FEZ Options History — December 2009 In December 2009, FEZ traded between $40.60 and $42.81. ATM implied volatility averaged 31.4%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.4% (HV 20d: 27.0%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.50.
Notable Days 2009-12-01 : Highest Volume — 140 contracts2009-12-31 : Largest IV spike — 245.3% change2009-12-08 : Highest IV Rank — 50.3%2009-12-31 : Largest Expected Move — 20.8%Monthly Statistics Metric Avg Min Max Open Close Price $41.78 $40.60 $42.81 $42.81 $41.48 Max Pain $40.84 $40.00 $44.00 $44.00 $41.00 ATM IV 31.4% 19.1% 87.9% 21.9% 72.7% Expected Move 8.2% 5.5% 20.8% 6.3% 20.8% HV 20d 27.0% 20.8% 29.6% 29.1% 20.8% HV 60d 28.7% 28.1% 29.2% 28.8% 28.7% IV Rank 15.9% 8.5% 50.3% 10.2% 41.1% IV Percentile 20.2% 0.4% 84.5% 2.4% 76.6% Term Structure -3.4% -28.8% 3.5% 3.3% -28.8% VWIV 22.0% 17.2% 31.3% 22.5% 22.2% Skew 25d 8.1% -1.4% 18.0% 5.4% 17.2% Skew 10d 11.8% 1.0% 49.3% 1.0% 49.3% Call IV 25d 25.0% 12.9% 86.9% 18.9% 86.9% Put IV 25d 33.1% 17.3% 104.1% 24.3% 104.1% Bid-Ask Spread % 115.75 86.76 162.63 101.63 156.13 Gamma HHI 0.27 0.14 0.54 0.30 0.14 Net GEX -34.1K -125.5K 48.6K -116.4K 15.7K Net DEX 149.0K -908.0K 1.7M 86.6K -605.2K Net VEX -5.6K -7.8K -3.8K -6.9K -5.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.00 2.00 0.00 0.00 Total Volume 15.789 0 140 140 0 Total OI 1,416.842 1,070 1,699 1,566 1,090
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 2009-12-01 $42.81 $44.00 21.9% 6.3% 29.1% 10.2% 22.5% 5.4% 3.3% -116.4K 86.6K -6.9K 0.00 101.63 N/A N/A 140 0 558 1,008 2009-12-03 $42.56 $44.00 19.1% 5.5% 29.3% 8.5% 17.2% 7.8% 2.5% -114.5K 51.4K -7.2K 0.50 119.67 N/A N/A 20 10 636 1,008 2009-12-04 $42.57 $40.00 21.4% 6.8% 28.8% 9.9% 0.0% 7.5% 1.8% -105.2K 220.4K -7.3K 0.00 111.47 N/A N/A 0 0 646 1,008 2009-12-07 $42.31 $40.00 41.5% 8.4% 28.2% 22.1% 0.0% -1.4% -11.9% -50.2K 194.3K -7.7K 0.00 142.87 N/A N/A 0 0 646 1,008 2009-12-08 $41.30 $40.00 87.9% 13.4% 29.6% 50.3% 0.0% 9.5% -19.1% -34.6K 540.8K -7.8K 0.00 159.78 N/A N/A 0 0 646 1,008 2009-12-09 $41.08 $40.00 25.9% 7.6% 26.3% 12.6% 31.3% 18.0% 0.8% -79.5K 1.3M -6.3K 0.00 95.09 N/A N/A 0 25 646 1,008 2009-12-10 $41.35 $40.00 25.7% 7.4% 26.5% 12.5% 0.0% 16.3% 1.2% -88.8K 1.2M -6.1K 0.00 99.67 N/A N/A 0 0 646 1,033 2009-12-15 $41.38 $40.00 26.7% 7.7% 26.3% 13.1% 0.0% 11.1% 2.5% -68.2K 936.6K -5.9K 0.00 119.00 N/A N/A 0 0 666 1,033 2009-12-16 $42.09 $40.00 26.2% 7.5% 26.5% 12.8% 19.0% 2.1% -4.9% -64.4K 425.6K -6.3K 0.00 138.30 N/A N/A 20 0 666 1,033 2009-12-17 $40.92 $40.00 53.6% 15.4% 27.5% 29.5% 0.0% 10.0% -26.4% -125.5K 1.4M -5.8K 0.00 162.63 N/A N/A 0 0 666 1,033 2009-12-18 $40.60 $40.00 25.4% 7.3% 27.0% 12.3% 20.8% 9.9% 3.5% -116.6K 1.7M -4.9K 2.00 86.76 N/A N/A 20 40 665 1,033 2009-12-21 $41.23 $41.00 23.6% 6.8% 27.8% 11.2% 0.0% 5.4% 0.7% 39.2K -367.9K -4.6K 0.00 89.60 N/A N/A 0 0 595 480 2009-12-22 $41.46 $41.00 21.6% 6.2% 27.8% 10.0% 21.3% 8.3% 1.4% 42.2K -489.6K -4.4K 0.00 100.28 N/A N/A 0 5 595 480 2009-12-23 $41.95 $41.00 19.5% 5.6% 27.7% 8.7% 0.0% 4.5% 2.5% 48.4K -648.8K -4.1K 0.00 104.27 N/A N/A 0 0 595 475 2009-12-24 $42.07 $41.00 21.3% 6.1% 27.1% 9.8% 22.2% 4.1% 2.5% 48.6K -680.9K -4.1K 0.00 102.59 N/A N/A 0 10 595 475 2009-12-28 $42.39 $41.00 21.4% 6.1% 25.8% 9.9% 0.0% 6.4% 2.9% 38.0K -908.0K -3.9K 0.00 96.55 N/A N/A 0 0 595 485 2009-12-29 $42.39 $41.00 19.9% 5.7% 25.8% 9.0% 0.0% 6.8% 1.2% 41.5K -853.6K -3.8K 0.00 100.28 N/A N/A 0 0 595 485 2009-12-30 $41.97 $41.00 21.1% 6.0% 25.3% 9.7% 0.0% 5.1% 0.6% 42.3K -666.9K -3.8K 0.00 112.71 N/A N/A 10 0 595 485 2009-12-31 $41.48 $41.00 72.7% 20.8% 20.8% 41.1% 0.0% 17.2% -28.8% 15.7K -605.2K -5.0K 0.00 156.13 N/A N/A 0 0 605 485
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