FEZ Options History — April 2010

In April 2010, FEZ traded between $36.23 and $40.55. ATM implied volatility averaged 23.0%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.1% (HV 20d: 20.9%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 10.27.

Notable Days

2010-04-26: Highest Volume — 115 contracts
2010-04-12: Largest IV drop — 31.5% change
2010-04-28: Highest IV Rank — 13.6%
2010-04-28: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.86	$36.23	$40.55	$39.84	$36.66
Max Pain	$39.22	$38.00	$41.00	$39.00	$39.00
ATM IV	23.0%	15.4%	27.6%	20.6%	26.1%
Expected Move	6.7%	5.9%	7.9%	5.9%	7.5%
HV 20d	20.9%	16.1%	30.1%	18.3%	28.4%
HV 60d	26.7%	25.1%	28.0%	27.1%	27.3%
IV Rank	10.8%	6.2%	13.6%	9.4%	12.7%
IV Percentile	21.8%	1.6%	51.6%	4.8%	42.9%
Term Structure	3.1%	1.4%	4.9%	1.4%	3.6%
VWIV	20.9%	15.1%	27.3%	27.3%	15.5%
Skew 25d	6.5%	0.4%	15.9%	5.1%	6.1%
Skew 10d	14.7%	4.1%	23.8%	12.9%	11.5%
Call IV 25d	21.7%	16.0%	24.8%	18.1%	24.3%
Put IV 25d	28.2%	16.4%	33.5%	23.1%	30.3%
Bid-Ask Spread %	53.56	32.89	107.90	83.31	69.38
Gamma HHI	0.17	0.14	0.38	0.14	0.15
Net GEX	473	-8.7K	14.0K	8.1K	-5.2K
Net DEX	204.6K	-42.4K	587.9K	48.3K	548.1K
Net VEX	-1.1K	-1.5K	-769	-1.4K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	10.27	0.00	60.00	1.00	0.00
Total Volume	17.857	0	115	0	68
Total OI	357	124	456	456	399

Daily Data (21 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
2010-04-01	$39.84	$39.00	20.6%	5.9%	18.3%	9.4%	0.0%	5.1%	1.4%	8.1K	48.3K	-1.4K	0.00	83.31	N/A	N/A	0	0	226	230
2010-04-05	$39.83	$0.00	21.1%	6.3%	16.1%	9.7%	0.0%	0.4%	3.3%	5.9K	37.1K	-1.3K	0.00	83.42	N/A	N/A	0	0	226	230
2010-04-06	$39.48	$0.00	23.3%	6.5%	16.5%	11.0%	0.0%	2.7%	3.6%	11.3K	109.6K	-1.2K	0.00	39.95	N/A	N/A	0	0	226	230
2010-04-07	$38.91	$0.00	23.7%	6.3%	17.2%	11.3%	0.0%	8.2%	3.9%	12.9K	186.2K	-1.1K	0.00	47.59	N/A	N/A	0	0	226	230
2010-04-08	$38.77	$0.00	24.3%	6.4%	16.7%	11.6%	0.0%	7.1%	3.6%	14.0K	205.4K	-1.1K	0.00	45.64	N/A	N/A	0	0	226	230
2010-04-09	$39.67	$0.00	22.5%	6.2%	18.6%	10.5%	0.0%	2.1%	2.3%	8.2K	90.4K	-1.0K	0.00	38.43	N/A	N/A	0	0	226	230
2010-04-12	$40.17	$0.00	15.4%	6.3%	19.1%	6.2%	0.0%	7.4%	3.3%	961	14.3K	-998	0.00	47.67	N/A	N/A	0	0	226	230
2010-04-13	$40.11	$0.00	16.7%	6.2%	18.9%	7.0%	0.0%	5.4%	2.6%	653	28.3K	-961	0.00	43.41	N/A	N/A	0	0	226	230
2010-04-14	$40.55	$0.00	19.1%	6.3%	18.6%	8.5%	0.0%	6.7%	1.5%	-993	-42.4K	-941	0.00	46.69	N/A	N/A	0	0	226	230
2010-04-15	$40.34	$0.00	21.1%	6.1%	18.7%	9.7%	0.0%	7.3%	3.5%	-1.2K	14.5K	-873	0.00	48.43	N/A	N/A	0	0	226	230
2010-04-16	$39.26	$0.00	22.5%	6.5%	20.9%	10.6%	0.0%	5.6%	3.2%	12.3K	89.6K	-817	0.00	50.01	N/A	N/A	0	0	226	230
2010-04-19	$39.20	$0.00	25.5%	7.3%	19.9%	12.3%	0.0%	8.2%	4.9%	-2.0K	124.5K	-769	0.00	38.54	N/A	N/A	0	40	53	71
2010-04-20	$39.44	$0.00	25.6%	7.3%	20.0%	12.4%	27.3%	7.5%	2.3%	-8.3K	203.3K	-1.0K	1.00	33.36	N/A	N/A	10	10	53	111
2010-04-21	$38.86	$38.00	25.0%	7.2%	20.8%	12.1%	24.0%	7.4%	3.0%	-8.1K	229.1K	-1.1K	0.00	32.89	N/A	N/A	4	0	63	121
2010-04-22	$38.27	$38.00	26.3%	7.5%	20.6%	12.8%	15.1%	9.6%	1.6%	-6.3K	249.8K	-994	10.00	42.22	N/A	N/A	1	10	67	121
2010-04-23	$38.57	$41.00	24.8%	7.1%	20.7%	11.9%	0.0%	7.8%	3.5%	-7.8K	272.1K	-1.0K	0.00	36.74	N/A	N/A	0	0	68	131
2010-04-26	$38.62	$41.00	22.2%	6.4%	20.3%	10.4%	21.5%	7.9%	3.7%	-8.7K	269.7K	-1.0K	0.53	51.83	N/A	N/A	75	40	68	131
2010-04-27	$36.36	$39.00	23.1%	6.6%	29.1%	10.9%	21.8%	15.9%	3.6%	-2.2K	458.9K	-920	60.00	107.90	N/A	N/A	1	60	142	171
2010-04-28	$36.23	$39.00	27.6%	7.9%	29.1%	13.6%	15.5%	3.1%	3.1%	-5.3K	587.9K	-1.0K	0.00	70.34	N/A	N/A	0	15	142	211
2010-04-29	$36.88	$39.00	25.9%	7.4%	30.1%	12.6%	0.0%	4.9%	3.7%	-8.0K	572.2K	-1.2K	0.32	67.11	N/A	N/A	31	10	142	216
2010-04-30	$36.66	$39.00	26.1%	7.5%	28.4%	12.7%	0.0%	6.1%	3.6%	-5.2K	548.1K	-1.5K	0.00	69.38	N/A	N/A	68	0	173	226