FEZ Options History — January 2014

In January 2014, FEZ traded between $39.76 and $42.38. ATM implied volatility averaged 16.5%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.6% (HV 20d: 18.0%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 13.22.

Notable Days

  • 2014-01-23: Highest Volume — 7,766 contracts
  • 2014-01-24: Largest IV spike — 34.1% change
  • 2014-01-29: Highest IV Rank — 40.4%
  • 2014-01-29: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.22$39.76$42.38$40.96$39.76
Max Pain$38.71$38.00$41.00$41.00$39.00
ATM IV16.5%12.8%19.7%17.0%19.7%
Expected Move4.8%4.1%5.7%4.9%5.6%
HV 20d18.0%15.9%21.9%18.0%19.9%
HV 60d15.4%14.5%17.4%15.2%17.4%
IV Rank24.6%6.9%40.4%27.1%40.2%
IV Percentile30.3%1.6%65.1%35.7%63.9%
Term Structure0.7%-0.7%1.8%-0.7%1.1%
VWIV17.1%14.3%21.3%16.5%21.3%
Skew 25d3.7%2.8%5.2%3.3%3.9%
Skew 10d8.9%5.1%13.3%9.5%11.7%
Call IV 25d15.1%13.0%19.1%15.8%19.1%
Put IV 25d18.8%16.6%23.0%19.1%23.0%
Bid-Ask Spread %50.1618.6363.6322.4755.62
Gamma HHI0.170.160.220.180.17
Net GEX-347.7K-1.4M260.2K-485.3K-1.4M
Net DEX-4.7M-14.0M11.9M-5.8M11.9M
Net VEX-108.3K-138.6K-84.2K-87.8K-138.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.220.19171.580.662.22
Total Volume1,154.1431117,7668951,895
Total OI29,885.66726,36032,30026,36032,300

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$40.96$41.0017.0%4.9%18.0%27.1%16.5%3.3%-0.7%-485.3K-5.8M-87.8K0.6622.47N/AN/A5403556,97919,381
2014-01-03$40.83$41.0015.7%4.5%17.8%21.1%16.4%3.3%0.9%-343.3K-4.9M-97.3K0.5118.63N/AN/A95487,33019,713
2014-01-06$40.93$38.0016.8%4.8%17.4%26.3%16.4%3.6%0.6%-216.9K-6.3M-90.8K1.3163.63N/AN/A1291697,40019,736
2014-01-07$41.46$38.0016.4%4.7%17.0%24.1%16.8%2.9%1.2%202.0K-10.1M-84.4K7.2057.69N/AN/A453247,50219,797
2014-01-08$41.36$38.0016.7%4.7%17.0%25.5%15.9%3.4%0.5%-41.7K-9.5M-84.2K75.1150.97N/AN/A886,6107,52520,030
2014-01-09$41.30$38.0015.9%4.6%16.8%21.7%16.9%3.3%1.1%-416.4K-5.5M-109.8K0.8546.86N/AN/A3332827,58623,369
2014-01-10$41.73$38.0013.3%4.3%16.7%9.6%15.9%3.0%1.3%-142.2K-9.7M-101.6K0.3754.19N/AN/A3521297,82923,540
2014-01-13$41.35$39.0017.3%4.7%16.9%28.8%16.3%2.8%0.9%-191.8K-6.8M-111.5K0.7554.97N/AN/A1891418,08023,588
2014-01-14$41.89$39.0015.2%4.3%17.3%18.4%16.4%3.6%1.7%51.9K-11.8M-97.9K0.6050.33N/AN/A4052428,05823,686
2014-01-15$42.38$38.0012.8%4.4%16.8%6.9%16.0%3.7%0.8%260.2K-14.0M-96.6K0.2244.61N/AN/A6471427,90923,496
2014-01-16$42.19$38.0015.1%4.3%16.4%17.9%14.7%3.3%1.8%247.2K-13.3M-95.4K1.1051.60N/AN/A1001108,02923,417
2014-01-17$41.72$38.0014.8%4.2%16.0%16.6%15.4%4.1%1.2%232.3K-10.1M-103.9K0.4151.82N/AN/A2991238,08023,481
2014-01-21$42.05$38.0014.5%4.1%16.1%15.0%14.3%3.3%1.1%100.8K-11.9M-94.5K0.4546.42N/AN/A155697,78519,215
2014-01-22$41.92$38.0014.5%4.2%16.2%15.3%16.0%4.0%1.1%125.8K-10.7M-99.5K1.0450.02N/AN/A1181237,86519,259
2014-01-23$41.87$39.0014.7%4.2%15.9%16.0%16.8%3.8%0.8%107.8K-9.9M-103.4K171.5858.20N/AN/A457,7217,89419,337
2014-01-24$40.34$39.0019.7%5.6%20.8%40.0%19.2%4.3%-0.4%-1.0M5.1M-136.4K4.4156.49N/AN/A1335867,90423,069
2014-01-27$40.29$39.0019.3%5.5%20.5%38.4%19.6%5.2%-0.7%-1.2M6.9M-137.3K1.7249.68N/AN/A2053527,94623,508
2014-01-28$40.84$39.0017.3%5.0%21.1%28.8%18.8%4.5%0.3%-966.3K2.4M-131.7K0.2654.81N/AN/A324858,08723,626
2014-01-29$40.12$39.0019.7%5.7%21.8%40.4%21.2%4.2%0.5%-1.1M7.9M-136.6K6.7458.87N/AN/A543648,30923,681
2014-01-30$40.35$39.0019.3%5.5%21.9%38.1%18.9%4.3%0.4%-1.1M6.4M-136.2K0.1955.49N/AN/A93188,33423,939
2014-01-31$39.76$39.0019.7%5.6%19.9%40.2%21.3%3.9%1.1%-1.4M11.9M-138.6K2.2255.62N/AN/A5891,3068,35523,945