FEZ Options History — February 2009

In February 2009, FEZ traded between $24.45 and $30.13. ATM implied volatility averaged 90.8%, placing in the 48.8% IV rank vs the trailing year. The 30-day expected move averaged 23.8%. IV traded above realized volatility by 36.3% (HV 20d: 54.5%). Max pain ranged from $25.00 to $32.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.99.

Notable Days

2009-02-03: Highest Volume — 125 contracts
2009-02-23: Largest IV spike — 172.7% change
2009-02-23: Highest IV Rank — 80.7%
2009-02-23: Largest Expected Move — 41.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.18	$24.45	$30.13	$27.94	$24.59
Max Pain	$26.93	$25.00	$32.00	$28.00	$25.00
ATM IV	90.8%	43.8%	143.5%	97.0%	101.6%
Expected Move	23.8%	12.6%	41.1%	27.8%	29.1%
HV 20d	54.5%	47.3%	61.6%	53.8%	47.3%
HV 60d	58.7%	51.0%	66.0%	66.0%	51.0%
IV Rank	48.8%	20.3%	80.7%	52.5%	55.3%
IV Percentile	84.5%	58.5%	99.2%	91.5%	91.3%
Term Structure	-17.6%	-160.7%	155.8%	-35.0%	-35.9%
VWIV	70.1%	42.9%	92.8%	42.9%	92.8%
Skew 25d	-2.4%	-61.2%	15.9%	-12.1%	6.7%
Skew 10d	1.4%	-49.1%	32.9%	-34.4%	12.7%
Call IV 25d	104.5%	35.3%	199.3%	132.0%	139.3%
Put IV 25d	102.0%	49.6%	151.2%	119.9%	146.0%
Bid-Ask Spread %	148.39	39.80	190.04	155.64	171.01
Gamma HHI	0.59	0.06	0.95	0.79	0.13
Net GEX	-92.4K	-352.0K	6.1K	-94.4K	1.2K
Net DEX	2.1M	-582.3K	5.6M	2.3M	202.6K
Net VEX	-3.9K	-6.8K	-1.2K	-6.8K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.33	2.13	2.13	0.33
Total Volume	12.421	0	125	0	0
Total OI	2,315.474	769	2,911	2,757	769

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
2009-02-02	$27.94	$28.00	97.0%	27.8%	53.8%	52.5%	0.0%	-12.1%	-35.0%	-94.4K	2.3M	-6.8K	0.00	155.64	N/A	N/A	0	0	551	2,206
2009-02-03	$28.95	$28.00	43.8%	12.6%	56.0%	20.3%	42.9%	14.3%	1.6%	-166.4K	1.5M	-5.7K	2.13	85.93	N/A	N/A	40	85	551	2,206
2009-02-04	$28.64	$32.00	44.8%	12.8%	55.6%	20.9%	0.0%	15.9%	1.6%	-162.9K	1.6M	-5.7K	0.00	85.93	N/A	N/A	0	0	590	2,288
2009-02-05	$29.06	$29.00	101.8%	29.2%	56.2%	55.4%	0.0%	1.4%	-39.6%	-93.1K	2.1M	-6.5K	0.00	162.15	N/A	N/A	0	0	590	2,278
2009-02-06	$29.91	$0.00	101.8%	17.6%	57.4%	55.4%	0.0%	12.8%	-7.6%	-88.2K	1.8M	-6.4K	0.00	169.36	N/A	N/A	0	0	590	2,278
2009-02-09	$30.13	$0.00	113.4%	18.0%	55.7%	62.4%	0.0%	13.0%	-10.4%	-87.0K	1.7M	-5.9K	0.00	181.90	N/A	N/A	0	0	590	2,278
2009-02-10	$28.28	$0.00	127.2%	20.8%	59.2%	70.8%	0.0%	-8.8%	-9.7%	-87.1K	2.5M	-5.8K	0.00	187.82	N/A	N/A	0	0	590	2,278
2009-02-11	$28.69	$0.00	45.5%	12.6%	59.5%	21.4%	0.0%	15.2%	3.7%	-162.6K	950.0K	-3.8K	0.00	39.80	N/A	N/A	0	0	590	2,278
2009-02-12	$28.47	$0.00	88.2%	25.3%	56.6%	47.2%	74.5%	12.1%	-7.1%	-99.3K	1.7M	-5.1K	0.53	139.41	N/A	N/A	40	21	590	2,278
2009-02-13	$28.18	$27.00	70.0%	20.1%	56.6%	36.2%	0.0%	-10.5%	-14.6%	-89.9K	2.4M	-5.1K	0.00	190.04	N/A	N/A	0	0	620	2,288
2009-02-17	$26.18	$27.00	85.3%	24.5%	61.6%	45.5%	0.0%	-40.2%	-23.4%	-352.0K	5.2M	-2.5K	0.33	171.05	N/A	N/A	3	1	620	2,288
2009-02-18	$26.15	$27.00	86.2%	24.7%	53.3%	46.0%	0.0%	7.9%	-14.7%	-208.5K	5.5M	-1.9K	0.00	165.82	N/A	N/A	0	0	623	2,288
2009-02-19	$26.07	$27.00	84.7%	24.3%	49.8%	45.1%	0.0%	7.3%	-19.5%	-82.9K	5.6M	-1.4K	0.00	163.99	N/A	N/A	0	5	623	2,288
2009-02-20	$25.57	$27.00	52.6%	15.1%	49.3%	25.7%	92.8%	-61.2%	155.8%	6.1K	5.1M	-2.7K	0.00	141.85	N/A	N/A	0	41	623	2,288
2009-02-23	$24.45	$25.00	143.5%	41.1%	51.3%	80.7%	0.0%	-48.1%	-55.1%	3.5K	-582.3K	-2.8K	0.00	136.08	N/A	N/A	0	0	578	191
2009-02-24	$25.59	$25.00	137.6%	39.5%	53.2%	77.1%	0.0%	13.0%	-160.7%	4.2K	21.2K	-1.8K	0.00	137.38	N/A	N/A	0	0	578	191
2009-02-25	$24.85	$25.00	101.4%	29.1%	53.4%	55.2%	0.0%	7.3%	-29.3%	2.2K	156.7K	-1.4K	0.00	167.16	N/A	N/A	0	0	578	191
2009-02-26	$24.75	$25.00	99.1%	28.4%	50.1%	53.8%	0.0%	7.6%	-33.6%	1.2K	196.1K	-1.2K	0.00	167.02	N/A	N/A	0	0	578	191
2009-02-27	$24.59	$25.00	101.6%	29.1%	47.3%	55.3%	0.0%	6.7%	-35.9%	1.2K	202.6K	-1.2K	0.00	171.01	N/A	N/A	0	0	578	191