FEZ Options History — June 2010 In June 2010, FEZ traded between $30.01 and $34.24. ATM implied volatility averaged 43.7%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 7.9% (HV 20d: 51.6%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.32.
Notable Days 2010-06-25 : Highest Volume — 285 contracts2010-06-29 : Largest IV spike — 217.1% change2010-06-29 : Highest IV Rank — 57.9%2010-06-29 : Largest Expected Move — 28.8%Monthly Statistics Metric Avg Min Max Open Close Price $32.11 $30.01 $34.24 $31.65 $30.57 Max Pain $34.82 $34.00 $37.00 $37.00 $34.00 ATM IV 43.7% 27.3% 100.4% 49.0% 43.2% Expected Move 12.3% 7.8% 28.8% 14.0% 12.4% HV 20d 51.6% 40.3% 63.0% 63.0% 41.7% HV 60d 44.5% 40.7% 46.4% 40.7% 46.4% IV Rank 23.4% 13.5% 57.9% 26.6% 23.1% IV Percentile 67.2% 46.8% 97.6% 77.8% 68.7% Term Structure -2.8% -49.9% 9.6% -2.8% -0.7% VWIV 49.6% 24.6% 109.6% 59.7% 47.8% Skew 25d 14.1% -1.9% 33.4% 30.6% 10.8% Skew 10d 24.0% -22.1% 93.9% 31.0% 21.6% Call IV 25d 38.2% 24.5% 124.3% 24.5% 37.3% Put IV 25d 52.4% 30.9% 145.9% 55.0% 48.1% Bid-Ask Spread % 98.57 83.66 142.56 97.61 84.29 Gamma HHI 0.52 0.48 0.59 0.49 0.54 Net GEX -2.4M -3.7M -1.2M -1.7M -2.2M Net DEX 36.5M 22.3M 46.7M 40.4M 46.0M Net VEX -68.0K -91.7K -45.0K -90.9K -45.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.32 0.00 5.00 5.00 1.33 Total Volume 34.455 0 285 35 207 Total OI 23,580.955 23,376 23,664 23,630 23,663
Daily Data (22 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 2010-06-01 $31.65 $37.00 49.0% 14.0% 63.0% 26.6% 0.0% 30.6% -2.8% -1.7M 40.4M -90.9K 0.00 97.61 N/A N/A 0 35 415 23,215 2010-06-02 $32.54 $37.00 77.7% 22.3% 61.3% 44.1% 0.0% -1.9% -30.3% -2.4M 35.7M -86.8K 0.00 137.39 N/A N/A 0 0 415 23,210 2010-06-03 $32.29 $37.00 46.7% 13.4% 60.8% 25.2% 59.7% 21.9% -6.6% -2.2M 35.1M -91.7K 0.00 102.96 N/A N/A 0 11 415 23,210 2010-06-04 $30.32 $35.00 54.4% 14.9% 62.4% 30.0% 59.3% 33.4% -7.3% -1.6M 43.5M -85.3K 5.00 102.20 N/A N/A 1 5 415 23,211 2010-06-07 $30.01 $35.00 57.7% 15.7% 62.1% 32.0% 0.0% 19.9% -3.6% -1.4M 46.4M -74.3K 0.00 87.24 N/A N/A 0 0 416 23,216 2010-06-08 $30.48 $35.00 49.4% 11.3% 48.7% 26.9% 0.0% 19.3% 9.6% -1.8M 46.7M -72.1K 0.00 118.55 N/A N/A 0 21 416 23,216 2010-06-09 $30.37 $35.00 55.8% 14.4% 48.6% 30.8% 50.1% 17.2% -1.1% -1.6M 46.6M -71.9K 0.00 90.18 N/A N/A 0 20 416 23,236 2010-06-10 $32.00 $35.00 45.7% 13.1% 52.5% 24.6% 48.0% 19.4% -3.0% -2.1M 40.1M -78.2K 0.00 85.29 N/A N/A 0 2 416 23,226 2010-06-11 $32.36 $35.00 38.2% 11.0% 52.4% 20.1% 0.0% 12.7% 1.9% -2.9M 37.8M -64.9K 0.00 83.66 N/A N/A 7 0 416 23,224 2010-06-14 $32.72 $35.00 37.0% 10.6% 50.3% 19.3% 0.0% 11.7% 0.8% -2.7M 34.6M -70.9K 0.00 88.00 N/A N/A 0 1 423 23,224 2010-06-15 $34.24 $35.00 29.0% 8.3% 52.8% 14.5% 0.0% 10.7% 8.4% -3.7M 22.3M -51.0K 0.00 85.46 N/A N/A 0 3 430 23,225 2010-06-16 $33.91 $35.00 30.3% 8.7% 52.6% 15.3% 24.6% 18.1% 3.4% -2.6M 29.1M -69.7K 1.00 88.48 N/A N/A 20 20 423 23,228 2010-06-17 $34.13 $34.00 31.6% 9.1% 52.5% 16.1% 32.4% 11.9% 5.8% -3.2M 27.0M -64.5K 0.55 94.63 N/A N/A 40 22 443 23,208 2010-06-18 $33.33 $34.00 36.4% 10.4% 51.7% 19.0% 30.6% 12.9% 0.5% -2.5M 29.4M -71.8K 0.00 91.49 N/A N/A 0 28 399 23,220 2010-06-21 $33.11 $34.00 27.3% 7.8% 50.7% 13.5% 0.0% 6.2% 0.9% -3.0M 30.5M -63.1K 0.00 101.77 N/A N/A 0 0 287 23,089 2010-06-22 $32.68 $34.00 28.2% 8.1% 48.9% 14.0% 0.0% 6.0% -0.6% -2.8M 32.3M -62.0K 0.00 98.17 N/A N/A 0 0 287 23,089 2010-06-23 $32.87 $34.00 28.1% 8.1% 48.9% 14.0% 0.0% 7.0% 0.2% -3.1M 32.7M -58.7K 0.00 100.37 N/A N/A 0 0 287 23,089 2010-06-24 $32.02 $34.00 31.9% 9.2% 48.8% 16.3% 0.0% 7.5% 7.8% -2.7M 37.4M -57.2K 0.00 97.36 N/A N/A 0 3 287 23,089 2010-06-25 $32.24 $34.00 31.2% 8.9% 40.9% 15.8% 33.6% 7.3% 1.8% -2.8M 36.9M -53.4K 0.04 94.94 N/A N/A 275 10 287 23,092 2010-06-28 $32.06 $34.00 31.6% 9.1% 40.3% 16.1% 0.0% 6.7% 3.4% -2.7M 37.3M -49.7K 0.00 96.03 N/A N/A 0 20 562 23,082 2010-06-29 $30.61 $34.00 100.4% 28.8% 43.1% 57.9% 109.6% 21.6% -49.9% -1.2M 35.6M -62.5K 1.33 142.56 N/A N/A 3 4 562 23,102 2010-06-30 $30.57 $34.00 43.2% 12.4% 41.7% 23.1% 47.8% 10.8% -0.7% -2.2M 46.0M -45.0K 0.00 84.29 N/A N/A 0 207 565 23,098
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