FEZ Options History — April 2014

In April 2014, FEZ traded between $42.16 and $43.68. ATM implied volatility averaged 16.1%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.7% (HV 20d: 14.4%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.18.

Notable Days

  • 2014-04-24: Highest Volume — 5,713 contracts
  • 2014-04-10: Largest IV spike — 19.1% change
  • 2014-04-15: Highest IV Rank — 32.1%
  • 2014-04-15: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.93$42.16$43.68$43.09$43.68
Max Pain$40.24$40.00$42.00$41.00$40.00
ATM IV16.1%14.3%18.0%15.6%14.3%
Expected Move4.7%4.1%5.2%4.5%4.1%
HV 20d14.4%13.0%16.3%16.3%13.0%
HV 60d18.2%15.9%19.1%18.8%15.9%
IV Rank23.0%14.1%32.1%20.7%14.1%
IV Percentile31.6%4.4%59.9%22.2%4.4%
Term Structure1.7%0.6%3.5%1.1%3.5%
VWIV17.0%15.3%18.7%16.9%15.3%
Skew 25d4.1%2.4%5.5%4.4%5.0%
Skew 10d9.8%5.7%15.8%11.5%10.8%
Call IV 25d14.7%13.2%15.7%13.9%13.9%
Put IV 25d18.8%16.5%20.6%18.3%18.9%
Bid-Ask Spread %76.4061.4893.3783.7893.37
Gamma HHI0.170.140.210.180.14
Net GEX402.9K-2.2K919.0K244.2K528.9K
Net DEX-8.9M-14.5M-1.8M-14.5M-12.1M
Net VEX-141.9K-166.1K-110.9K-110.9K-149.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.0813.211.390.96
Total Volume880.7141535,713537292
Total OI31,920.09529,95335,58529,95335,585

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$43.09$41.0015.6%4.5%16.3%20.7%16.9%4.4%1.1%244.2K-14.5M-110.9K1.3983.78N/AN/A2253129,62220,331
2014-04-02$43.00$42.0015.8%4.5%16.3%21.5%16.2%2.5%1.2%449.7K-12.1M-124.5K0.9681.86N/AN/A99959,58820,374
2014-04-03$43.05$42.0015.3%4.4%15.9%18.9%16.2%2.4%0.8%471.9K-12.6M-125.2K1.2288.62N/AN/A1742129,66720,449
2014-04-04$42.96$40.0015.1%4.7%15.6%17.9%17.8%4.0%1.2%534.0K-12.7M-121.4K8.9963.22N/AN/A5064,5509,71720,559
2014-04-07$42.76$40.0015.8%4.8%15.7%21.3%17.7%4.4%1.9%169.1K-6.9M-152.5K2.3271.03N/AN/A2315369,83420,919
2014-04-08$42.80$40.0015.3%4.8%15.5%19.2%17.0%3.8%1.8%177.9K-7.3M-154.8K1.0461.48N/AN/A1221279,97121,200
2014-04-09$43.35$40.0014.7%4.7%16.0%15.9%17.5%3.4%1.6%566.0K-14.2M-136.2K0.7067.49N/AN/A14910510,03621,293
2014-04-10$42.39$40.0017.5%5.0%15.0%29.4%17.7%3.9%1.2%152.7K-3.9M-156.8K0.9872.97N/AN/A18318010,10821,335
2014-04-11$42.19$40.0017.9%5.1%15.2%31.8%18.7%4.4%0.9%131.7K-2.4M-154.9K7.5865.70N/AN/A6247010,21921,429
2014-04-14$42.42$40.0018.0%5.2%14.2%32.0%17.8%4.9%0.9%183.0K-2.7M-157.3K0.4568.20N/AN/A1747910,22221,603
2014-04-15$42.16$40.0018.0%5.2%14.0%32.1%17.2%4.5%0.6%305.8K-1.8M-151.2K0.0866.82N/AN/A3552710,34521,649
2014-04-16$42.71$40.0015.9%4.6%13.7%22.1%16.6%4.7%1.1%644.6K-8.9M-140.0K0.6376.00N/AN/A1398810,59921,459
2014-04-17$42.91$40.0015.2%4.4%13.6%18.7%16.1%4.2%2.2%919.0K-10.5M-144.6K0.3573.99N/AN/A38013310,63821,521
2014-04-21$43.00$40.0016.1%4.6%13.4%22.6%16.0%3.9%2.3%419.1K-7.6M-140.9K0.4276.36N/AN/A5562319,77120,512
2014-04-22$43.37$40.0015.2%4.4%13.6%18.5%15.8%4.0%2.9%653.3K-12.1M-135.5K0.8573.80N/AN/A27723610,20820,706
2014-04-23$43.20$40.0015.5%4.4%13.0%19.9%17.5%4.1%2.4%816.0K-10.9M-136.2K0.9468.72N/AN/A35132910,34020,690
2014-04-24$43.17$40.0016.4%4.7%13.0%24.5%16.2%4.3%1.7%717.3K-11.4M-133.5K13.2191.84N/AN/A4025,31110,39821,000
2014-04-25$42.79$40.0017.1%4.9%13.5%27.5%17.2%4.8%1.1%120.1K-2.3M-166.1K1.3386.24N/AN/A14719610,74824,656
2014-04-28$43.06$40.0017.2%4.9%13.1%28.2%18.3%5.5%2.0%258.1K-5.4M-160.5K0.7882.82N/AN/A866710,73624,751
2014-04-29$43.41$40.0016.6%4.8%13.3%25.4%17.0%2.5%2.4%-2.2K-13.8M-126.2K0.5890.08N/AN/A19111010,75424,780
2014-04-30$43.68$40.0014.3%4.1%13.0%14.1%15.3%5.0%3.5%528.9K-12.1M-149.9K0.9693.37N/AN/A14914310,78124,804