FEZ Options History — January 2015

In January 2015, FEZ traded between $34.86 and $37.64. ATM implied volatility averaged 23.4%, placing in the 70.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.8% (HV 20d: 24.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 7.91.

Notable Days

2015-01-12: Highest Volume — 33,479 contracts
2015-01-05: Largest IV spike — 28.4% change
2015-01-05: Highest IV Rank — 100.0%
2015-01-12: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.32	$34.86	$37.64	$36.86	$36.89
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	23.4%	18.3%	31.4%	22.4%	21.1%
Expected Move	6.6%	5.2%	7.9%	6.3%	6.1%
HV 20d	24.2%	20.0%	26.7%	20.0%	26.7%
HV 60d	20.5%	19.7%	21.6%	20.1%	20.8%
IV Rank	70.6%	47.3%	100.0%	74.9%	58.7%
IV Percentile	90.2%	67.1%	100.0%	95.2%	86.9%
Term Structure	-1.0%	-3.7%	0.6%	-0.3%	0.4%
VWIV	25.8%	17.5%	33.5%	24.6%	26.9%
Skew 25d	5.3%	3.4%	8.0%	5.7%	3.4%
Skew 10d	11.2%	6.4%	18.3%	9.7%	12.2%
Call IV 25d	21.3%	17.6%	24.3%	20.7%	21.3%
Put IV 25d	26.6%	21.0%	30.8%	26.4%	24.6%
Bid-Ask Spread %	70.99	35.20	86.27	69.55	77.08
Gamma HHI	0.18	0.14	0.20	0.19	0.17
Net GEX	-4.7M	-8.6M	-2.3M	-2.7M	-4.0M
Net DEX	70.6M	29.4M	113.8M	57.1M	48.9M
Net VEX	-316.4K	-377.6K	-199.1K	-261.2K	-325.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.91	0.23	53.02	1.49	4.68
Total Volume	13,679.05	460	33,479	2,486	12,263
Total OI	101,079.1	67,548	116,096	67,969	112,663

Daily Data (20 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
2015-01-02	$36.86	$40.00	22.4%	6.3%	20.0%	74.9%	24.6%	5.7%	-0.3%	-2.7M	57.1M	-261.2K	1.49	69.55	N/A	N/A	1,000	1,486	25,578	42,391
2015-01-05	$35.26	$40.00	28.7%	7.6%	24.7%	100.0%	25.7%	8.0%	-2.6%	-3.0M	82.1M	-207.5K	0.86	68.36	N/A	N/A	1,661	1,432	25,593	41,955
2015-01-06	$34.86	$40.00	26.7%	7.5%	24.0%	91.0%	26.1%	7.8%	-2.3%	-2.8M	85.4M	-199.1K	1.93	35.20	N/A	N/A	1,410	2,720	26,472	41,991
2015-01-07	$35.27	$40.00	24.7%	7.4%	24.8%	81.7%	30.0%	6.0%	-2.4%	-3.3M	80.9M	-219.4K	53.02	51.00	N/A	N/A	475	25,183	27,257	43,150
2015-01-08	$35.81	$40.00	20.9%	6.5%	25.8%	64.6%	24.3%	4.3%	-0.6%	-5.6M	86.9M	-302.3K	3.41	60.41	N/A	N/A	2,819	9,621	27,669	63,794
2015-01-09	$35.24	$40.00	24.6%	7.1%	25.9%	81.2%	27.9%	6.3%	-1.8%	-5.5M	99.6M	-300.2K	5.66	77.27	N/A	N/A	2,921	16,522	27,959	64,493
2015-01-12	$35.48	$40.00	31.4%	7.9%	26.2%	100.0%	31.4%	6.1%	-3.7%	-5.9M	101.2M	-348.2K	13.60	73.70	N/A	N/A	2,293	31,186	28,314	71,149
2015-01-13	$35.57	$40.00	26.4%	7.0%	25.1%	79.7%	30.3%	6.6%	-1.4%	-7.7M	113.8M	-377.6K	15.46	83.04	N/A	N/A	1,984	30,673	28,508	87,049
2015-01-14	$35.75	$40.00	25.1%	7.2%	24.3%	74.4%	30.4%	6.1%	-1.7%	-8.1M	107.3M	-373.6K	15.95	80.94	N/A	N/A	1,736	27,688	28,555	87,136
2015-01-15	$35.63	$40.00	25.7%	7.4%	23.7%	77.0%	33.5%	5.8%	-2.4%	-8.0M	107.6M	-367.6K	10.21	73.23	N/A	N/A	1,857	18,969	28,762	87,092
2015-01-16	$36.40	$40.00	26.3%	7.5%	24.6%	79.4%	27.8%	5.9%	-2.4%	-8.6M	87.4M	-363.3K	11.50	75.94	N/A	N/A	671	7,718	28,884	87,212
2015-01-20	$36.71	$40.00	23.2%	6.6%	23.3%	66.8%	23.0%	5.7%	-0.3%	-4.7M	56.9M	-351.9K	1.42	77.10	N/A	N/A	935	1,325	25,031	81,887
2015-01-21	$37.07	$40.00	23.0%	6.6%	22.7%	66.0%	22.9%	4.7%	-0.6%	-4.4M	51.3M	-357.4K	0.23	56.98	N/A	N/A	4,696	1,091	25,790	83,019
2015-01-22	$37.20	$40.00	20.3%	5.8%	22.7%	55.2%	22.1%	4.3%	0.3%	-3.6M	43.7M	-357.9K	3.15	78.38	N/A	N/A	4,168	13,109	28,856	82,720
2015-01-23	$37.05	$40.00	20.1%	5.8%	22.6%	54.7%	22.3%	4.1%	0.6%	-3.6M	43.9M	-334.3K	3.19	66.77	N/A	N/A	3,823	12,192	27,910	83,314
2015-01-26	$37.63	$40.00	18.3%	5.2%	23.3%	47.3%	17.5%	3.4%	0.5%	-2.3M	29.4M	-308.2K	0.82	82.43	N/A	N/A	815	669	28,227	83,470
2015-01-27	$37.51	$40.00	19.4%	5.5%	23.3%	51.6%	20.6%	4.0%	-0.2%	-2.9M	35.7M	-322.6K	2.97	86.13	N/A	N/A	116	344	28,367	83,964
2015-01-28	$36.65	$40.00	20.5%	5.9%	24.5%	56.2%	22.7%	4.1%	0.2%	-4.5M	55.6M	-320.6K	3.75	60.02	N/A	N/A	2,823	10,594	28,379	84,256
2015-01-29	$37.64	$40.00	19.3%	5.5%	25.8%	51.4%	25.4%	3.7%	0.3%	-2.9M	36.8M	-328.9K	4.88	86.27	N/A	N/A	2,141	10,452	28,487	84,279
2015-01-30	$36.89	$40.00	21.1%	6.1%	26.7%	58.7%	26.9%	3.4%	0.4%	-4.0M	48.9M	-325.8K	4.68	77.08	N/A	N/A	2,160	10,103	28,285	84,378