FEZ Options History — January 2009

In January 2009, FEZ traded between $27.43 and $34.93. ATM implied volatility averaged 84.7%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 39.5% (HV 20d: 45.2%). Max pain ranged from $27.00 to $54.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.63.

Notable Days

  • 2009-01-14: Highest Volume — 53 contracts
  • 2009-01-30: Largest IV spike — 148.0% change
  • 2009-01-13: Highest IV Rank — 93.4%
  • 2009-01-30: Largest Expected Move — 31.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.64$27.43$34.93$34.93$28.08
Max Pain$28.70$27.00$54.00$54.00$28.00
ATM IV84.7%43.8%164.6%87.1%108.5%
Expected Move17.7%12.5%31.1%25.0%31.1%
HV 20d45.2%34.9%54.9%42.5%54.7%
HV 60d75.3%67.7%86.8%86.8%68.8%
IV Rank45.1%20.3%93.4%46.5%59.5%
IV Percentile82.3%58.8%99.6%92.5%95.1%
Term Structure-13.4%-36.9%2.4%-36.9%-35.2%
VWIV66.8%50.0%114.3%63.7%114.3%
Skew 25d5.4%-16.8%17.5%5.9%12.5%
Skew 10d13.8%-30.4%67.8%67.8%-8.3%
Call IV 25d75.3%36.7%126.2%118.6%126.2%
Put IV 25d80.6%51.8%138.7%124.5%138.7%
Bid-Ask Spread %132.5467.01161.89130.11140.53
Gamma HHI0.760.580.900.580.76
Net GEX-89.9K-159.6K-42.4K-42.4K-66.2K
Net DEX1.7M895.1K2.4M895.1K2.0M
Net VEX-7.5K-8.8K-6.6K-6.8K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.0010.000.000.52
Total Volume11.50535050
Total OI2,859.42,6713,0432,9332,707

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$34.93$54.0087.1%25.0%42.5%46.5%0.0%5.9%-36.9%-42.4K895.1K-6.8K0.00130.11N/AN/A5006002,333
2009-01-05$34.04$27.0098.3%15.5%42.6%53.3%0.0%2.2%-12.8%-48.9K1.1M-8.0K0.00154.45N/AN/A006502,333
2009-01-06$34.33$27.00102.3%14.7%42.6%55.7%0.0%2.3%-8.9%-45.1K936.9K-6.8K10.00159.30N/AN/A2206502,333
2009-01-07$33.86$27.00107.8%14.9%38.0%59.1%0.0%2.2%-14.3%-52.1K1.1M-7.3K0.00160.95N/AN/A006502,353
2009-01-08$34.20$27.00113.2%14.9%37.9%62.3%0.0%-16.8%-14.0%-47.7K931.1K-6.8K0.00160.51N/AN/A006502,343
2009-01-09$32.67$27.00120.8%15.7%39.8%66.9%0.0%2.3%-13.4%-64.3K1.4M-7.8K0.00161.89N/AN/A0106502,343
2009-01-12$31.93$27.00133.9%16.7%40.6%74.9%0.0%2.4%-18.1%-70.5K1.6M-7.6K0.00161.24N/AN/A006502,353
2009-01-13$31.33$27.00164.6%17.4%41.1%93.4%63.7%2.5%-13.6%-75.9K1.8M-7.8K0.00160.23N/AN/A206502,353
2009-01-14$29.69$27.0064.1%18.4%44.9%32.6%0.0%2.7%-17.5%-80.4K2.3M-8.5K0.00157.69N/AN/A0536522,353
2009-01-15$29.61$27.0065.1%18.7%34.9%33.2%0.0%2.7%-16.7%-80.1K2.4M-8.7K0.00157.82N/AN/A076522,391
2009-01-16$30.00$27.0065.6%18.8%35.7%33.5%0.0%2.8%-12.7%-80.9K2.2M-8.8K0.00159.95N/AN/A006522,390
2009-01-20$27.43$27.0059.2%17.0%45.6%29.6%0.0%17.5%-5.4%-118.8K2.3M-7.9K0.0093.01N/AN/A005302,151
2009-01-21$28.80$27.0046.0%13.2%49.7%21.7%52.2%14.7%1.1%-133.5K1.8M-7.3K0.0079.26N/AN/A035302,141
2009-01-22$27.99$28.0050.4%14.4%50.3%24.3%54.0%13.9%0.3%-139.6K2.2M-7.5K0.0082.51N/AN/A015302,144
2009-01-23$27.73$28.0078.8%22.6%50.2%41.5%0.0%-11.9%-22.7%-92.2K2.3M-7.7K0.00156.27N/AN/A005302,145
2009-01-26$28.53$28.0046.2%13.2%51.7%21.8%50.0%12.8%2.4%-145.9K1.8M-6.8K0.5267.01N/AN/A21115302,145
2009-01-27$28.90$28.0045.4%13.0%52.0%21.3%0.0%15.3%0.2%-146.8K1.7M-6.7K0.0083.93N/AN/A005512,156
2009-01-28$30.14$28.0093.8%26.9%54.8%50.6%0.0%8.0%-31.6%-107.0K1.8M-7.2K0.00138.77N/AN/A005512,156
2009-01-29$28.55$28.0043.8%12.5%54.9%20.3%0.0%13.7%2.4%-159.6K1.8M-6.6K0.0085.34N/AN/A005512,156
2009-01-30$28.08$28.00108.5%31.1%54.7%59.5%114.3%12.5%-35.2%-66.2K2.0M-7.5K0.00140.53N/AN/A0505512,156