FEZ Options History — October 2010

In October 2010, FEZ traded between $36.27 and $39.35. ATM implied volatility averaged 25.4%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 0.7% (HV 20d: 26.1%). Max pain ranged from $33.00 to $37.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.16.

Notable Days

2010-10-08: Highest Volume — 50 contracts
2010-10-14: Largest IV spike — 51.5% change
2010-10-14: Highest IV Rank — 21.8%
2010-10-14: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.51	$36.27	$39.35	$37.04	$38.98
Max Pain	$36.81	$33.00	$37.00	$33.00	$37.00
ATM IV	25.4%	19.7%	29.9%	25.0%	20.1%
Expected Move	7.9%	5.8%	8.6%	7.2%	5.8%
HV 20d	26.1%	23.5%	29.3%	25.7%	23.8%
HV 60d	29.3%	27.8%	30.9%	29.6%	28.0%
IV Rank	17.7%	12.5%	21.8%	17.3%	12.9%
IV Percentile	35.2%	4.0%	59.1%	31.7%	6.0%
Term Structure	1.8%	-8.1%	6.5%	3.7%	6.5%
VWIV	27.1%	24.5%	28.6%	24.5%	28.6%
Skew 25d	4.8%	3.3%	7.2%	7.2%	4.3%
Skew 10d	11.7%	5.7%	18.3%	12.6%	5.7%
Call IV 25d	23.7%	21.6%	27.6%	22.9%	21.6%
Put IV 25d	28.5%	25.9%	34.1%	30.1%	25.9%
Bid-Ask Spread %	63.68	38.25	116.13	92.78	116.13
Gamma HHI	0.40	0.22	0.63	0.25	0.38
Net GEX	10.7K	-7.4K	34.6K	17.1K	3.7K
Net DEX	-402.3K	-939.4K	-106.8K	-391.5K	-190.5K
Net VEX	-741	-1.0K	-391	-990	-523
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.16	0.00	4.67	3.33	0.00
Total Volume	6.524	0	50	13	0
Total OI	290.714	90	474	391	130

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
2010-10-01	$37.04	$33.00	25.0%	7.2%	25.7%	17.3%	24.5%	7.2%	3.7%	17.1K	-391.5K	-990	3.33	92.78	N/A	N/A	3	10	238	153
2010-10-04	$36.27	$37.00	29.8%	8.1%	26.7%	21.7%	0.0%	6.5%	2.2%	18.4K	-275.9K	-1.0K	0.00	47.31	N/A	N/A	0	16	238	163
2010-10-05	$37.75	$37.00	22.5%	7.8%	27.2%	15.0%	27.1%	3.8%	3.6%	11.8K	-480.7K	-867	4.67	42.78	N/A	N/A	3	14	238	163
2010-10-06	$37.98	$37.00	22.4%	8.1%	27.2%	14.9%	28.3%	3.6%	2.9%	9.4K	-497.3K	-899	0.03	42.15	N/A	N/A	36	1	238	174
2010-10-07	$38.05	$37.00	20.4%	8.1%	27.1%	13.1%	0.0%	3.3%	3.1%	25.1K	-581.2K	-936	0.00	44.63	N/A	N/A	0	0	274	174
2010-10-08	$38.19	$37.00	19.7%	7.8%	27.1%	12.5%	27.1%	4.3%	2.0%	25.5K	-614.1K	-871	0.06	51.08	N/A	N/A	47	3	274	174
2010-10-11	$38.09	$37.00	23.0%	8.3%	26.4%	15.5%	0.0%	0.0%	1.7%	31.7K	-665.0K	-934	0.00	49.38	N/A	N/A	0	0	301	171
2010-10-12	$38.07	$37.00	24.3%	8.2%	26.3%	16.7%	28.6%	0.0%	3.3%	34.6K	-662.0K	-917	0.00	45.50	N/A	N/A	2	0	301	171
2010-10-13	$38.89	$37.00	19.8%	8.2%	27.1%	12.6%	0.0%	0.0%	-8.1%	18.0K	-831.5K	-788	0.00	53.02	N/A	N/A	1	0	303	171
2010-10-14	$39.17	$37.00	29.9%	8.6%	27.1%	21.8%	0.0%	0.0%	2.5%	-7.4K	-879.1K	-726	0.00	54.71	N/A	N/A	1	0	302	171
2010-10-15	$39.09	$37.00	29.9%	8.6%	26.2%	21.7%	0.0%	0.0%	2.7%	7.4K	-939.4K	-745	0.00	64.73	N/A	N/A	0	0	302	151
2010-10-18	$39.28	$37.00	28.4%	8.2%	25.7%	20.4%	0.0%	0.0%	0.2%	1.6K	-106.8K	-391	0.00	58.08	N/A	N/A	0	0	45	45
2010-10-19	$38.17	$37.00	26.0%	7.5%	28.2%	18.3%	0.0%	0.0%	3.0%	3.7K	-130.4K	-711	0.00	38.25	N/A	N/A	0	0	72	58
2010-10-20	$39.12	$37.00	27.8%	8.0%	29.3%	19.9%	0.0%	0.0%	1.2%	3.0K	-169.6K	-645	0.00	64.99	N/A	N/A	0	0	72	58
2010-10-21	$39.25	$37.00	28.2%	8.1%	28.0%	20.2%	0.0%	0.0%	0.8%	3.0K	-173.5K	-617	0.00	76.95	N/A	N/A	0	0	72	58
2010-10-22	$39.35	$37.00	26.7%	7.7%	24.2%	18.9%	0.0%	0.0%	1.6%	3.1K	-180.7K	-597	0.00	81.74	N/A	N/A	0	0	72	58
2010-10-25	$39.29	$37.00	27.3%	7.8%	23.5%	19.4%	0.0%	0.0%	0.5%	3.0K	-181.8K	-579	0.00	94.13	N/A	N/A	0	0	72	58
2010-10-26	$39.04	$37.00	26.6%	7.6%	23.5%	18.8%	0.0%	0.0%	2.3%	4.1K	-173.6K	-587	0.00	74.60	N/A	N/A	0	0	72	58
2010-10-27	$38.56	$37.00	28.4%	8.2%	23.8%	20.4%	0.0%	0.0%	0.2%	4.0K	-150.5K	-627	0.00	59.38	N/A	N/A	0	0	72	58
2010-10-28	$38.98	$37.00	27.7%	8.0%	23.9%	19.8%	0.0%	0.0%	1.2%	3.4K	-172.8K	-589	0.00	84.91	N/A	N/A	0	0	72	58
2010-10-29	$38.98	$37.00	20.1%	5.8%	23.8%	12.9%	0.0%	0.0%	6.5%	3.7K	-190.5K	-523	0.00	116.13	N/A	N/A	0	0	72	58