FEZ Options History — January 2013

In January 2013, FEZ traded between $34.48 and $36.35. ATM implied volatility averaged 16.4%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.6% (HV 20d: 17.0%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.81.

Notable Days

  • 2013-01-08: Highest Volume — 2,611 contracts
  • 2013-01-10: Largest IV spike — 15.0% change
  • 2013-01-03: Highest IV Rank — 5.2%
  • 2013-01-04: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.45$34.48$36.35$35.02$35.94
Max Pain$32.57$32.00$33.00$33.00$33.00
ATM IV16.4%14.1%18.5%16.8%15.3%
Expected Move4.8%4.1%5.4%4.8%4.4%
HV 20d17.0%14.1%18.1%15.6%14.5%
HV 60d17.9%16.3%19.4%19.2%16.5%
IV Rank4.0%2.7%5.2%4.2%3.4%
IV Percentile1.7%0.4%4.0%0.8%2.4%
Term Structure3.3%1.7%5.4%2.7%2.5%
VWIV17.6%14.1%20.2%16.7%16.4%
Skew 25d3.7%1.7%6.1%3.1%2.4%
Skew 10d7.8%0.5%12.5%10.0%9.3%
Call IV 25d15.2%11.1%17.8%16.7%14.7%
Put IV 25d18.9%15.8%22.3%19.8%17.0%
Bid-Ask Spread %23.5714.1735.6432.7517.59
Gamma HHI0.170.130.200.160.14
Net GEX40.7K-122.5K263.5K175.7K-60.1K
Net DEX-4.9M-7.2M-3.1M-4.5M-5.6M
Net VEX-27.6K-36.8K-19.6K-21.1K-36.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.810.1322.310.311.60
Total Volume426.571462,61181294
Total OI12,408.33311,02014,09311,02012,627

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$35.02$33.0016.8%4.8%15.6%4.2%16.7%3.1%2.7%175.7K-4.5M-21.1K0.3132.75N/AN/A62192,4718,549
2013-01-03$34.48$33.0018.5%5.3%16.8%5.2%18.4%4.5%2.0%202.9K-3.9M-22.0K1.0323.94N/AN/A32332,5288,562
2013-01-04$34.78$32.0016.8%5.4%17.0%4.2%19.4%3.8%4.5%237.8K-4.6M-19.6K1.5735.64N/AN/A23362,5408,595
2013-01-07$34.64$32.0018.3%5.3%17.0%5.1%20.2%3.6%4.2%263.5K-4.4M-19.6K2.9233.36N/AN/A371082,5608,607
2013-01-08$34.54$32.0016.6%5.3%16.8%4.1%20.2%4.9%3.9%206.6K-3.9M-22.0K22.3125.00N/AN/A1122,4992,5888,713
2013-01-09$34.60$32.0015.6%5.0%16.8%3.6%18.5%3.9%3.8%146.9K-3.1M-30.0K4.4434.42N/AN/A1135022,68910,141
2013-01-10$35.30$32.0018.0%5.2%17.4%4.9%18.0%3.0%4.1%32.6K-4.6M-28.9K2.5423.72N/AN/A13332,77910,643
2013-01-11$35.59$32.0017.3%5.0%17.5%4.5%19.1%1.7%3.5%73.0K-5.3M-26.8K0.7627.08N/AN/A1831392,75310,664
2013-01-14$35.67$32.0017.3%5.0%17.4%4.5%18.5%2.7%3.9%37.9K-5.4M-26.1K0.1328.04N/AN/A178232,81110,786
2013-01-15$35.40$32.0018.0%5.2%17.6%4.9%18.0%3.3%4.1%66.4K-4.8M-27.6K0.5729.23N/AN/A76432,84110,809
2013-01-16$35.16$32.0018.0%5.2%17.9%4.9%19.3%6.1%3.8%72.7K-4.3M-28.9K5.7732.69N/AN/A1599182,90310,844
2013-01-17$35.61$33.0016.7%4.8%18.0%4.1%18.1%4.4%4.6%-103.9K-4.5M-28.6K0.5615.07N/AN/A2641482,75510,993
2013-01-18$35.53$33.0015.6%4.5%18.1%3.5%17.4%3.6%5.4%-72.7K-4.7M-30.1K14.8317.13N/AN/A121782,99911,094
2013-01-22$35.62$33.0015.4%4.4%17.9%3.4%15.5%3.5%2.5%-34.1K-4.4M-29.1K0.9517.28N/AN/A62592,7798,671
2013-01-23$35.44$33.0016.4%4.7%17.4%4.0%16.2%5.3%1.7%-51.9K-4.2M-27.9K1.0314.17N/AN/A32332,8378,725
2013-01-24$35.69$33.0014.1%4.1%17.2%2.7%15.4%5.0%2.9%-33.0K-4.7M-27.7K13.7322.93N/AN/A719752,8298,755
2013-01-25$36.35$33.0014.7%4.2%18.1%3.0%16.9%3.9%2.1%-122.5K-5.9M-26.6K0.2116.60N/AN/A4991072,8858,805
2013-01-28$36.32$33.0014.8%4.2%17.9%3.0%17.8%3.6%2.5%-89.5K-6.6M-31.6K0.4114.27N/AN/A3471423,3788,852
2013-01-29$36.35$33.0014.5%4.1%15.9%2.9%15.8%3.8%2.5%-22.3K-7.2M-34.7K3.9117.24N/AN/A321253,6848,908
2013-01-30$36.33$33.0015.1%4.3%14.1%3.3%14.1%1.9%2.2%-70.8K-7.0M-33.7K0.3616.77N/AN/A174633,6268,997
2013-01-31$35.94$33.0015.3%4.4%14.5%3.4%16.4%2.4%2.5%-60.1K-5.6M-36.8K1.6017.59N/AN/A1131813,5869,041