FEZ Options History — February 2013

In February 2013, FEZ traded between $32.94 and $36.40. ATM implied volatility averaged 19.9%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 4.6% (HV 20d: 24.4%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 6.03.

Notable Days

  • 2013-02-08: Highest Volume — 2,022 contracts
  • 2013-02-04: Largest IV spike — 22.2% change
  • 2013-02-25: Highest IV Rank — 9.5%
  • 2013-02-25: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.43$32.94$36.40$36.40$33.68
Max Pain$36.00$36.00$36.00$36.00$36.00
ATM IV19.9%15.3%25.8%15.3%21.0%
Expected Move5.8%4.6%7.4%5.1%6.0%
HV 20d24.4%13.6%31.5%13.6%31.5%
HV 60d19.5%16.6%21.9%16.6%21.9%
IV Rank6.0%3.4%9.5%3.4%6.7%
IV Percentile18.6%2.8%51.8%2.8%22.7%
Term Structure0.6%-2.8%2.8%1.5%-0.0%
VWIV22.0%15.9%26.7%18.1%20.9%
Skew 25d5.6%3.9%13.1%3.9%5.1%
Skew 10d10.0%2.4%15.9%13.3%7.2%
Call IV 25d17.6%12.9%25.1%15.7%20.3%
Put IV 25d23.2%19.5%29.4%19.6%25.3%
Bid-Ask Spread %40.0922.0861.1422.0842.06
Gamma HHI0.190.130.230.130.23
Net GEX-366.7K-708.5K6.3K-56.5K-636.6K
Net DEX1.2M-6.6M9.4M-6.6M5.6M
Net VEX-63.6K-81.5K-36.4K-36.4K-81.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.030.0053.7017.944.36
Total Volume759.263522,0221,57259
Total OI15,865.73712,85218,97812,85217,281

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$36.40$36.0015.3%5.1%13.6%3.4%18.1%3.9%1.5%-56.5K-6.6M-36.4K17.9422.08N/AN/A831,4893,6429,210
2013-02-04$34.78$36.0018.8%5.6%21.7%5.4%23.1%5.5%0.8%-199.7K-717.0K-47.9K2.3525.86N/AN/A1994673,72510,122
2013-02-05$35.25$36.0018.0%5.7%22.1%4.9%21.6%5.1%0.9%-217.3K-2.4M-48.8K5.9923.96N/AN/A704193,90410,480
2013-02-06$34.84$36.0018.0%5.6%22.5%4.9%22.5%5.6%0.9%-276.6K-474.9K-50.3K0.2925.77N/AN/A197583,95810,781
2013-02-07$34.28$36.0021.5%6.2%23.3%7.0%21.8%5.4%0.3%-314.0K1.6M-50.1K1.7626.42N/AN/A971714,06010,803
2013-02-08$34.56$36.0018.3%5.2%22.3%5.1%17.7%4.2%2.0%-338.0K403.3K-49.9K0.0026.95N/AN/A2,01934,06810,870
2013-02-11$34.47$36.0020.4%5.8%22.0%6.3%25.7%4.9%0.2%-129.2K-1.4M-59.8K0.3223.15N/AN/A137446,02210,870
2013-02-12$34.94$36.0017.1%4.9%22.6%4.4%19.3%5.4%2.8%-110.1K-3.8M-60.0K0.2735.37N/AN/A112306,06110,900
2013-02-13$35.09$36.0018.3%5.3%22.5%5.1%22.8%4.4%2.0%6.3K-5.1M-58.7K11.3926.62N/AN/A1221,3906,15010,925
2013-02-14$34.63$36.0018.3%5.3%22.9%5.1%0.0%4.8%0.3%-210.3K-1.7M-65.0K0.0638.11N/AN/A1,662966,21212,053
2013-02-15$34.29$36.0018.8%5.4%22.5%5.4%21.1%6.0%1.5%-332.6K-949.0K-69.8K7.6461.14N/AN/A1391,0626,85712,121
2013-02-19$35.03$36.0016.1%4.6%24.0%3.8%15.9%4.2%2.4%-383.1K-126.5K-65.2K0.3660.90N/AN/A106385,2098,486
2013-02-20$34.24$36.0019.3%5.5%25.2%5.7%22.0%7.3%0.3%-373.8K2.5M-71.1K53.7057.30N/AN/A331,7725,3098,500
2013-02-21$33.44$36.0023.3%6.7%26.3%8.1%24.1%4.1%-0.6%-708.5K8.5M-75.6K0.5455.40N/AN/A7944305,33610,233
2013-02-22$34.28$36.0021.2%6.1%27.9%6.8%21.6%6.0%-0.5%-661.4K3.6M-75.8K4.0653.98N/AN/A321305,97410,500
2013-02-25$32.94$36.0025.8%7.4%29.9%9.5%26.7%4.3%-0.9%-672.1K8.4M-79.9K0.9944.25N/AN/A3032995,98310,550
2013-02-26$33.12$36.0025.1%7.2%30.1%9.1%25.1%6.2%0.7%-703.1K9.4M-81.0K0.7557.18N/AN/A1781346,25310,790
2013-02-27$33.85$36.0023.1%6.6%31.5%7.9%25.9%13.1%-2.8%-651.1K5.7M-80.7K1.7455.20N/AN/A19336,40210,849
2013-02-28$33.68$36.0021.0%6.0%31.5%6.7%20.9%5.1%-0.0%-636.6K5.6M-81.5K4.3642.06N/AN/A11486,42010,861