FEZ Options History — March 2010

In March 2010, FEZ traded between $37.23 and $39.63. ATM implied volatility averaged 22.5%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.4% (HV 20d: 22.1%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2010-03-05: Highest Volume — 72 contracts
  • 2010-03-24: Largest IV spike — 23.1% change
  • 2010-03-01: Highest IV Rank — 13.1%
  • 2010-03-01: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.63$37.23$39.63$37.23$38.90
Max Pain$39.00$39.00$39.00$39.00$39.00
ATM IV22.5%17.1%26.7%26.7%21.2%
Expected Move6.5%4.9%7.7%7.7%6.1%
HV 20d22.1%16.6%35.3%35.3%16.6%
HV 60d27.9%26.6%29.4%29.4%26.6%
IV Rank10.6%7.3%13.1%13.1%9.7%
IV Percentile11.5%1.6%30.6%30.6%7.9%
Term Structure2.4%-0.8%5.3%-0.1%1.5%
VWIV24.0%20.6%27.3%20.6%27.3%
Skew 25d8.2%2.2%14.4%10.3%8.9%
Skew 10d11.8%3.5%20.2%14.6%19.0%
Call IV 25d17.5%13.9%22.7%19.0%16.7%
Put IV 25d25.7%16.5%29.3%29.3%25.6%
Bid-Ask Spread %87.9153.98109.3598.1573.76
Gamma HHI0.210.140.330.200.14
Net GEX11.0K-5.0K21.6K1.5K9.9K
Net DEX208.6K-89.0K486.6K486.6K191.2K
Net VEX-1.7K-2.0K-1.3K-1.6K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume6.1307200
Total OI482.913443568443456

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$37.23$39.0026.7%7.7%35.3%13.1%0.0%10.3%-0.1%1.5K486.6K-1.6K0.0098.15N/AN/A00208235
2010-03-02$37.31$39.0025.5%7.3%33.9%12.4%0.0%11.1%0.7%248470.9K-1.6K0.0089.01N/AN/A00208235
2010-03-03$37.80$39.0025.8%7.4%33.6%12.6%0.0%10.2%-0.8%-1.7K401.8K-1.7K0.0099.31N/AN/A00208235
2010-03-04$37.68$39.0021.5%6.2%33.3%9.9%0.0%11.6%3.1%-1.1K432.6K-1.6K0.00106.87N/AN/A00208235
2010-03-05$38.69$39.0022.6%6.9%26.1%10.6%0.0%5.2%1.2%-5.0K292.6K-1.8K0.0053.98N/AN/A720208235
2010-03-08$38.79$39.0021.0%6.6%25.0%9.6%0.0%12.9%2.9%15.1K165.7K-2.0K0.0078.61N/AN/A00280235
2010-03-09$38.54$39.0022.4%6.8%24.8%10.4%0.0%7.7%1.6%14.6K210.3K-2.0K0.0068.88N/AN/A30280235
2010-03-10$38.99$39.0023.1%6.6%21.0%10.9%0.0%6.9%2.7%15.5K121.6K-2.0K0.0083.47N/AN/A03283235
2010-03-11$39.04$39.0023.7%6.8%20.7%11.2%0.0%13.2%3.0%15.5K96.1K-2.0K0.0090.57N/AN/A00283235
2010-03-12$39.17$39.0024.5%7.0%20.5%11.7%0.0%7.8%2.3%15.5K70.9K-2.0K0.0082.78N/AN/A00283235
2010-03-15$38.88$39.0024.3%7.0%20.3%11.6%0.0%14.4%2.1%17.4K155.6K-1.8K0.0081.54N/AN/A00283235
2010-03-16$39.45$39.0024.1%6.9%18.2%11.5%0.0%5.0%3.5%21.4K-1.3K-1.8K0.0081.50N/AN/A00283235
2010-03-17$39.63$39.0023.7%6.8%18.1%11.3%20.6%7.7%1.5%17.9K-89.0K-1.8K0.0087.71N/AN/A050283235
2010-03-18$39.24$39.0023.2%6.6%18.6%11.0%0.0%6.8%3.8%21.6K47.9K-1.9K0.0078.93N/AN/A00283285
2010-03-19$38.60$39.0022.8%6.5%19.7%10.7%27.3%10.9%3.9%19.9K296.5K-1.7K0.0083.50N/AN/A03273285
2010-03-22$38.65$39.0019.9%5.7%19.6%8.9%0.0%8.0%1.5%9.9K229.7K-1.3K0.0089.25N/AN/A00216230
2010-03-23$38.81$39.0017.1%4.9%16.8%7.3%0.0%2.6%5.3%10.9K197.2K-1.4K0.00100.37N/AN/A100216230
2010-03-24$38.15$39.0021.1%6.0%18.2%9.7%0.0%5.1%3.5%12.0K264.1K-1.4K0.0092.96N/AN/A00226230
2010-03-25$38.29$39.0023.6%6.8%17.6%11.2%0.0%6.7%0.7%10.8K230.2K-1.5K0.0094.00N/AN/A00226230
2010-03-26$38.73$39.0019.8%5.7%17.5%8.9%0.0%7.6%4.2%10.7K193.9K-1.4K0.0096.09N/AN/A00226230
2010-03-29$39.09$39.0020.3%5.8%16.9%9.2%0.0%5.6%3.4%10.2K154.6K-1.4K0.00101.31N/AN/A00226230
2010-03-30$38.89$39.0020.7%5.9%17.1%9.5%0.0%2.2%3.6%11.5K177.0K-1.3K0.00109.35N/AN/A00226230
2010-03-31$38.90$39.0021.2%6.1%16.6%9.7%0.0%8.9%1.5%9.9K191.2K-1.4K0.0073.76N/AN/A00226230