FEZ Options History — June 2014

In June 2014, FEZ traded between $43.25 and $45.11. ATM implied volatility averaged 15.6%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.3% (HV 20d: 11.3%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 8.93.

Notable Days

  • 2014-06-04: Highest Volume — 9,283 contracts
  • 2014-06-12: Largest IV drop — 28.8% change
  • 2014-06-11: Highest IV Rank — 51.5%
  • 2014-06-04: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.19$43.25$45.11$44.20$43.27
Max Pain$43.70$43.00$45.00$44.00$43.00
ATM IV15.6%10.9%20.9%19.5%13.8%
Expected Move4.4%3.1%5.7%5.6%4.4%
HV 20d11.3%9.8%13.8%10.0%13.1%
HV 60d12.1%11.0%13.3%13.1%12.1%
IV Rank31.8%9.3%51.5%45.2%33.1%
IV Percentile36.1%0.4%91.3%82.9%7.9%
Term Structure-0.5%-5.1%1.5%-3.7%0.4%
VWIV15.0%9.8%20.3%19.4%13.0%
Skew 25d3.5%1.3%5.1%4.1%4.0%
Skew 10d8.5%1.4%12.1%9.5%10.9%
Call IV 25d13.1%10.8%19.9%16.4%12.0%
Put IV 25d16.6%12.9%22.4%20.5%16.1%
Bid-Ask Spread %76.6630.46100.0095.3732.58
Gamma HHI0.260.150.470.150.24
Net GEX-1.6M-5.0M2.5M-1.6M-3.8M
Net DEX1.5M-23.4M18.5M1.6M16.7M
Net VEX-136.9K-185.3K-86.3K-131.5K-129.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.930.43110.902.201.23
Total Volume1,9061979,2832942,028
Total OI39,080.85730,81945,38330,81938,218

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$44.20$44.0019.5%5.6%10.0%45.2%19.4%4.1%-3.7%-1.6M1.6M-131.5K2.2095.37N/AN/A922028,23022,589
2014-06-03$44.02$44.0019.1%5.5%10.1%43.4%18.9%2.6%-3.6%-806.6K-6.5M-86.3K110.9096.31N/AN/A505,5458,25222,744
2014-06-04$44.01$44.0020.0%5.7%9.8%47.5%20.3%2.5%-5.1%-2.1M5.9M-144.0K0.9396.94N/AN/A4,8114,4728,26123,311
2014-06-05$44.65$44.0018.7%5.4%10.7%41.8%19.0%5.1%-1.9%-1.1M-1.6M-185.3K1.2197.66N/AN/A35142513,02227,681
2014-06-06$45.05$43.0018.6%4.1%11.0%41.2%14.4%3.1%-0.6%1.1M-23.2M-112.3K0.7188.84N/AN/A73852413,02427,860
2014-06-09$44.95$43.0019.7%4.3%10.7%46.1%14.2%4.0%-0.3%-418.5K-8.3M-165.1K0.8592.72N/AN/A1,2261,04313,30628,200
2014-06-10$44.87$44.0020.1%4.0%10.3%47.7%14.7%3.8%-0.6%-588.4K-6.9M-171.2K1.1095.19N/AN/A27830613,89028,735
2014-06-11$44.45$44.0020.9%4.4%10.8%51.5%14.2%4.0%-0.6%-1.6M2.3M-177.4K0.7893.22N/AN/A49938913,93528,827
2014-06-12$44.37$44.0014.9%4.3%10.9%25.3%15.4%4.3%-0.2%-1.6M4.9M-175.5K0.8695.41N/AN/A31827213,57329,048
2014-06-13$44.30$44.0013.9%4.0%9.8%24.3%13.7%3.1%0.5%-2.2M-2.2M-147.4K1.1896.13N/AN/A12614913,59029,094
2014-06-16$44.27$44.0015.5%4.4%9.8%32.3%9.8%4.5%-0.2%-2.1M6.5M-156.9K0.4885.46N/AN/A38618413,61829,195
2014-06-17$44.32$44.0013.1%3.7%9.8%20.1%12.3%2.8%0.2%-851.7K-6.5M-109.5K1.1994.91N/AN/A9010713,84829,286
2014-06-18$44.85$44.0011.5%3.3%10.1%12.2%14.4%3.2%0.5%1.8M-15.1M-108.6K47.64100.00N/AN/A1487,05113,81929,351
2014-06-19$45.11$44.0010.9%3.1%9.9%9.3%10.7%1.3%1.3%2.5M-23.4M-97.2K0.4395.72N/AN/A1,13448813,65531,728
2014-06-20$43.97$45.0012.8%3.7%13.8%19.0%14.4%2.9%0.6%-5.0M14.0M-135.3K9.6895.13N/AN/A1041,0079,66932,012
2014-06-23$43.82$0.0012.0%4.3%13.8%14.5%15.5%2.7%1.5%-2.1M9.3M-120.2K0.6433.06N/AN/A9355979,28324,407
2014-06-24$43.55$43.0012.5%4.3%13.2%17.4%15.6%2.9%0.3%-2.6M12.9M-123.2K0.7430.67N/AN/A1,08480510,13624,757
2014-06-25$43.50$43.0013.5%4.4%13.2%31.2%14.2%3.7%0.5%-3.1M15.1M-133.6K1.4530.46N/AN/A10415111,17925,364
2014-06-26$43.25$43.0013.7%4.5%13.2%32.9%16.1%3.8%0.5%-3.5M18.5M-136.7K2.8031.68N/AN/A22863811,26125,392
2014-06-27$43.31$43.0013.6%4.5%13.1%32.3%0.0%4.8%0.6%-3.9M17.8M-129.1K0.4932.44N/AN/A63230911,35925,989
2014-06-30$43.27$43.0013.8%4.4%13.1%33.1%13.0%4.0%0.4%-3.8M16.7M-129.0K1.2332.58N/AN/A9101,11811,95726,261