FEZ Options History — October 2014

In October 2014, FEZ traded between $35.94 and $39.28. ATM implied volatility averaged 20.9%, placing in the 74.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.5% (HV 20d: 20.4%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.30.

Notable Days

2014-10-13: Highest Volume — 18,903 contracts
2014-10-09: Largest IV spike — 35.5% change
2014-10-13: Highest IV Rank — 100.0%
2014-10-16: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.59	$35.94	$39.28	$39.28	$38.29
Max Pain	$39.96	$39.00	$40.00	$40.00	$40.00
ATM IV	20.9%	16.2%	27.7%	18.6%	19.2%
Expected Move	5.6%	5.0%	6.8%	5.1%	5.3%
HV 20d	20.4%	12.9%	26.0%	12.9%	26.0%
HV 60d	16.7%	14.6%	18.3%	14.7%	18.3%
IV Rank	74.5%	52.7%	100.0%	72.6%	59.8%
IV Percentile	88.5%	54.8%	100.0%	87.7%	86.9%
Term Structure	-0.2%	-1.5%	1.0%	-0.6%	0.1%
VWIV	21.1%	16.4%	25.1%	16.4%	21.5%
Skew 25d	5.6%	4.3%	7.8%	4.3%	5.6%
Skew 10d	11.1%	8.2%	15.2%	8.3%	10.5%
Call IV 25d	18.6%	15.7%	24.6%	16.9%	16.8%
Put IV 25d	24.2%	20.9%	32.3%	21.2%	22.4%
Bid-Ask Spread %	54.36	26.94	62.49	53.57	52.96
Gamma HHI	0.25	0.17	0.36	0.29	0.20
Net GEX	-4.4M	-6.7M	-2.4M	-5.1M	-4.2M
Net DEX	86.1M	53.3M	113.3M	53.3M	65.6M
Net VEX	-214.0K	-245.5K	-174.5K	-225.1K	-245.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.30	0.76	7.17	1.70	1.46
Total Volume	7,758.609	671	18,903	1,035	8,989
Total OI	63,630.696	51,434	73,508	51,434	72,525

