FEZ Options History — April 2009

In April 2009, FEZ traded between $27.68 and $30.92. ATM implied volatility averaged 43.1%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 9.7% (HV 20d: 52.7%). Max pain ranged from $25.00 to $29.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2009-04-20: Highest Volume — 60 contracts
  • 2009-04-22: Largest IV drop — 40.8% change
  • 2009-04-08: Highest IV Rank — 29.4%
  • 2009-04-02: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.41$27.68$30.92$27.68$30.92
Max Pain$25.40$25.00$29.00$29.00$25.00
ATM IV43.1%27.4%58.8%40.1%42.5%
Expected Move11.9%7.9%15.1%11.5%12.2%
HV 20d52.7%41.5%60.7%60.7%41.5%
HV 60d55.3%52.5%58.1%56.7%52.5%
IV Rank19.9%10.4%29.4%18.1%19.6%
IV Percentile47.1%33.7%62.7%46.4%44.4%
Term Structure-6.2%-28.8%3.0%-1.9%-7.4%
VWIV50.3%39.7%66.8%44.4%39.7%
Skew 25d12.9%-2.9%32.7%1.7%-2.9%
Skew 10d17.6%0.7%40.9%0.7%8.2%
Call IV 25d30.8%17.2%50.5%34.1%35.0%
Put IV 25d43.7%32.1%66.1%35.8%32.1%
Bid-Ask Spread %124.5967.85200.00121.11142.90
Gamma HHI0.340.161.000.300.22
Net GEX4.1K-34039.4K9153.1K
Net DEX-100.2K-240.0K124.8K124.8K-240.0K
Net VEX-1.3K-1.6K-116-1.4K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.001.000.000.00
Total Volume12060203
Total OI606.90515876856348

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$27.68$29.0040.1%11.5%60.7%18.1%44.4%1.7%-1.9%915124.8K-1.4K0.00121.11N/AN/A200643213
2009-04-02$29.14$29.0052.7%15.1%58.2%25.7%66.8%-0.3%-9.5%4.1K-62.9K-1.5K0.00117.97N/AN/A200663213
2009-04-03$29.66$25.0043.4%10.3%57.9%20.1%0.0%5.2%-1.1%2.4K-87.0K-1.5K1.00138.97N/AN/A11643213
2009-04-06$28.71$25.0049.9%11.4%58.9%24.0%0.0%6.2%-0.3%1.9K21.6K-1.4K0.00136.18N/AN/A00644214
2009-04-07$28.00$25.0047.7%12.2%55.4%22.7%0.0%13.4%-1.1%1.1K101.8K-1.4K0.00131.93N/AN/A011644214
2009-04-08$28.50$25.0058.8%13.1%55.5%29.4%0.0%20.5%3.0%1.1K29.8K-1.4K0.00135.25N/AN/A00644223
2009-04-09$29.38$25.0045.7%13.1%54.6%21.5%0.0%9.4%-7.8%3.2K-180.5K-1.4K0.00137.31N/AN/A00644193
2009-04-13$29.74$25.0040.7%11.7%54.5%18.5%0.0%12.3%0.2%2.4K-201.9K-1.3K0.0067.97N/AN/A033644193
2009-04-14$29.46$25.0050.5%14.5%54.9%24.4%0.0%32.7%1.7%2.6K-82.9K-1.3K0.00117.63N/AN/A00644226
2009-04-15$29.80$25.0048.0%13.8%54.6%22.8%0.0%27.2%-15.3%3.1K-96.6K-1.3K0.00150.00N/AN/A00644226
2009-04-16$30.11$25.0041.4%11.9%53.7%18.9%0.0%24.5%-4.2%2.4K-127.1K-1.2K0.00140.10N/AN/A01644226
2009-04-17$30.08$25.0039.2%11.2%53.7%17.5%0.0%8.3%-0.5%39.4K-208.9K-1.1K0.0067.85N/AN/A00644225
2009-04-20$28.33$25.0038.8%11.1%58.1%17.3%0.0%2.7%-4.2%935-46.5K-1.0K0.50136.43N/AN/A402011590
2009-04-21$29.09$25.0046.2%13.3%51.9%21.8%0.0%20.7%-24.6%2.0K-153.0K-1.3K0.00145.40N/AN/A200155110
2009-04-22$28.96$0.0027.4%7.9%49.9%10.4%0.0%0.0%-14.1%-3406.8K-1160.00200.00N/AN/A00510
2009-04-23$29.62$25.0034.2%9.8%49.8%14.5%0.0%12.3%-3.2%3.5K-170.7K-1.4K0.0075.73N/AN/A20176110
2009-04-24$30.47$25.0038.3%11.0%50.6%17.0%0.0%22.0%-2.1%3.9K-238.4K-1.4K0.00145.18N/AN/A500178110
2009-04-27$29.78$25.0045.5%13.0%48.2%21.3%0.0%22.6%-28.8%1.1K-132.5K-4810.00144.16N/AN/A030208110
2009-04-28$29.63$25.0037.4%10.7%42.7%16.5%0.0%13.8%-5.2%3.4K-141.4K-1.6K0.0081.11N/AN/A00208140
2009-04-29$30.54$25.0035.7%10.2%41.7%15.4%0.0%6.0%-4.4%3.0K-218.7K-1.6K0.0083.16N/AN/A00208140
2009-04-30$30.92$25.0042.5%12.2%41.5%19.6%39.7%-2.9%-7.4%3.1K-240.0K-1.6K0.00142.90N/AN/A30208140