FEZ Options History — December 2010

Name: FEZ Options Analytics - December 2010
Creator: Options Analysis Suite

In December 2010, FEZ traded between $35.48 and $37.75. ATM implied volatility averaged 33.7%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 5.3% (HV 20d: 28.4%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 3 of 17 trading days. Put/call ratio averaged 0.00.

Notable Days

2010-12-08: Highest Volume — 8 contracts
2010-12-21: Largest IV spike — 47.0% change
2010-12-23: Highest IV Rank — 38.5%
2010-12-23: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.89	$35.48	$37.75	$35.48	$36.69
Max Pain	$35.35	$35.00	$36.00	$36.00	$35.00
ATM IV	33.7%	26.3%	48.3%	32.9%	48.3%
Expected Move	9.7%	7.5%	13.9%	9.4%	13.9%
HV 20d	28.4%	21.4%	30.4%	29.5%	21.4%
HV 60d	25.9%	24.3%	26.5%	26.5%	24.3%
IV Rank	25.2%	18.5%	38.5%	24.5%	38.5%
IV Percentile	68.9%	42.1%	91.3%	74.2%	91.3%
VWIV	27.5%	21.5%	33.5%	33.5%	21.5%
Bid-Ask Spread %	123.58	92.91	186.27	92.91	186.27
Gamma HHI	0.32	0.27	0.37	0.28	0.34
Net GEX	-510	-1.4K	73	-1.1K	-356
Net DEX	-54.8K	-104.5K	1.7K	1.7K	-45.2K
Net VEX	-383	-444	-293	-443	-379
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	0.765	0	8	5	0
Total OI	98.882	89	102	89	102

Daily Data (17 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-12-01	$35.48	$36.00	32.9%	9.4%	29.5%	24.5%	33.5%	0.0%	0.0%	-1.1K	1.7K	-443	92.91	N/A	N/A	0	5	39	50
2010-12-02	$36.46	$36.00	31.6%	9.1%	29.9%	23.3%	0.0%	0.0%	0.0%	-1.2K	-21.6K	-444	100.38	N/A	N/A	0	0	39	55
2010-12-03	$36.92	$36.00	31.2%	8.9%	30.4%	22.9%	0.0%	0.0%	0.0%	-1.1K	-37.4K	-419	106.14	N/A	N/A	0	0	39	55
2010-12-06	$36.45	$36.00	31.7%	9.1%	28.9%	23.4%	0.0%	0.0%	0.0%	-1.3K	-23.4K	-419	104.28	N/A	N/A	0	0	39	55
2010-12-07	$36.70	$36.00	31.5%	9.0%	28.9%	23.2%	0.0%	0.0%	0.0%	-1.4K	-30.9K	-401	104.85	N/A	N/A	0	0	39	55
2010-12-08	$36.99	$36.00	31.2%	9.0%	29.1%	23.0%	21.5%	0.0%	0.0%	-1.3K	-42.7K	-385	107.84	N/A	N/A	8	0	39	55
2010-12-09	$37.27	$35.00	31.2%	9.0%	29.2%	23.0%	0.0%	0.0%	0.0%	-178	-74.3K	-395	111.33	N/A	N/A	0	0	47	55
2010-12-10	$37.26	$35.00	31.1%	8.9%	29.2%	22.9%	0.0%	0.0%	0.0%	-191	-75.2K	-387	110.23	N/A	N/A	0	0	47	55
2010-12-13	$37.75	$35.00	26.3%	7.5%	29.2%	18.5%	0.0%	0.0%	0.0%	-22	-104.5K	-293	117.91	N/A	N/A	0	0	47	55
2010-12-14	$37.74	$35.00	27.9%	8.0%	29.2%	20.0%	0.0%	0.0%	0.0%	73	-97.3K	-325	118.39	N/A	N/A	0	0	47	55
2010-12-15	$36.99	$35.00	30.4%	8.7%	30.0%	22.2%	0.0%	0.0%	0.0%	20	-72.1K	-373	114.43	N/A	N/A	0	0	47	55
2010-12-16	$37.25	$35.00	30.0%	8.6%	28.6%	21.9%	0.0%	0.0%	0.0%	-34	-84.5K	-334	120.08	N/A	N/A	0	0	47	55
2010-12-17	$36.65	$35.00	31.7%	9.1%	29.1%	23.4%	0.0%	0.0%	0.0%	-76	-59.7K	-381	118.75	N/A	N/A	0	0	47	55
2010-12-20	$36.63	$35.00	31.6%	9.1%	27.0%	23.3%	0.0%	0.0%	0.0%	58	-63.0K	-364	120.61	N/A	N/A	0	0	47	55
2010-12-21	$36.92	$35.00	46.5%	13.3%	27.1%	36.8%	0.0%	0.0%	0.0%	-327	-50.9K	-385	182.06	N/A	N/A	0	0	47	55
2010-12-22	$36.90	$35.00	47.3%	13.6%	26.3%	37.5%	0.0%	0.0%	0.0%	-327	-50.6K	-379	184.44	N/A	N/A	0	0	47	55
2010-12-23	$36.69	$35.00	48.3%	13.9%	21.4%	38.5%	0.0%	0.0%	0.0%	-356	-45.2K	-379	186.27	N/A	N/A	0	0	47	55