FEZ Options History — June 2013

In June 2013, FEZ traded between $32.44 and $36.21. ATM implied volatility averaged 25.4%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.8% (HV 20d: 18.6%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 122.41.

Notable Days

  • 2013-06-21: Highest Volume — 8,262 contracts
  • 2013-06-13: Largest IV drop — 31.6% change
  • 2013-06-27: Highest IV Rank — 50.7%
  • 2013-06-24: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.83$32.44$36.21$36.14$33.13
Max Pain$36.20$34.00$37.00$36.00$34.00
ATM IV25.4%20.4%32.1%29.0%21.1%
Expected Move6.9%5.9%8.3%8.3%6.1%
HV 20d18.6%14.2%25.8%14.3%24.8%
HV 60d20.4%19.2%21.8%19.7%21.7%
IV Rank17.6%6.4%50.7%11.4%45.6%
IV Percentile63.3%28.3%94.8%86.9%34.9%
Term Structure-0.6%-5.5%2.1%-4.2%2.0%
VWIV24.2%19.0%32.3%32.3%21.0%
Skew 25d6.1%0.8%10.9%4.8%4.7%
Skew 10d9.9%2.0%18.2%8.3%4.1%
Call IV 25d21.1%16.1%26.3%23.9%17.8%
Put IV 25d27.2%21.9%32.9%28.7%22.5%
Bid-Ask Spread %60.3241.7877.0256.3953.51
Gamma HHI0.230.190.440.210.20
Net GEX-1.7M-4.6M-1.0M-1.1M-1.7M
Net DEX11.8M1.6M33.3M5.6M16.1M
Net VEX-89.1K-109.8K-49.9K-88.4K-104.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio122.410.022179.000.151.42
Total Volume1,095.518,262242116
Total OI27,223.5523,82429,82424,80526,121

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$36.14$36.0029.0%8.3%14.3%11.4%32.3%4.8%-4.2%-1.1M5.6M-88.4K0.1556.39N/AN/A211315,73619,069
2013-06-04$35.88$36.0027.8%8.0%14.5%10.7%28.3%1.9%-4.7%-1.1M6.5M-89.9K1.8066.11N/AN/A3876955,82919,094
2013-06-05$35.35$36.0028.7%8.2%15.3%11.2%27.3%6.3%-5.5%-1.4M10.5M-94.4K0.9350.53N/AN/A57536,09719,723
2013-06-06$35.59$36.0028.9%8.3%14.5%11.4%28.0%6.8%-2.4%-1.4M10.8M-96.6K0.1246.80N/AN/A318396,12319,776
2013-06-07$35.97$37.0026.5%6.6%14.3%9.9%22.4%7.2%-0.0%-1.0M6.6M-92.1K0.1577.02N/AN/A198306,28319,807
2013-06-10$35.96$37.0028.6%6.6%14.2%11.2%0.0%6.6%-0.2%-1.0M5.4M-85.4K0.0271.00N/AN/A9626,34419,815
2013-06-11$35.51$37.0030.4%6.5%14.8%12.2%26.6%10.9%-0.1%-1.4M8.9M-86.0K2179.0068.17N/AN/A36,5376,40619,813
2013-06-12$35.38$37.0032.1%7.1%14.7%13.2%0.0%4.0%-1.5%-1.9M12.0M-95.6K0.0063.11N/AN/A0196,40823,253
2013-06-13$35.84$37.0022.0%6.3%15.5%7.3%19.0%8.8%0.4%-1.5M7.2M-87.5K0.0264.54N/AN/A16836,40823,262
2013-06-14$35.45$37.0023.9%6.8%15.9%8.4%23.4%5.3%-1.5%-2.1M10.8M-88.8K3.2364.63N/AN/A13426,50023,259
2013-06-17$36.01$37.0020.9%6.0%16.3%6.6%20.7%2.5%0.0%-1.1M1.6M-67.0K0.3068.62N/AN/A106326,51323,301
2013-06-18$36.21$37.0022.0%6.3%16.4%7.3%0.0%6.3%1.1%-1.0M4.8M-80.9K0.0070.96N/AN/A016,53823,286
2013-06-19$35.33$37.0020.4%5.9%18.6%6.4%21.6%0.8%0.7%-2.7M3.5M-49.9K2.1960.19N/AN/A2154716,48223,285
2013-06-20$34.00$37.0024.5%7.0%22.6%8.7%23.3%4.7%0.4%-4.6M19.0M-60.4K0.1263.73N/AN/A379476,41122,682
2013-06-21$32.99$37.0025.8%7.4%24.6%9.5%25.7%6.4%1.1%-1.6M33.3M-80.3K10.7748.25N/AN/A7027,5606,54922,706
2013-06-24$32.44$37.0029.0%8.3%24.9%11.4%25.6%8.8%-1.8%-1.7M22.4M-108.2K0.7341.78N/AN/A1,2619224,58719,237
2013-06-25$32.75$34.0022.0%6.3%24.8%49.0%22.5%8.7%2.1%-1.7M20.6M-109.8K0.4846.51N/AN/A3531715,78819,890
2013-06-26$33.22$34.0022.4%6.4%25.8%50.4%21.0%9.0%1.7%-1.6M16.6M-108.8K1.0558.86N/AN/A2162275,97720,061
2013-06-27$33.41$34.0022.4%6.4%25.6%50.7%22.3%8.2%0.6%-1.5M14.0M-107.7K0.8365.72N/AN/A1251046,05719,995
2013-06-28$33.13$34.0021.1%6.1%24.8%45.6%21.0%4.7%2.0%-1.7M16.1M-104.8K1.4253.51N/AN/A48686,06520,056