Daily Data (23 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
2014-10-01	$39.28	$40.00	18.6%	5.1%	12.9%	72.6%	16.4%	4.3%	-0.6%	-5.1M	53.3M	-225.1K	1.70	53.57	N/A	N/A	384	651	17,687	33,747
2014-10-02	$38.70	$40.00	18.1%	5.1%	13.4%	69.5%	16.8%	4.8%	0.0%	-5.2M	64.4M	-214.7K	1.90	55.23	N/A	N/A	600	1,139	17,955	33,879
2014-10-03	$38.56	$40.00	16.6%	5.1%	13.0%	60.5%	17.4%	4.4%	1.0%	-5.8M	68.3M	-205.3K	0.76	49.77	N/A	N/A	3,919	2,966	18,112	33,749
2014-10-06	$38.71	$40.00	17.4%	5.0%	12.9%	65.1%	16.5%	5.5%	0.5%	-5.9M	67.0M	-207.0K	5.37	26.94	N/A	N/A	502	2,697	19,400	34,552
2014-10-07	$37.82	$40.00	20.3%	5.3%	14.7%	82.5%	18.1%	5.2%	0.3%	-5.2M	89.2M	-186.1K	4.24	49.18	N/A	N/A	128	543	19,349	36,119
2014-10-08	$38.57	$40.00	16.2%	5.1%	16.9%	58.3%	19.7%	5.6%	0.6%	-6.7M	75.3M	-207.4K	1.34	47.35	N/A	N/A	3,151	4,236	19,416	36,370
2014-10-09	$37.40	$40.00	22.0%	5.6%	19.5%	92.8%	23.6%	5.1%	-0.1%	-4.6M	99.9M	-174.5K	2.57	48.70	N/A	N/A	3,191	8,198	19,968	37,479
2014-10-10	$37.07	$39.00	22.6%	5.6%	19.5%	96.3%	24.0%	5.5%	-1.0%	-4.0M	103.1M	-187.0K	3.23	59.57	N/A	N/A	2,989	9,653	20,476	41,695
2014-10-13	$36.89	$40.00	24.5%	5.8%	19.4%	100.0%	24.0%	5.6%	-0.9%	-3.6M	108.5M	-176.7K	4.48	57.01	N/A	N/A	3,447	15,456	20,567	42,496
2014-10-14	$37.27	$40.00	25.8%	5.8%	20.0%	100.0%	20.3%	5.7%	-1.0%	-4.7M	103.3M	-219.8K	0.88	56.44	N/A	N/A	3,532	3,100	21,245	45,054
2014-10-15	$36.53	$40.00	27.7%	6.7%	20.7%	100.0%	25.1%	7.8%	-0.6%	-2.9M	110.7M	-206.8K	1.96	55.20	N/A	N/A	4,113	8,043	21,474	45,195
2014-10-16	$35.94	$40.00	27.3%	6.8%	20.3%	98.3%	22.3%	7.8%	-1.5%	-2.4M	112.2M	-208.2K	7.17	52.98	N/A	N/A	1,178	8,444	21,202	45,970
2014-10-17	$36.76	$40.00	22.9%	6.2%	22.8%	77.4%	21.3%	6.3%	0.7%	-3.9M	113.3M	-238.5K	2.43	53.71	N/A	N/A	612	1,485	20,723	52,785
2014-10-20	$36.87	$40.00	23.0%	6.0%	23.0%	77.8%	23.2%	6.9%	-0.9%	-4.3M	92.9M	-230.0K	1.19	53.92	N/A	N/A	4,092	4,851	18,855	47,790
2014-10-21	$37.38	$40.00	21.6%	5.7%	23.6%	71.5%	22.1%	6.1%	-0.7%	-4.2M	87.1M	-229.2K	1.61	56.46	N/A	N/A	3,673	5,902	19,295	47,661
2014-10-22	$36.86	$40.00	21.2%	5.6%	23.4%	69.3%	21.9%	4.9%	-0.5%	-4.1M	90.2M	-217.3K	1.35	57.97	N/A	N/A	3,533	4,779	19,856	47,069
2014-10-23	$37.58	$40.00	19.2%	5.3%	24.2%	59.7%	21.5%	5.0%	-0.3%	-4.2M	80.8M	-221.8K	1.60	62.49	N/A	N/A	2,974	4,746	19,851	47,003
2014-10-24	$37.74	$40.00	18.8%	5.2%	24.1%	58.0%	22.3%	5.3%	0.3%	-4.4M	76.9M	-229.5K	1.77	60.98	N/A	N/A	2,990	5,287	19,944	47,533
2014-10-27	$37.37	$40.00	21.8%	5.6%	24.0%	72.1%	22.2%	5.8%	-1.1%	-4.3M	85.4M	-221.0K	1.56	59.57	N/A	N/A	3,001	4,668	20,072	48,020
2014-10-28	$38.02	$40.00	17.9%	5.2%	25.0%	53.9%	21.9%	4.3%	0.8%	-4.7M	71.1M	-221.8K	0.81	60.57	N/A	N/A	5,183	4,173	20,164	47,981
2014-10-29	$37.41	$40.00	20.6%	5.4%	25.3%	66.4%	22.2%	5.7%	-0.4%	-3.9M	82.1M	-218.7K	2.12	60.62	N/A	N/A	2,696	5,710	22,808	48,081
2014-10-30	$37.57	$40.00	17.7%	5.1%	25.0%	52.7%	22.0%	5.9%	0.8%	-4.2M	80.8M	-231.0K	1.49	59.21	N/A	N/A	2,744	4,100	22,844	49,490
2014-10-31	$38.29	$40.00	19.2%	5.3%	26.0%	59.8%	21.5%	5.6%	0.1%	-4.2M	65.6M	-245.5K	1.46	52.96	N/A	N/A	3,658	5,331	22,865	49,660