FEZ Options History — September 2010

In September 2010, FEZ traded between $33.97 and $37.16. ATM implied volatility averaged 25.5%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 4.6% (HV 20d: 30.1%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2010-09-14: Highest Volume — 41 contracts
  • 2010-09-13: Largest IV drop — 19.9% change
  • 2010-09-08: Highest IV Rank — 21.1%
  • 2010-09-07: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.67$33.97$37.16$34.06$36.71
Max Pain$32.38$32.00$34.00$34.00$33.00
ATM IV25.5%22.9%29.2%28.5%25.7%
Expected Move7.3%6.6%8.9%8.2%7.4%
HV 20d30.1%25.8%36.0%33.4%25.8%
HV 60d32.0%29.6%34.3%34.2%29.6%
IV Rank17.8%15.4%21.1%20.5%17.9%
IV Percentile31.2%16.7%50.4%46.8%36.1%
Term Structure3.5%-0.2%7.8%2.5%2.4%
VWIV24.5%22.4%27.9%27.9%24.5%
Skew 25d6.7%3.8%9.8%9.8%8.6%
Skew 10d18.7%10.8%25.8%17.9%20.2%
Call IV 25d23.1%21.0%27.6%22.9%24.7%
Put IV 25d29.8%25.6%34.9%32.7%33.3%
Bid-Ask Spread %92.4980.63110.0780.6390.77
Gamma HHI0.320.230.410.410.24
Net GEX32.8K13.4K50.9K33.3K16.0K
Net DEX-782.2K-1.2M-312.0K-614.2K-312.0K
Net VEX-1.5K-2.2K-918-2.2K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.005.000.000.00
Total Volume7.476041110
Total OI551.048363627583381

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$34.06$34.0028.5%8.2%33.4%20.5%27.9%9.8%2.5%33.3K-614.2K-2.2K0.0080.63N/AN/A10432151
2010-09-02$34.50$34.0028.5%8.2%33.9%20.5%25.3%5.1%5.7%34.0K-653.4K-2.1K0.0081.97N/AN/A40432151
2010-09-03$35.01$32.0024.4%7.3%34.5%16.8%0.0%9.4%3.8%42.9K-757.4K-1.9K5.0094.94N/AN/A210435151
2010-09-07$33.97$32.0029.1%8.9%35.7%21.1%0.0%7.4%1.1%35.4K-600.5K-2.0K0.0084.69N/AN/A00435151
2010-09-08$34.29$32.0029.2%8.2%36.0%21.1%0.0%6.9%3.8%36.7K-647.7K-2.0K0.00107.34N/AN/A00435151
2010-09-09$34.63$32.0023.9%6.8%29.1%16.3%0.0%6.5%7.1%40.9K-694.1K-1.8K0.0091.17N/AN/A00435151
2010-09-10$34.83$32.0028.5%8.2%29.1%20.5%0.0%8.7%-0.2%39.4K-723.1K-1.8K0.0083.21N/AN/A00435151
2010-09-13$35.61$32.0022.9%6.6%29.6%15.4%22.4%4.6%7.8%38.4K-919.5K-1.5K0.00110.07N/AN/A200435151
2010-09-14$35.96$32.0023.3%6.7%29.7%15.8%0.0%5.1%7.0%50.9K-1.0M-1.1K0.00100.25N/AN/A410435151
2010-09-15$35.92$32.0025.7%7.4%29.2%18.0%0.0%5.1%1.9%48.0K-1.0M-1.7K0.0094.45N/AN/A00476151
2010-09-16$36.01$32.0025.0%7.2%29.2%17.3%0.0%5.8%5.7%46.3K-1.1M-1.5K0.00100.91N/AN/A00476151
2010-09-17$35.45$32.0025.3%7.3%28.1%17.6%24.2%3.8%6.4%40.5K-951.8K-1.8K0.00103.58N/AN/A01465151
2010-09-20$36.10$32.0023.7%6.8%27.6%16.2%0.0%4.6%2.9%31.0K-1.0M-1.5K0.0091.31N/AN/A360452140
2010-09-21$36.32$32.0024.6%7.0%27.5%16.9%0.0%6.2%2.5%28.2K-1.1M-1.4K0.0088.47N/AN/A00443140
2010-09-22$36.30$32.0024.4%7.0%26.3%16.8%0.0%5.8%2.0%29.0K-1.0M-1.4K0.0087.93N/AN/A00443140
2010-09-23$35.61$32.0024.4%7.0%27.6%16.8%0.0%6.5%2.7%35.0K-928.5K-1.5K0.0088.50N/AN/A40443140
2010-09-24$37.16$32.0024.3%7.0%30.6%16.7%24.4%5.9%1.8%19.9K-1.2M-9180.0089.12N/AN/A70447140
2010-09-27$36.69$33.0024.7%7.1%30.6%17.0%22.8%8.1%2.8%15.1K-350.7K-9671.6389.46N/AN/A813223140
2010-09-28$37.15$33.0024.9%7.2%28.9%17.3%0.0%7.4%2.1%13.4K-386.0K-9780.0089.93N/AN/A00228153
2010-09-29$36.81$33.0024.6%7.1%29.4%17.0%0.0%9.4%2.4%14.9K-333.5K-1.1K0.0093.65N/AN/A00228153
2010-09-30$36.71$33.0025.7%7.4%25.8%17.9%24.5%8.6%2.4%16.0K-312.0K-1.0K0.0090.77N/AN/A100228153