FEZ Options History — March 2009

In March 2009, FEZ traded between $22.28 and $29.01. ATM implied volatility averaged 60.9%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 3.8% (HV 20d: 57.2%). Max pain ranged from $25.00 to $29.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.53.

Notable Days

  • 2009-03-26: Highest Volume — 100 contracts
  • 2009-03-09: Largest IV spike — 80.3% change
  • 2009-03-03: Highest IV Rank — 67.0%
  • 2009-03-03: Largest Expected Move — 34.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.72$22.28$29.01$23.05$27.15
Max Pain$28.27$25.00$29.00$25.00$29.00
ATM IV60.9%35.3%120.9%118.1%56.1%
Expected Move16.8%10.1%34.7%33.9%16.1%
HV 20d57.2%51.4%61.7%51.4%61.7%
HV 60d52.7%50.3%56.6%50.6%56.6%
IV Rank30.7%15.2%67.0%65.3%27.8%
IV Percentile62.6%44.4%96.8%96.4%60.7%
Term Structure-12.1%-45.7%4.0%-38.2%-14.4%
VWIV48.1%37.9%67.7%37.9%39.3%
Skew 25d12.5%-13.1%42.8%3.5%23.6%
Skew 10d16.3%-15.9%43.5%-15.9%9.2%
Call IV 25d59.5%34.4%164.3%160.0%34.4%
Put IV 25d72.0%44.0%169.3%163.5%58.1%
Bid-Ask Spread %114.5887.18170.00160.61114.65
Gamma HHI0.220.130.310.130.27
Net GEX-86-4.4K3.9K7911.5K
Net DEX211.3K30.1K377.0K228.2K152.9K
Net VEX-943-1.5K-377-1.0K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.004.002.000.00
Total Volume10.909010000
Total OI781.5721856769856

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$23.05$25.00118.1%33.9%51.4%65.3%0.0%3.5%-38.2%791228.2K-1.0K0.00160.61N/AN/A00578191
2009-03-03$23.20$25.00120.9%34.7%51.7%67.0%0.0%5.0%-41.7%831222.7K-1.0K0.00168.11N/AN/A00578191
2009-03-04$24.13$25.00119.3%34.2%52.2%66.0%0.0%5.7%-45.7%744235.4K-1.0K0.00170.00N/AN/A00578191
2009-03-05$22.86$25.0075.8%21.7%54.6%39.7%0.0%-4.2%-30.0%-447295.4K-7410.00161.93N/AN/A00578191
2009-03-06$22.76$29.0053.8%14.0%53.8%26.3%0.0%13.0%-4.4%-2.0K377.0K-3770.0089.48N/AN/A00578191
2009-03-09$22.28$29.0096.9%17.7%51.6%52.5%0.0%42.8%-2.5%-530282.9K-6940.00112.97N/AN/A040578191
2009-03-10$24.03$29.0051.6%13.4%60.4%25.0%0.0%13.5%-4.2%-3.3K362.6K-4780.0088.44N/AN/A00578191
2009-03-11$24.29$29.0051.4%14.0%57.6%25.0%0.0%14.6%-4.9%-3.6K349.5K-5540.0088.00N/AN/A00578191
2009-03-12$25.37$29.0059.0%16.9%60.0%29.5%37.9%39.4%-5.2%-459231.1K-9440.00113.26N/AN/A05578191
2009-03-13$25.41$29.0045.5%13.0%60.0%21.3%0.0%12.0%-4.1%-4.4K313.7K-6420.0087.18N/AN/A00578191
2009-03-16$25.70$29.0052.8%15.2%60.3%25.8%67.7%35.7%-22.5%-573215.3K-9512.00114.92N/AN/A510578191
2009-03-17$26.28$29.0045.3%13.0%55.1%21.2%47.3%10.1%-0.1%-1.8K233.6K-9060.00122.16N/AN/A010583201
2009-03-18$27.17$29.0047.1%13.5%56.4%22.3%0.0%2.6%-7.0%364158.7K-9614.00120.76N/AN/A520583193
2009-03-19$27.25$29.0044.5%12.8%56.3%20.8%0.0%11.8%-4.2%-1.4K183.9K-9290.0088.81N/AN/A00588213
2009-03-20$26.84$29.0045.2%13.0%56.1%21.2%0.0%11.7%-8.7%-3.2K193.4K-9430.0088.81N/AN/A00588213
2009-03-23$29.01$29.0043.7%12.5%59.2%20.3%0.0%0.9%-9.9%3.9K30.1K-1.1K1.00122.08N/AN/A2020568153
2009-03-24$27.93$29.0043.6%12.5%59.7%20.2%0.0%9.2%0.4%2.2K122.1K-1.1K0.0088.33N/AN/A00588173
2009-03-25$28.64$29.0048.5%13.9%58.8%23.2%0.0%18.4%-20.4%3.5K61.1K-1.2K0.00112.94N/AN/A00588173
2009-03-26$28.92$29.0039.5%11.3%58.6%17.7%39.3%10.6%1.0%2.8K52.8K-1.1K0.6791.41N/AN/A6040588173
2009-03-27$27.60$29.0035.3%10.1%61.6%15.2%0.0%8.9%4.0%1.8K68.3K-1.5K0.00107.91N/AN/A00643213
2009-03-30$26.07$29.0046.3%13.3%60.5%21.8%0.0%-13.1%-3.0%1.2K277.6K-1.2K0.00108.03N/AN/A50643213
2009-03-31$27.15$29.0056.1%16.1%61.7%27.8%0.0%23.6%-14.4%1.5K152.9K-1.4K0.00114.65N/AN/A00643213