FEZ Options History — August 2009

In August 2009, FEZ traded between $36.23 and $39.78. ATM implied volatility averaged 36.4%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 13.2% (HV 20d: 23.2%). Max pain ranged from $32.00 to $38.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2009-08-27: Highest Volume — 210 contracts
  • 2009-08-28: Largest IV spike — 181.9% change
  • 2009-08-19: Highest IV Rank — 43.2%
  • 2009-08-19: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.11$36.23$39.78$37.95$39.30
Max Pain$36.50$32.00$38.00$32.00$38.00
ATM IV36.4%23.3%78.8%45.4%32.1%
Expected Move9.9%6.7%22.6%13.0%9.2%
HV 20d23.2%17.6%26.5%26.5%24.7%
HV 60d29.1%27.6%32.2%32.2%27.6%
IV Rank18.3%10.7%43.2%23.6%15.8%
IV Percentile30.5%7.9%76.2%45.6%25.4%
Term Structure-7.3%-26.0%13.0%-20.2%-19.1%
VWIV26.6%20.9%35.5%26.1%23.1%
Skew 25d-13.2%-47.3%24.1%-47.3%-12.2%
Skew 10d-10.1%-40.4%49.2%-36.1%-1.0%
Call IV 25d44.2%21.3%82.5%72.2%35.7%
Put IV 25d31.0%19.9%92.7%25.0%23.5%
Bid-Ask Spread %126.0469.28173.41135.30143.36
Gamma HHI0.260.110.660.130.37
Net GEX-13.6K-61.0K11.9K2.3K11.9K
Net DEX-137.4K-490.1K478.9K-310.2K-490.1K
Net VEX-3.1K-4.5K-2.6K-2.7K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.005.000.001.80
Total Volume27.7620210084
Total OI511.048368739368739

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$37.95$32.0045.4%13.0%26.5%23.6%0.0%-47.3%-20.2%2.3K-310.2K-2.7K0.00135.30N/AN/A00187181
2009-08-04$38.17$32.0025.0%7.2%22.6%11.7%0.0%-1.1%1.8%1.7K-301.8K-2.6K0.00103.60N/AN/A00187181
2009-08-05$37.79$32.0025.1%7.2%22.8%11.7%26.1%-2.4%1.8%1.5K-287.3K-2.6K0.00107.18N/AN/A50187181
2009-08-06$37.52$32.0024.6%7.1%23.1%11.4%0.0%0.8%2.0%2.6K-280.2K-2.6K0.00102.05N/AN/A010192181
2009-08-07$37.93$0.0053.3%11.2%21.7%28.3%0.0%-34.8%-26.0%975-246.1K-3.0K0.00146.47N/AN/A00192191
2009-08-10$37.54$0.0046.1%11.4%21.4%24.0%0.0%-40.9%-11.1%1.1K-222.5K-3.0K0.00150.70N/AN/A00192191
2009-08-11$37.16$0.0026.1%7.8%22.3%12.3%0.0%4.2%1.3%2.1K-232.8K-2.7K0.0070.13N/AN/A00192191
2009-08-12$37.81$0.0054.3%10.3%17.7%28.9%0.0%-29.0%-10.5%1.4K-239.2K-2.9K0.00145.12N/AN/A040192191
2009-08-13$38.21$0.0026.8%7.7%17.6%12.7%27.8%3.9%0.0%-14.5K-258.6K-2.7K0.0069.28N/AN/A0107192231
2009-08-14$37.76$38.0024.0%6.9%18.3%11.1%20.9%-31.0%-0.0%-22.4K-46.5K-3.2K0.00131.89N/AN/A098191338
2009-08-17$36.23$38.0030.7%8.8%23.6%15.0%0.0%7.3%0.2%-39.6K478.9K-3.3K0.0092.29N/AN/A00191436
2009-08-18$36.66$38.0031.7%9.1%23.9%15.6%0.0%-40.7%13.0%-20.1K268.0K-3.6K5.00173.41N/AN/A420191436
2009-08-19$37.14$38.0078.8%22.6%24.2%43.2%0.0%8.1%-23.9%-43.6K342.8K-3.7K0.00153.97N/AN/A30195446
2009-08-20$37.48$38.0031.0%8.9%23.4%15.1%0.0%-8.1%-14.9%-49.7K205.5K-3.4K0.00140.41N/AN/A00196446
2009-08-21$38.70$38.0035.1%10.1%25.6%17.6%0.0%-27.0%-14.8%-61.0K-37.7K-3.5K0.00151.98N/AN/A00196446
2009-08-24$38.98$38.0025.2%7.2%25.7%11.7%35.5%-15.6%-10.8%-14.6K-133.2K-3.0K0.00133.81N/AN/A20180347
2009-08-25$39.44$38.0037.0%10.6%25.6%18.7%0.0%-37.3%-16.0%-10.3K-166.4K-3.0K0.00135.82N/AN/A00182347
2009-08-26$39.26$38.0023.4%6.7%25.5%10.7%0.0%-0.1%2.4%-20.3K-213.4K-2.8K0.00106.15N/AN/A00182347
2009-08-27$39.78$38.0023.3%6.7%25.4%10.7%23.1%2.5%3.0%-18.4K-257.0K-2.8K0.1199.57N/AN/A19020182347
2009-08-28$39.50$38.0065.7%18.8%25.4%35.6%0.0%24.1%-11.5%3.1K-458.3K-4.5K0.00154.44N/AN/A00372367
2009-08-31$39.30$38.0032.1%9.2%24.7%15.8%0.0%-12.2%-19.1%11.9K-490.1K-4.1K1.80143.36N/AN/A3054372367