FEZ Options History — March 2014 In March 2014, FEZ traded between $40.72 and $42.66. ATM implied volatility averaged 17.6%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 1.5% (HV 20d: 19.1%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.35.
Notable Days 2014-03-20 : Highest Volume — 3,586 contracts2014-03-07 : Largest IV spike — 18.1% change2014-03-03 : Highest IV Rank — 43.1%2014-03-03 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $41.84 $40.72 $42.66 $41.12 $42.66 Max Pain $41.81 $41.00 $42.00 $42.00 $41.00 ATM IV 17.6% 15.0% 20.3% 20.3% 15.8% Expected Move 5.0% 4.3% 5.8% 5.8% 4.5% HV 20d 19.1% 16.2% 21.2% 18.8% 18.0% HV 60d 19.3% 18.7% 19.8% 18.7% 18.7% IV Rank 30.0% 17.7% 43.1% 43.1% 21.6% IV Percentile 45.3% 13.1% 70.6% 70.6% 25.8% Term Structure 0.2% -1.4% 1.2% -1.4% 0.5% VWIV 18.0% 15.5% 22.4% 22.4% 16.8% Skew 25d 4.9% 2.9% 6.0% 5.6% 3.3% Skew 10d 12.4% 8.3% 16.1% 11.5% 10.7% Call IV 25d 15.7% 14.0% 18.4% 18.4% 15.5% Put IV 25d 20.7% 18.3% 24.0% 24.0% 18.7% Bid-Ask Spread % 56.54 20.03 85.73 22.35 82.79 Gamma HHI 0.16 0.14 0.18 0.18 0.17 Net GEX -708.4K -1.8M 5.1K -1.2M 5.1K Net DEX 1.8M -7.6M 14.3M 10.8M -7.6M Net VEX -145.2K -162.7K -132.3K -162.7K -134.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.35 0.00 21.84 3.69 0.17 Total Volume 677.524 50 3,586 652 599 Total OI 30,271.143 27,054 33,887 28,808 29,692
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-03-03 $41.12 $42.00 20.3% 5.8% 18.8% 43.1% 22.4% 5.6% -1.4% -1.2M 10.8M -162.7K 3.69 22.35 N/A N/A 139 513 8,661 20,147 2014-03-04 $42.12 $42.00 17.3% 5.0% 18.4% 28.6% 16.6% 5.2% -0.6% -712.9K 930.1K -152.9K 0.06 28.88 N/A N/A 361 22 8,720 20,608 2014-03-05 $42.19 $42.00 17.1% 4.9% 18.3% 27.9% 16.0% 4.8% -1.1% -591.5K -260.6K -153.9K 2.57 20.03 N/A N/A 14 36 9,003 20,600 2014-03-06 $42.63 $42.00 15.0% 4.3% 18.5% 17.7% 15.7% 2.9% -0.1% -221.5K -5.5M -145.6K 0.07 56.85 N/A N/A 269 18 9,005 20,635 2014-03-07 $42.29 $42.00 17.8% 5.0% 17.6% 30.8% 16.8% 5.0% 0.2% -499.0K -1.5M -150.2K 3.45 69.01 N/A N/A 176 607 9,004 20,640 2014-03-10 $42.14 $42.00 19.1% 5.1% 17.1% 37.5% 19.7% 4.9% -0.3% -678.4K 226.2K -148.7K 1.01 30.19 N/A N/A 92 93 9,086 21,110 2014-03-11 $41.88 $42.00 17.6% 4.9% 17.1% 30.1% 18.3% 5.6% 0.2% -791.8K 1.8M -148.1K 0.47 34.27 N/A N/A 93 44 9,112 21,198 2014-03-12 $41.82 $42.00 18.3% 5.0% 16.2% 33.4% 15.7% 5.5% 0.6% -874.7K 2.8M -147.8K 0.01 26.48 N/A N/A 302 4 9,151 21,236 2014-03-13 $40.72 $42.00 19.7% 5.6% 18.9% 39.9% 19.2% 4.1% 0.1% -1.8M 14.3M -156.1K 2.75 35.03 N/A N/A 212 584 9,291 21,233 2014-03-14 $40.88 $42.00 19.9% 5.7% 18.6% 41.0% 19.6% 5.6% -0.2% -1.7M 14.3M -157.3K 0.20 37.20 N/A N/A 1,314 265 9,417 21,709 2014-03-17 $41.57 $42.00 18.0% 5.2% 19.6% 32.2% 18.6% 6.0% 0.0% -695.3K 2.5M -145.8K 0.00 64.06 N/A N/A 205 1 10,465 21,846 2014-03-18 $41.97 $42.00 17.8% 5.1% 19.8% 31.3% 18.9% 5.6% 0.7% -278.8K -2.6M -141.8K 0.62 77.23 N/A N/A 478 294 10,489 21,846 2014-03-19 $41.39 $42.00 19.1% 5.5% 20.3% 37.6% 19.1% 5.3% 0.4% -644.0K 4.1M -139.8K 1.32 71.06 N/A N/A 113 149 10,421 21,935 2014-03-20 $41.65 $42.00 16.6% 4.8% 20.4% 25.2% 22.2% 5.7% 0.9% -391.3K 91.7K -132.3K 21.84 72.13 N/A N/A 157 3,429 10,239 21,943 2014-03-21 $41.43 $42.00 18.0% 5.2% 20.4% 32.1% 16.3% 5.6% 0.3% -1.6M 10.1M -136.6K 2.46 77.04 N/A N/A 71 175 8,718 25,169 2014-03-24 $41.43 $42.00 17.8% 5.1% 20.2% 30.8% 17.0% 5.2% 0.4% -913.9K 4.4M -132.6K 1.06 72.08 N/A N/A 519 549 7,605 19,449 2014-03-25 $42.02 $42.00 16.2% 4.6% 20.9% 23.4% 17.1% 4.9% 1.0% -553.2K -30.4K -135.3K 0.22 70.80 N/A N/A 1,274 281 8,065 19,934 2014-03-26 $42.03 $41.00 16.5% 4.7% 20.8% 25.0% 17.3% 3.7% 0.6% -318.4K -1.6M -149.5K 6.06 70.49 N/A N/A 48 291 9,145 20,081 2014-03-27 $42.11 $41.00 16.3% 4.7% 20.8% 23.7% 18.2% 4.7% 1.1% -388.6K -3.1M -138.4K 1.15 83.64 N/A N/A 79 91 9,175 20,320 2014-03-28 $42.59 $41.00 15.0% 4.3% 21.2% 17.8% 15.5% 4.3% 1.2% -86.9K -6.7M -138.2K 0.20 85.73 N/A N/A 223 44 9,239 20,352 2014-03-31 $42.66 $41.00 15.8% 4.5% 18.0% 21.6% 16.8% 3.3% 0.5% 5.1K -7.6M -134.8K 0.17 82.79 N/A N/A 513 86 9,327 20,365
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