FEZ Options History — June 2012

In June 2012, FEZ traded between $26.14 and $28.22. ATM implied volatility averaged 30.3%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 109.6% (HV 20d: 139.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 2 of 6 trading days. Term structure was in contango for 6 of 6 days. Put/call ratio averaged 1.40.

Notable Days

2012-06-27: Highest Volume — 1,655 contracts
2012-06-25: Largest IV spike — 12.4% change
2012-06-25: Highest IV Rank — 11.4%
2012-06-25: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.79	$26.14	$28.22	$27.09	$28.22
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	30.3%	26.2%	34.1%	30.3%	26.2%
Expected Move	8.7%	7.5%	9.8%	8.7%	7.5%
HV 20d	139.9%	139.2%	142.3%	139.2%	142.3%
HV 60d	82.6%	82.4%	83.6%	82.4%	83.6%
IV Rank	9.0%	6.5%	11.4%	9.1%	6.5%
IV Percentile	55.4%	33.9%	73.3%	57.4%	33.9%
Term Structure	1.6%	0.6%	3.2%	1.4%	1.8%
VWIV	30.5%	27.8%	35.0%	35.0%	29.1%
Skew 25d	8.8%	7.3%	11.9%	11.9%	9.4%
Skew 10d	17.5%	13.6%	20.2%	16.9%	13.6%
Call IV 25d	25.8%	20.0%	29.7%	20.7%	20.0%
Put IV 25d	34.5%	29.4%	37.3%	32.6%	29.4%
Bid-Ask Spread %	25.74	19.25	40.56	40.56	28.00
Gamma HHI	0.77	0.51	1.00	1.00	0.94
Net GEX	64.0K	-3.3K	199.2K	0	193.8K
Net DEX	-698.8K	-3.0M	104.4K	0	-3.0M
Net VEX	-1.4K	-4.4K	0	0	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	0.00	5.00	0.50	0.00
Total Volume	416.167	6	1,655	40	759
Total OI	607	0	1,738	0	1,738

Daily Data (6 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
2012-06-22	$27.09	$0.00	30.3%	8.7%	139.2%	9.1%	0.0%	11.9%	1.4%	0	0	0	0.00	40.56	N/A	N/A	0	40	0	0
2012-06-25	$26.14	$0.00	34.1%	9.8%	139.4%	11.4%	35.0%	7.6%	0.6%	-3.3K	62.6K	-155	0.50	21.65	N/A	N/A	10	5	0	40
2012-06-26	$26.23	$25.00	32.9%	9.4%	139.4%	10.6%	0.0%	7.3%	1.2%	-2.8K	51.5K	-193	0.00	22.01	N/A	N/A	0	22	10	45
2012-06-27	$26.55	$25.00	29.9%	8.6%	139.5%	8.8%	30.2%	7.8%	1.5%	-2.9K	104.4K	-196	0.09	19.25	N/A	N/A	1,515	140	10	67
2012-06-28	$26.52	$25.00	28.1%	8.1%	139.5%	7.8%	27.8%	8.5%	3.2%	199.2K	-1.4M	-4.4K	5.00	22.99	N/A	N/A	1	5	1,525	207
2012-06-29	$28.22	$25.00	26.2%	7.5%	142.3%	6.5%	29.1%	9.4%	1.8%	193.8K	-3.0M	-3.7K	0.00	28.00	N/A	N/A	759	0	1,526	212