FEZ Options History — July 2012

In July 2012, FEZ traded between $25.47 and $28.71. ATM implied volatility averaged 28.6%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 78.1% (HV 20d: 106.7%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.65.

Notable Days

  • 2012-07-25: Highest Volume — 580 contracts
  • 2012-07-23: Largest IV spike — 18.7% change
  • 2012-07-24: Highest IV Rank — 11.9%
  • 2012-07-24: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.25$25.47$28.71$28.46$28.02
Max Pain$29.00$25.00$35.00$25.00$27.00
ATM IV28.6%23.3%34.9%27.9%29.7%
Expected Move8.3%6.7%10.0%8.0%8.5%
HV 20d106.7%35.0%142.7%142.2%35.3%
HV 60d84.0%83.5%85.0%83.7%84.7%
IV Rank8.0%4.8%11.9%7.6%8.7%
IV Percentile47.7%14.7%75.3%43.0%54.6%
Term Structure1.3%-2.1%3.3%3.2%0.2%
VWIV30.7%26.3%34.9%34.6%29.6%
Skew 25d8.7%5.5%13.2%11.3%9.8%
Skew 10d19.1%7.2%26.5%7.2%23.5%
Call IV 25d24.3%15.6%29.4%19.6%24.9%
Put IV 25d33.1%28.8%37.3%30.9%34.7%
Bid-Ask Spread %28.5216.4062.3662.3629.60
Gamma HHI0.730.170.980.930.21
Net GEX229.9K-24.0K814.1K179.0K5.3K
Net DEX-1.5M-3.9M362.9K-3.1M-126.3K
Net VEX-2.6K-3.6K-1.5K-3.0K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.0017.670.000.03
Total Volume110.571058038044
Total OI1,483.6673542,0451,6631,312

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$28.46$25.0027.9%8.0%142.2%7.6%34.6%11.3%3.2%179.0K-3.1M-3.0K0.0062.36N/AN/A38001,451212
2012-07-03$28.71$25.0023.3%6.7%142.3%4.8%0.0%13.2%3.1%196.7K-3.6M-1.8K0.0053.17N/AN/A001,451212
2012-07-05$27.73$25.0026.5%7.6%142.5%6.8%29.5%6.7%2.2%261.1K-2.6M-3.3K0.0028.67N/AN/A38511,451212
2012-07-06$27.07$35.0028.5%8.4%142.6%7.9%0.0%9.9%3.3%262.4K-1.8M-3.6K0.0033.02N/AN/A001,451213
2012-07-09$27.05$35.0028.0%8.7%142.7%7.7%0.0%8.7%2.5%299.9K-1.8M-3.2K0.0027.00N/AN/A001,451213
2012-07-10$26.80$35.0028.4%8.8%142.7%7.9%0.0%8.2%1.2%298.8K-1.5M-3.1K17.6723.52N/AN/A3531,451213
2012-07-11$27.04$35.0026.5%8.8%142.7%6.7%0.0%10.2%1.4%333.9K-1.8M-3.0K0.0022.47N/AN/A001,451266
2012-07-12$26.81$35.0030.5%8.7%141.1%9.2%32.5%7.8%2.0%341.6K-1.5M-2.9K1.5620.20N/AN/A50781,451266
2012-07-13$27.18$35.0029.8%8.5%140.8%8.7%29.6%8.0%1.6%393.6K-2.1M-2.9K0.1726.08N/AN/A3561,496336
2012-07-16$27.13$27.0028.8%8.3%140.5%8.2%29.0%8.0%2.0%489.5K-2.1M-2.6K5.0023.98N/AN/A2101,526342
2012-07-17$27.38$27.0028.9%8.3%140.6%8.2%0.0%7.1%2.0%491.4K-2.7M-2.1K1.6721.49N/AN/A57951,528352
2012-07-18$27.62$27.0026.5%7.6%140.8%6.7%26.3%8.2%2.7%404.1K-3.2M-2.5K0.0022.59N/AN/A601,585447
2012-07-19$27.80$27.0025.2%7.2%140.7%6.0%26.5%8.5%3.0%152.8K-3.9M-1.7K0.1721.60N/AN/A3051,586447
2012-07-20$26.74$27.0027.0%7.7%140.2%7.0%30.4%8.2%2.2%814.1K-87.2K-1.8K0.0018.26N/AN/A1801,603442
2012-07-23$26.05$27.0032.0%9.2%36.4%10.1%32.2%5.5%-1.3%-4.3K183.9K-1.5K0.0022.81N/AN/A0124142212
2012-07-24$25.47$27.0034.9%10.0%35.0%11.9%34.4%5.6%-1.8%-17.2K362.9K-1.8K1.5916.40N/AN/A2235142334
2012-07-25$25.81$27.0031.8%9.1%35.4%10.0%34.8%9.7%-2.1%-17.8K328.4K-1.9K4.9232.48N/AN/A98482158358
2012-07-26$27.17$27.0029.8%8.6%39.8%8.8%34.9%8.7%-0.5%-24.0K187.4K-3.3K6.3125.89N/AN/A16101241828
2012-07-27$28.19$27.0028.9%8.3%41.7%8.2%28.0%10.5%-0.5%-17.5K-27.7K-3.1K0.6333.69N/AN/A1912256903
2012-07-30$28.12$27.0028.3%8.1%35.4%7.8%28.0%10.0%0.3%-14.9K-33.6K-3.1K0.0333.75N/AN/A1505265901
2012-07-31$28.02$27.0029.7%8.5%35.3%8.7%29.6%9.8%0.2%5.3K-126.3K-3.5K0.0029.60N/AN/A044406906