FEZ Options History — November 2008

In November 2008, FEZ traded between $26.35 and $35.52. ATM implied volatility averaged 77.3%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 23.7% (HV 20d: 101.0%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.00.

Notable Days

  • 2008-11-11: Highest Volume — 60 contracts
  • 2008-11-13: Largest IV drop — 38.2% change
  • 2008-11-12: Highest IV Rank — 56.7%
  • 2008-11-03: Largest Expected Move — 25.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.77$26.35$35.52$32.41$30.62
Max Pain$35.42$35.00$37.00$37.00$35.00
ATM IV77.3%61.5%104.0%88.7%61.5%
Expected Move20.2%15.2%25.4%25.4%17.6%
HV 20d101.0%88.8%116.6%109.1%88.8%
HV 60d97.4%90.5%102.1%90.5%101.9%
IV Rank40.6%31.0%56.7%47.5%31.0%
IV Percentile88.7%77.9%96.4%95.2%77.9%
Term Structure-13.8%-38.0%-2.1%-13.8%-2.1%
Skew 25d8.0%0.2%17.9%0.2%17.9%
Skew 10d3.3%-7.8%28.8%22.9%28.8%
Call IV 25d70.2%50.1%120.2%82.3%50.1%
Put IV 25d78.2%63.9%123.4%82.5%68.0%
Bid-Ask Spread %143.7757.05160.37140.6357.05
Gamma HHI0.080.070.120.070.11
Net GEX6.6K3.1K9.3K5.9K6.9K
Net DEX566.2K483.3K616.8K528.4K595.5K
Net VEX-2.1K-2.7K-1.2K-2.7K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume4.26306000
Total OI805.053777838777787

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$32.41$37.0088.7%25.4%109.1%47.5%0.0%0.2%-13.8%5.9K528.4K-2.7K0.00140.63N/AN/A00500277
2008-11-04$35.52$37.0064.1%18.4%113.9%32.6%0.0%9.1%-19.0%8.8K571.3K-2.7K0.00151.04N/AN/A10500277
2008-11-05$33.33$37.0084.7%24.3%115.8%45.0%0.0%3.2%-38.0%7.2K553.5K-2.6K0.00141.97N/AN/A00501277
2008-11-06$31.12$37.0084.2%24.1%115.2%44.8%0.0%10.0%-26.1%5.6K611.5K-2.0K0.00137.98N/AN/A00501277
2008-11-07$33.19$35.0073.4%15.2%116.6%38.2%0.0%10.1%-8.8%6.9K601.9K-2.3K0.00142.70N/AN/A00501277
2008-11-10$32.47$35.0098.8%18.0%100.4%53.6%0.0%6.5%-13.2%6.6K616.8K-2.1K0.00143.85N/AN/A00501277
2008-11-11$31.11$35.0097.9%17.7%101.0%53.1%0.0%5.5%-7.9%6.0K583.3K-2.2K0.00147.66N/AN/A600501277
2008-11-12$29.42$35.00104.0%19.0%93.6%56.7%0.0%4.1%-11.0%6.3K579.8K-1.8K0.00155.02N/AN/A00561277
2008-11-13$32.40$35.0064.3%18.4%98.9%32.7%0.0%11.0%-11.8%9.3K514.0K-2.6K0.00145.75N/AN/A00561277
2008-11-14$30.31$35.0068.3%19.6%101.5%35.1%0.0%5.9%-9.3%6.9K537.9K-2.2K0.00149.32N/AN/A00561277
2008-11-17$29.61$35.0068.1%19.5%99.7%35.0%0.0%1.9%-14.7%6.4K559.3K-2.0K0.00155.75N/AN/A00561277
2008-11-18$29.76$35.0069.0%19.8%97.6%35.6%0.0%7.6%-3.5%5.8K554.0K-2.0K0.00154.41N/AN/A00561277
2008-11-19$27.73$35.0075.8%21.7%95.7%39.7%0.0%4.5%-15.3%4.5K583.0K-1.5K0.00146.50N/AN/A00561277
2008-11-20$26.35$35.0079.4%22.8%96.7%41.8%0.0%7.7%-16.8%3.1K600.0K-1.2K0.00136.89N/AN/A00561277
2008-11-21$27.60$35.0071.4%20.5%96.6%37.0%0.0%6.6%-10.6%5.1K615.5K-1.3K0.00155.41N/AN/A200561277
2008-11-24$30.11$35.0071.4%20.5%99.9%37.0%0.0%15.2%-10.1%7.3K536.3K-2.0K0.00160.37N/AN/A00514273
2008-11-25$30.73$35.0071.1%20.4%89.2%36.8%0.0%14.9%-12.5%8.1K531.9K-2.1K0.00157.49N/AN/A00514273
2008-11-26$30.80$35.0073.3%21.0%89.1%38.2%0.0%8.9%-17.2%7.9K483.3K-2.4K0.00151.84N/AN/A00514273
2008-11-28$30.62$35.0061.5%17.6%88.8%31.0%0.0%17.9%-2.1%6.9K595.5K-1.5K0.0057.05N/AN/A00514273