FEZ Options History — June 2009

In June 2009, FEZ traded between $32.18 and $36.63. ATM implied volatility averaged 38.2%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 4.9% (HV 20d: 33.3%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.04.

Notable Days

  • 2009-06-15: Highest Volume — 140 contracts
  • 2009-06-30: Largest IV spike — 574.2% change
  • 2009-06-30: Highest IV Rank — 96.5%
  • 2009-06-30: Largest Expected Move — 48.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.35$32.18$36.63$36.23$33.30
Max Pain$31.14$30.00$34.00$32.00$31.00
ATM IV38.2%5.2%169.6%34.2%169.6%
Expected Move10.6%1.5%48.6%9.8%48.6%
HV 20d33.3%29.5%38.6%38.6%29.5%
HV 60d41.6%35.8%45.8%45.4%35.8%
IV Rank17.3%0.0%96.5%14.5%96.5%
IV Percentile35.0%0.0%99.6%35.3%99.6%
Term Structure-5.1%-104.8%28.3%28.3%-104.8%
VWIV25.4%18.5%32.9%28.3%30.3%
Skew 25d16.5%-22.1%101.0%-10.8%101.0%
Skew 10d17.6%-27.3%142.5%-16.6%5.4%
Call IV 25d27.2%13.8%52.2%40.9%51.6%
Put IV 25d43.7%25.7%152.6%30.1%152.6%
Bid-Ask Spread %104.5476.69200.0091.22137.68
Gamma HHI0.290.091.000.410.09
Net GEX29.0K-2.4K66.8K50.8K1.1K
Net DEX-971.2K-2.2M22.5K-2.2M-284.3K
Net VEX-2.5K-3.5K-33-2.7K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.006.006.006.00
Total Volume22.95501404940
Total OI867.045101,2281,052456

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$36.23$32.0034.2%9.8%38.6%14.5%28.3%-10.8%28.3%50.8K-2.2M-2.7K6.0091.22N/AN/A742808244
2009-06-02$36.63$32.0038.3%11.0%36.7%17.0%0.0%-22.1%22.8%42.1K-2.2M-2.7K0.0092.46N/AN/A00803285
2009-06-03$35.44$32.0020.9%6.0%38.6%6.5%22.1%24.4%7.4%31.6K-1.9M-2.4K0.2589.50N/AN/A41703285
2009-06-04$35.83$32.0027.0%7.7%38.0%10.1%32.9%9.7%1.1%32.3K-1.9M-2.4K0.0088.87N/AN/A1190703286
2009-06-05$35.19$30.0037.4%8.6%38.2%16.4%0.0%12.5%1.4%33.1K-1.2M-3.3K0.00125.87N/AN/A220733286
2009-06-08$34.94$30.0028.5%6.3%34.8%11.1%0.0%15.4%3.2%43.8K-1.6M-2.8K0.0076.69N/AN/A400754286
2009-06-09$35.50$30.0030.7%8.3%33.6%12.4%0.0%14.6%2.8%41.3K-1.8M-2.9K0.0078.59N/AN/A00794286
2009-06-10$35.26$30.0032.1%6.3%33.8%13.2%18.5%13.4%3.3%46.8K-1.7M-2.9K0.0083.73N/AN/A020794286
2009-06-11$35.73$31.0023.8%6.8%30.3%8.2%0.0%10.4%4.3%38.4K-1.7M-2.9K0.0082.29N/AN/A030764306
2009-06-12$35.70$31.0032.6%9.3%30.3%13.5%20.1%4.4%-29.8%20.9K-1.2M-3.5K0.00131.79N/AN/A010764335
2009-06-15$33.97$31.0024.9%7.2%35.3%8.9%30.3%14.8%3.5%50.1K-974.5K-2.7K6.00100.78N/AN/A20120764345
2009-06-16$33.59$31.0023.8%6.8%31.3%8.2%0.0%10.2%2.4%61.3K-569.3K-2.8K0.0096.08N/AN/A00784444
2009-06-17$33.57$31.0027.6%7.9%31.1%10.5%0.0%13.2%2.2%66.8K-557.1K-2.6K0.0089.57N/AN/A00784444
2009-06-18$33.76$31.0027.7%8.0%30.9%10.6%0.0%9.5%2.0%31.5K-468.1K-2.7K0.0094.04N/AN/A030784444
2009-06-19$33.22$31.00107.7%30.9%31.5%59.0%0.0%74.9%-65.1%36.7K22.5K-2.7K0.00146.16N/AN/A00557474
2009-06-22$32.18$31.0033.6%9.6%33.0%14.1%0.0%5.9%-0.3%2.5K-160.4K-2.1K0.0096.16N/AN/A00253203
2009-06-23$32.61$31.0031.4%9.0%32.2%12.8%0.0%12.4%1.1%2.3K-206.1K-2.1K0.0095.08N/AN/A00253203
2009-06-24$32.87$31.0030.7%8.8%31.5%12.4%0.0%10.7%1.6%2.5K-242.1K-2.1K0.00103.28N/AN/A00253203
2009-06-25$33.48$34.005.2%1.5%31.5%0.0%0.0%0.0%0.0%-2.4K20.1K-330.00200.00N/AN/A00010
2009-06-26$33.11$31.0027.3%7.8%31.1%13.0%0.0%9.9%3.3%2.6K-276.8K-2.0K0.00101.36N/AN/A00253203
2009-06-29$33.64$31.0025.1%7.2%29.9%11.7%0.0%12.2%2.4%1.7K-345.7K-1.9K0.0098.60N/AN/A00253203
2009-06-30$33.30$31.00169.6%48.6%29.5%96.5%0.0%101.0%-104.8%1.1K-284.3K-2.4K0.00137.68N/AN/A040253203