FEZ Options History — February 2010 In February 2010, FEZ traded between $35.37 and $39.13. ATM implied volatility averaged 31.4%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 3.1% (HV 20d: 34.5%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.82.
Notable Days 2010-02-09 : Highest Volume — 90 contracts2010-02-23 : Largest IV spike — 157.2% change2010-02-23 : Highest IV Rank — 37.2%2010-02-23 : Largest Expected Move — 19.0%Monthly Statistics Metric Avg Min Max Open Close Price $36.89 $35.37 $39.13 $38.41 $36.61 Max Pain $39.37 $39.00 $42.00 $39.00 $39.00 ATM IV 31.4% 24.0% 66.4% 28.4% 24.0% Expected Move 8.8% 6.9% 19.0% 8.1% 6.9% HV 20d 34.5% 27.3% 38.1% 29.4% 34.9% HV 60d 29.2% 26.6% 30.3% 29.0% 29.3% IV Rank 15.9% 11.4% 37.2% 14.1% 11.4% IV Percentile 36.8% 12.7% 83.3% 33.7% 12.7% Term Structure 0.5% -19.9% 11.3% 1.8% 2.2% VWIV 28.1% 23.6% 33.3% 27.4% 26.1% Skew 25d 4.9% -19.8% 12.3% 10.7% 7.5% Skew 10d 10.3% -30.2% 17.6% 10.1% 14.0% Call IV 25d 26.5% 15.4% 88.9% 18.1% 21.0% Put IV 25d 31.5% 20.9% 69.1% 28.8% 28.5% Bid-Ask Spread % 99.99 75.08 167.14 88.26 93.92 Gamma HHI 0.24 0.15 0.42 0.16 0.21 Net GEX 6.5K -758 18.4K 10.2K 2.9K Net DEX 340.5K -59.7K 562.8K 3.2K 530.6K Net VEX -1.8K -2.1K -1.4K -2.0K -1.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.00 2.00 2.00 0.00 Total Volume 12.053 0 90 0 20 Total OI 430.263 337 510 337 443
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 2010-02-01 $38.41 $39.00 28.4% 8.1% 29.4% 14.1% 0.0% 10.7% 1.8% 10.2K 3.2K -2.0K 0.00 88.26 N/A N/A 0 0 216 121 2010-02-02 $39.13 $39.00 25.9% 7.4% 27.3% 12.6% 0.0% 7.6% 2.1% 12.1K -59.7K -2.0K 0.00 80.77 N/A N/A 0 20 216 121 2010-02-03 $38.61 $39.00 27.2% 7.8% 27.5% 13.4% 0.0% 4.7% 1.3% 9.7K 56.7K -2.1K 0.00 82.35 N/A N/A 0 0 216 141 2010-02-04 $36.32 $39.00 25.7% 7.4% 33.9% 12.5% 0.0% -6.5% 1.7% 7.3K 192.4K -1.7K 0.00 102.19 N/A N/A 0 10 216 141 2010-02-05 $35.69 $39.00 30.5% 9.5% 34.0% 15.4% 27.4% 2.9% -0.8% 5.6K 295.5K -1.5K 0.00 91.45 N/A N/A 0 10 216 151 2010-02-08 $35.37 $39.00 33.1% 9.7% 33.4% 17.0% 0.0% 2.5% 0.4% 4.4K 319.3K -1.4K 0.00 82.50 N/A N/A 0 0 216 161 2010-02-09 $36.83 $39.00 43.3% 7.0% 37.5% 23.2% 0.0% 4.4% 5.4% 4.4K 152.5K -1.8K 2.00 135.60 N/A N/A 30 60 216 161 2010-02-10 $36.53 $39.00 31.4% 9.2% 37.4% 16.0% 30.3% 6.0% 1.2% 7.6K 432.3K -1.8K 0.00 75.08 N/A N/A 0 10 246 221 2010-02-11 $36.38 $39.00 33.1% 9.5% 36.9% 17.0% 0.0% 9.7% -0.6% 4.5K 441.2K -1.7K 0.00 100.53 N/A N/A 1 0 246 231 2010-02-12 $36.04 $39.00 32.5% 9.3% 36.6% 16.6% 23.6% 6.6% 0.1% 6.3K 490.1K -1.7K 1.40 99.76 N/A N/A 10 14 246 231 2010-02-16 $37.16 $41.00 27.0% 7.7% 38.1% 13.3% 0.0% 8.1% 11.3% 1.9K 360.0K -2.1K 0.00 136.94 N/A N/A 0 0 256 245 2010-02-17 $37.07 $41.00 29.3% 8.4% 37.5% 14.7% 26.7% 5.9% 0.3% 15.5K 449.0K -1.9K 0.00 82.30 N/A N/A 0 7 256 245 2010-02-18 $37.39 $39.00 31.5% 9.0% 36.4% 16.0% 33.3% 11.7% -0.7% 6.9K 393.4K -2.0K 0.00 107.79 N/A N/A 0 10 256 244 2010-02-19 $37.28 $42.00 28.9% 8.3% 34.6% 14.4% 29.3% 6.3% 0.2% 18.4K 462.7K -1.9K 0.70 87.21 N/A N/A 10 7 256 254 2010-02-22 $37.17 $39.00 25.8% 7.4% 34.2% 12.6% 0.0% 12.3% 0.5% 474 475.1K -1.7K 0.00 95.88 N/A N/A 0 0 208 241 2010-02-23 $36.26 $39.00 66.4% 19.0% 35.0% 37.2% 0.0% -19.8% -19.9% -758 362.1K -2.1K 0.00 167.14 N/A N/A 0 0 208 241 2010-02-24 $36.55 $39.00 25.3% 7.2% 35.2% 12.2% 26.1% 5.0% 1.4% 2.4K 550.9K -1.5K 0.00 93.70 N/A N/A 0 10 208 241 2010-02-25 $36.16 $39.00 26.9% 7.7% 35.3% 13.2% 0.0% 8.6% 1.7% 3.6K 562.8K -1.4K 0.00 96.39 N/A N/A 0 0 208 235 2010-02-26 $36.61 $39.00 24.0% 6.9% 34.9% 11.4% 0.0% 7.5% 2.2% 2.9K 530.6K -1.5K 0.00 93.92 N/A N/A 20 0 208 235
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