FEZ Options History — November 2010 In November 2010, FEZ traded between $34.91 and $40.47. ATM implied volatility averaged 31.8%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 8.7% (HV 20d: 23.1%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2010-11-15 : Highest Volume — 10 contracts2010-11-19 : Largest IV spike — 51.4% change2010-11-19 : Highest IV Rank — 53.5%2010-11-26 : Largest Expected Move — 12.6%Monthly Statistics Metric Avg Min Max Open Close Price $38.13 $34.91 $40.47 $38.55 $34.91 Max Pain $36.50 $36.00 $37.00 $37.00 $36.00 ATM IV 31.8% 20.3% 64.9% 26.8% 33.6% Expected Move 8.5% 5.8% 12.6% 7.7% 9.6% HV 20d 23.1% 19.8% 28.6% 22.7% 28.6% HV 60d 26.4% 25.2% 28.6% 28.1% 26.5% IV Rank 23.5% 13.0% 53.5% 19.0% 25.1% IV Percentile 55.2% 6.3% 96.0% 46.4% 76.2% Term Structure -0.6% -9.5% 5.9% 1.9% 3.7% VWIV 34.0% 34.0% 34.0% 34.0% 34.0% Bid-Ask Spread % 122.81 87.10 192.30 94.89 87.10 Gamma HHI 0.38 0.27 0.62 0.40 0.30 Net GEX 3.3K -800 11.7K 4.3K -800 Net DEX -142.1K -244.5K 15.5K -158.4K 15.5K Net VEX -452 -581 -331 -581 -432 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.55 0 10 0 1 Total OI 119 86 130 130 86
Daily Data (20 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 2010-11-01 $38.55 $37.00 26.8% 7.7% 22.7% 19.0% 0.0% 0.0% 1.9% 4.3K -158.4K -581 0.00 94.89 N/A N/A 0 0 72 58 2010-11-02 $39.51 $37.00 20.3% 5.8% 19.9% 13.0% 0.0% 0.0% 5.9% 2.3K -217.6K -420 0.00 111.11 N/A N/A 0 0 72 58 2010-11-03 $39.56 $37.00 22.1% 6.3% 19.8% 14.7% 0.0% 0.0% 1.9% 2.4K -223.2K -401 0.00 113.76 N/A N/A 0 0 72 58 2010-11-04 $40.47 $37.00 25.0% 7.2% 21.1% 17.3% 0.0% 0.0% -9.5% 1.2K -244.5K -331 0.00 111.43 N/A N/A 0 0 72 58 2010-11-05 $39.81 $37.00 22.5% 6.4% 22.2% 15.0% 0.0% 0.0% -5.3% 1.6K -235.0K -337 0.00 112.28 N/A N/A 0 0 72 58 2010-11-08 $39.44 $37.00 32.7% 9.4% 22.6% 24.3% 0.0% 0.0% -7.8% 2.9K -198.1K -477 0.00 137.14 N/A N/A 0 0 72 58 2010-11-09 $38.98 $37.00 22.1% 6.3% 23.0% 14.7% 0.0% 0.0% -0.4% 3.7K -197.2K -449 0.00 105.88 N/A N/A 0 0 72 58 2010-11-10 $38.89 $37.00 26.8% 7.7% 21.8% 18.9% 0.0% 0.0% 3.1% 3.7K -191.1K -474 0.00 125.00 N/A N/A 0 0 72 58 2010-11-11 $38.30 $37.00 26.3% 7.6% 22.3% 18.5% 0.0% 0.0% 0.9% 5.5K -172.7K -486 0.00 135.59 N/A N/A 0 0 72 58 2010-11-12 $38.08 $37.00 26.4% 7.6% 22.3% 18.6% 0.0% 0.0% 3.7% 6.3K -152.0K -526 0.00 142.31 N/A N/A 0 0 72 58 2010-11-15 $38.13 $36.00 36.1% 11.3% 22.2% 27.4% 0.0% 0.0% 0.0% 6.1K -152.0K -514 0.00 161.93 N/A N/A 10 0 72 58 2010-11-16 $37.13 $36.00 27.4% 9.0% 21.9% 19.5% 0.0% 0.0% 0.0% 11.1K -91.5K -539 0.00 93.09 N/A N/A 0 0 72 58 2010-11-17 $37.37 $36.00 29.2% 9.1% 19.9% 21.1% 0.0% 0.0% 0.0% 11.7K -115.1K -519 0.00 96.36 N/A N/A 0 0 72 58 2010-11-18 $38.44 $36.00 42.9% 8.8% 22.6% 33.5% 0.0% 0.0% 0.0% 3.6K -192.5K -410 0.00 105.35 N/A N/A 0 0 72 58 2010-11-19 $38.62 $36.00 64.9% 7.7% 22.7% 53.5% 0.0% 0.0% 0.0% 2.3K -203.6K -387 0.00 109.47 N/A N/A 0 0 72 58 2010-11-22 $37.85 $36.00 33.2% 9.5% 23.7% 24.7% 0.0% 0.0% 0.0% -390 -65.1K -395 0.00 151.18 N/A N/A 0 0 39 47 2010-11-23 $36.28 $36.00 31.6% 9.1% 27.7% 23.3% 0.0% 0.0% 0.0% -636 -23.3K -455 0.00 91.42 N/A N/A 0 0 39 47 2010-11-24 $36.47 $36.00 42.7% 12.3% 27.7% 33.4% 0.0% 0.0% 0.0% -680 -12.0K -445 0.00 178.62 N/A N/A 0 0 39 47 2010-11-26 $35.76 $36.00 43.9% 12.6% 27.8% 34.4% 0.0% 0.0% 0.0% -505 -12.2K -460 0.00 192.30 N/A N/A 0 0 39 47 2010-11-29 $34.91 $36.00 33.6% 9.6% 28.6% 25.1% 34.0% 0.0% 0.0% -800 15.5K -432 0.00 87.10 N/A N/A 0 1 39 47
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