FEZ Options History — November 2012

In November 2012, FEZ traded between $30.54 and $33.02. ATM implied volatility averaged 24.8%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.8% (HV 20d: 21.0%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 4.30.

Notable Days

  • 2012-11-20: Highest Volume — 2,161 contracts
  • 2012-11-08: Largest IV drop — 14.9% change
  • 2012-11-07: Highest IV Rank — 12.1%
  • 2012-11-02: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.70$30.54$33.02$32.30$33.02
Max Pain$31.57$31.00$32.00$32.00$32.00
ATM IV24.8%20.6%30.2%27.6%21.1%
Expected Move7.3%5.9%8.6%7.9%6.1%
HV 20d21.0%17.3%23.6%22.1%20.3%
HV 60d21.7%20.8%22.7%21.0%22.3%
IV Rank8.9%6.5%12.1%10.6%6.8%
IV Percentile24.3%3.2%65.3%40.6%3.6%
Term Structure0.2%-1.2%1.8%1.8%-0.3%
VWIV25.5%19.9%34.2%26.3%19.9%
Skew 25d6.1%3.9%10.5%5.0%5.4%
Skew 10d14.3%3.5%22.2%10.3%7.3%
Call IV 25d22.8%16.1%26.5%25.4%19.1%
Put IV 25d28.9%23.9%33.9%30.4%24.5%
Bid-Ask Spread %31.8721.0139.3535.3821.01
Gamma HHI0.180.140.220.190.17
Net GEX-280.7K-825.1K69.4K-94.2K69.4K
Net DEX1.2M-3.1M4.9M-293.4K-3.1M
Net VEX-38.8K-44.2K-32.5K-41.9K-32.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.300.0030.001.130.24
Total Volume298.14352,16127256
Total OI13,238.8579,44015,40413,44512,220

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$32.30$32.0027.6%7.9%22.1%10.6%26.3%5.0%1.8%-94.2K-293.4K-41.9K1.1335.38N/AN/A1281443,5729,873
2012-11-02$31.92$32.0029.9%8.6%22.5%11.9%27.4%10.5%0.5%-150.7K667.5K-44.2K0.7229.74N/AN/A99713,69610,017
2012-11-05$31.70$32.0027.6%8.0%22.2%10.6%31.0%6.3%-0.3%-206.8K1.3M-41.3K6.8039.35N/AN/A201363,76510,072
2012-11-06$32.04$32.0026.4%7.9%22.3%9.9%0.0%7.3%-1.2%-51.0K349.7K-40.7K0.0834.51N/AN/A3833,78410,198
2012-11-07$31.29$32.0030.2%8.5%23.6%12.1%0.0%5.9%-0.6%-347.5K2.9M-42.3K0.7036.27N/AN/A63443,79710,198
2012-11-08$30.93$32.0025.7%8.2%22.3%9.4%34.2%6.0%0.1%-541.9K3.7M-41.0K13.2535.33N/AN/A1021,3513,84810,198
2012-11-09$30.92$32.0023.7%8.2%22.2%8.3%28.7%7.0%-0.4%-595.0K4.0M-43.4K0.3433.46N/AN/A167563,88811,416
2012-11-12$31.01$32.0025.9%8.0%21.8%9.6%0.0%6.9%0.1%-602.8K3.8M-41.1K12.5037.11N/AN/A4503,90011,447
2012-11-13$30.89$32.0025.7%7.6%21.9%9.5%0.0%6.2%1.8%-612.0K3.8M-40.4K0.0031.07N/AN/A0203,89611,488
2012-11-14$30.65$32.0028.2%8.0%21.5%10.9%27.9%4.8%0.1%-825.1K4.8M-40.0K5.6232.86N/AN/A452533,89611,508
2012-11-15$30.79$31.0027.6%7.9%18.4%10.6%28.5%5.5%1.1%-704.7K4.3M-39.5K30.0029.78N/AN/A92703,88411,345
2012-11-16$30.54$31.0025.2%7.2%17.3%9.1%25.7%5.6%1.3%-796.8K4.9M-38.0K2.1725.63N/AN/A581263,89311,405
2012-11-19$31.45$31.0024.5%7.0%21.0%8.7%22.0%6.5%-0.7%-186.5K1.3M-34.0K2.4424.65N/AN/A521272,4057,035
2012-11-20$31.60$31.0022.3%6.4%19.9%7.4%22.5%4.2%0.5%-145.9K1.1M-35.0K3.0228.49N/AN/A5371,6242,4577,161
2012-11-21$31.73$31.0022.3%6.4%19.8%7.5%23.1%4.4%-0.2%-155.9K907.1K-41.6K2.0438.00N/AN/A501022,9948,755
2012-11-23$32.60$31.0020.6%5.9%19.8%6.5%23.5%6.3%1.0%6.5K-1.9M-35.0K0.5431.00N/AN/A65353,0448,857
2012-11-26$32.57$31.0022.1%6.3%19.7%7.3%0.0%6.5%-0.6%-11.1K-1.7M-36.7K0.0032.15N/AN/A503,1098,877
2012-11-27$32.23$31.0021.7%6.2%20.2%7.1%23.3%9.5%-0.4%-5.9K-1.2M-36.8K2.1231.01N/AN/A25533,1148,877
2012-11-28$32.59$31.0021.3%6.1%20.5%6.9%22.4%4.7%0.3%9.2K-1.6M-35.5K1.4930.40N/AN/A61913,0998,920
2012-11-29$32.92$32.0021.2%6.1%20.7%6.8%21.2%3.9%0.4%53.3K-2.7M-33.4K0.7832.15N/AN/A68533,1098,999
2012-11-30$33.02$32.0021.1%6.1%20.3%6.8%19.9%5.4%-0.3%69.4K-3.1M-32.5K0.2421.01N/AN/A45113,1719,049