5K-8.1K-946-946-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.002.000.002.00
Total Volume99.68202,00000
Total OI963.1367872,9337872,933

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$27.86$35.0064.8%18.6%94.0%33.0%0.0%18.5%-3.9%5.1K623.2K-9460.0057.89N/AN/A00514273
2008-12-02$29.76$35.0079.6%22.8%97.5%42.0%0.0%0.1%-22.5%6.8K524.3K-1.9K0.00152.93N/AN/A00514273
2008-12-03$30.04$35.0065.7%18.8%91.0%33.6%0.0%31.1%-3.0%6.6K589.3K-1.5K0.0058.78N/AN/A010514273
2008-12-04$29.29$35.0060.2%17.2%88.9%30.2%0.0%27.6%17.4%6.1K603.1K-1.5K0.0067.21N/AN/A00514283
2008-12-05$29.47$55.0099.8%17.8%85.9%54.2%67.2%7.0%-12.8%6.2K567.8K-1.8K0.00121.59N/AN/A620514283
2008-12-08$31.36$54.0064.7%17.4%85.6%33.0%0.0%17.2%-7.0%9.1K498.1K-1.9K0.0087.18N/AN/A00572283
2008-12-09$31.20$54.0095.3%16.6%85.3%51.5%0.0%38.2%-7.5%10.1K448.7K-2.2K0.00124.38N/AN/A00572283
2008-12-10$32.39$54.00111.1%16.7%85.0%61.1%0.0%15.8%-4.6%10.5K419.8K-2.4K0.00123.32N/AN/A00572283
2008-12-11$32.33$54.0060.6%17.4%82.2%30.5%0.0%13.7%-8.4%10.6K423.0K-2.3K0.50123.87N/AN/A2010572283
2008-12-12$32.47$54.0063.2%18.1%74.8%32.1%0.0%9.9%-7.4%10.7K391.5K-2.6K0.00124.13N/AN/A00592293
2008-12-15$32.64$54.0052.2%15.0%70.5%25.4%0.0%17.7%0.1%10.9K441.4K-2.3K0.0086.43N/AN/A00592293
2008-12-16$35.05$54.0055.3%15.8%73.6%27.3%55.5%8.4%-8.5%12.8K233.8K-3.2K0.00127.43N/AN/A10592293
2008-12-17$34.90$54.0056.3%16.1%73.7%27.9%0.0%13.7%-4.7%12.2K298.6K-2.9K0.00125.74N/AN/A00593293
2008-12-18$33.88$54.0043.0%12.3%69.2%19.8%0.0%15.0%1.7%12.6K437.9K-2.1K0.0092.51N/AN/A00593293
2008-12-19$32.99$54.0054.8%15.7%66.9%27.0%0.0%43.3%-13.7%11.8K378.6K-2.5K0.50124.76N/AN/A4020593293
2008-12-22$32.58$54.0039.0%11.2%66.0%17.4%0.0%14.5%6.9%11.1K509.7K-2.0K2.0098.79N/AN/A1020590313
2008-12-23$32.59$54.0073.5%21.1%59.1%38.3%0.0%3.6%-37.7%8.8K451.6K-2.6K0.00125.88N/AN/A00600333
2008-12-24$32.75$54.0025.5%7.3%58.8%9.2%0.0%11.7%10.5%9.7K540.6K-1.9K0.0099.90N/AN/A00600333
2008-12-26$32.85$54.0072.9%20.9%58.8%37.9%0.0%5.1%-34.4%9.8K394.1K-2.6K0.00127.33N/AN/A00600333
2008-12-29$32.83$54.0078.5%22.5%58.7%41.3%0.0%30.7%-47.0%9.2K439.6K-2.5K0.00126.89N/AN/A00600333
2008-12-30$34.16$54.0080.1%23.0%47.2%42.3%0.0%4.5%-40.4%9.3K395.7K-2.5K0.00127.18N/AN/A02,000600333
2008-12-31$34.35$54.0034.0%9.8%42.4%14.4%0.0%9.9%6.2%-50.2K1.4M-8.1K0.00107.77N/AN/A006002,333