FEZ Options History — September 2013

In September 2013, FEZ traded between $35.61 and $39.13. ATM implied volatility averaged 17.0%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.1% (HV 20d: 17.0%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 8.96.

Notable Days

  • 2013-09-24: Highest Volume — 3,617 contracts
  • 2013-09-09: Largest IV spike — 49.6% change
  • 2013-09-03: Highest IV Rank — 47.4%
  • 2013-09-03: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.66$35.61$39.13$35.61$38.41
Max Pain$36.35$36.00$37.00$36.00$37.00
ATM IV17.0%11.3%20.3%20.3%20.0%
Expected Move5.0%3.9%5.8%5.8%5.7%
HV 20d17.0%14.6%19.7%15.8%14.6%
HV 60d16.8%14.6%19.0%19.0%14.8%
IV Rank29.5%7.8%47.4%47.4%41.6%
IV Percentile20.4%0.4%45.2%40.9%45.2%
Term Structure0.9%-0.4%1.8%-0.3%-0.2%
VWIV19.5%15.9%23.4%23.4%22.6%
Skew 25d5.1%2.6%8.0%5.6%4.3%
Skew 10d12.0%7.2%15.5%12.0%12.4%
Call IV 25d16.6%15.5%19.8%19.8%18.2%
Put IV 25d21.8%19.0%25.4%25.4%22.5%
Bid-Ask Spread %62.0438.7875.9769.0261.60
Gamma HHI0.190.150.240.150.20
Net GEX-39.2K-1.1M644.9K-1.1M292.9K
Net DEX-6.0M-15.9M7.1M7.1M-7.4M
Net VEX-90.2K-116.0K-61.7K-116.0K-97.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.960.0362.730.1862.73
Total Volume554.45603,617161956
Total OI25,515.721,58527,27725,21425,861

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$35.61$36.0020.3%5.8%15.8%47.4%0.0%5.6%-0.3%-1.1M7.1M-116.0K0.1869.02N/AN/A137245,74919,465
2013-09-04$35.80$36.0018.4%5.3%15.9%38.9%23.4%7.3%1.2%-957.2K5.3M-112.3K0.6738.78N/AN/A43295,84219,472
2013-09-05$35.72$36.0018.5%5.3%15.8%39.3%19.5%3.6%1.7%-1.1M5.3M-111.7K1.3869.85N/AN/A37515,84019,489
2013-09-06$36.13$36.0011.3%5.6%15.5%7.8%22.1%6.8%1.6%-608.3K1.5M-106.1K0.8254.70N/AN/A115945,86919,537
2013-09-09$36.55$36.0017.0%3.9%16.1%32.7%22.4%8.0%1.4%-467.5K-779.4K-99.7K2.4252.85N/AN/A801945,85519,567
2013-09-10$37.12$36.0015.0%5.1%17.1%24.1%20.2%5.9%1.8%-103.6K-4.5M-92.7K0.4865.80N/AN/A2751315,92119,695
2013-09-11$37.48$36.0014.8%5.2%17.3%23.3%19.0%6.7%1.5%-206.2K-5.1M-94.1K1.5361.83N/AN/A971485,96919,760
2013-09-12$37.28$36.0018.3%5.2%17.5%38.5%21.9%5.3%-0.4%-126.9K-5.6M-90.9K5.7461.46N/AN/A854886,00919,834
2013-09-13$37.49$36.0018.3%5.3%17.6%38.9%21.1%5.9%1.3%-31.3K-6.0M-90.5K2.7473.39N/AN/A31856,06220,235
2013-09-16$37.80$36.0013.7%3.9%17.7%11.2%17.6%5.5%1.7%24.7K-8.3M-81.3K0.2575.97N/AN/A209526,03720,318
2013-09-17$37.97$36.0017.5%5.0%17.0%29.5%20.3%4.8%1.2%187.4K-10.1M-61.7K0.5256.17N/AN/A172905,98720,358
2013-09-18$39.13$36.0016.8%4.8%19.7%26.2%17.3%4.7%0.5%227.4K-13.7M-66.2K0.0364.08N/AN/A1,791616,03520,391
2013-09-19$38.95$36.0017.7%5.1%19.3%30.5%20.2%4.6%0.4%644.9K-15.9M-69.9K1.1462.03N/AN/A2292627,11920,158
2013-09-20$38.59$37.0017.4%5.0%19.2%29.1%17.8%4.4%-0.1%522.0K-12.7M-73.1K1.6859.76N/AN/A1572646,66220,356
2013-09-23$38.47$37.0018.5%5.3%19.3%34.5%18.9%5.0%0.5%637.8K-12.1M-69.5K48.7573.09N/AN/A125856,66314,922
2013-09-24$38.56$37.0016.9%4.9%19.0%26.8%16.9%3.6%0.3%476.7K-10.7M-77.0K45.9765.22N/AN/A773,5406,67115,478
2013-09-25$38.71$37.0016.7%4.8%15.4%25.6%17.1%4.2%0.5%216.5K-8.3M-101.3K1.2866.89N/AN/A76976,67418,996
2013-09-26$38.69$37.0016.1%4.6%15.3%22.8%15.9%2.6%1.1%354.9K-8.8M-96.5K0.8253.45N/AN/A33276,73018,976
2013-09-27$38.70$37.0016.0%4.6%15.1%22.3%16.9%3.9%1.5%306.8K-9.1M-96.4K0.1654.93N/AN/A220356,75618,996
2013-09-30$38.41$37.0020.0%5.7%14.6%41.6%22.6%4.3%-0.2%292.9K-7.4M-97.2K62.7361.60N/AN/A159416,83019,031