FEZ Options History — May 2009

In May 2009, FEZ traded between $31.17 and $35.28. ATM implied volatility averaged 31.0%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 8.5% (HV 20d: 39.5%). Max pain ranged from $25.00 to $32.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.31.

Notable Days

2009-05-04: Highest Volume — 516 contracts
2009-05-26: Largest IV spike — 69.4% change
2009-05-11: Highest IV Rank — 24.2%
2009-05-01: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.22	$31.17	$35.28	$31.17	$35.28
Max Pain	$30.85	$25.00	$32.00	$25.00	$32.00
ATM IV	31.0%	20.8%	50.2%	39.3%	31.3%
Expected Move	8.2%	6.0%	11.3%	11.3%	9.0%
HV 20d	39.5%	36.7%	43.9%	37.8%	38.0%
HV 60d	50.6%	47.0%	53.0%	52.4%	47.0%
IV Rank	12.5%	6.4%	24.2%	17.6%	12.8%
IV Percentile	33.4%	16.3%	55.2%	41.3%	34.5%
Term Structure	8.5%	-5.2%	28.8%	-5.2%	11.1%
VWIV	31.9%	23.1%	42.0%	38.6%	32.2%
Skew 25d	11.2%	-9.1%	17.1%	5.3%	-1.7%
Skew 10d	14.9%	-7.4%	24.5%	18.9%	-2.5%
Call IV 25d	27.0%	20.9%	39.9%	39.9%	30.4%
Put IV 25d	38.2%	25.0%	45.2%	45.2%	28.7%
Bid-Ask Spread %	80.45	53.81	142.56	142.56	127.20
Gamma HHI	0.49	0.18	0.63	0.22	0.44
Net GEX	56.3K	-485	100.9K	3.8K	50.9K
Net DEX	-1.4M	-2.2M	-242.3K	-242.3K	-2.2M
Net VEX	-3.0K	-3.7K	-1.4K	-1.6K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.31	0.00	20.00	0.00	2.20
Total Volume	50.05	0	516	60	1
Total OI	897.65	349	1,116	349	1,053

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
2009-05-01	$31.17	$25.00	39.3%	11.3%	37.8%	17.6%	38.6%	5.3%	-5.2%	3.8K	-242.3K	-1.6K	0.00	142.56	N/A	N/A	0	60	209	140
2009-05-04	$32.44	$30.00	34.5%	10.1%	39.7%	14.7%	33.0%	15.1%	4.9%	-485	-346.0K	-1.4K	0.00	62.74	N/A	N/A	516	0	209	150
2009-05-05	$31.98	$28.00	34.3%	9.7%	38.0%	14.6%	29.5%	12.9%	2.9%	58.7K	-1.2M	-3.5K	0.16	53.81	N/A	N/A	64	10	704	150
2009-05-06	$32.77	$28.00	34.8%	9.3%	36.7%	14.9%	0.0%	15.2%	8.1%	64.7K	-1.4M	-3.7K	0.00	59.95	N/A	N/A	0	2	768	160
2009-05-07	$32.25	$28.00	35.7%	10.0%	37.5%	15.4%	0.0%	13.8%	4.1%	66.3K	-1.3M	-3.6K	20.00	59.26	N/A	N/A	1	20	768	162
2009-05-08	$33.81	$30.00	31.2%	7.2%	39.4%	12.7%	23.2%	11.5%	7.6%	55.1K	-1.7M	-3.4K	0.00	66.94	N/A	N/A	0	40	768	182
2009-05-11	$32.95	$32.00	50.2%	7.9%	41.0%	24.2%	23.1%	11.6%	28.8%	52.0K	-1.9M	-2.7K	0.00	117.65	N/A	N/A	4	0	768	212
2009-05-12	$33.09	$32.00	33.6%	7.5%	40.6%	14.1%	0.0%	16.8%	8.3%	57.7K	-1.5M	-3.5K	0.00	63.65	N/A	N/A	0	0	772	212
2009-05-13	$31.87	$32.00	37.5%	7.9%	43.3%	16.5%	0.0%	16.1%	6.0%	69.8K	-1.1M	-3.5K	0.00	63.10	N/A	N/A	0	0	772	212
2009-05-14	$32.23	$32.00	26.2%	7.5%	43.4%	9.6%	31.1%	17.1%	6.3%	77.8K	-1.2M	-3.4K	0.00	60.98	N/A	N/A	4	0	772	212
2009-05-15	$31.69	$32.00	25.0%	7.2%	43.9%	9.0%	0.0%	16.7%	7.1%	96.8K	-1.0M	-3.3K	0.00	64.97	N/A	N/A	0	10	776	212
2009-05-18	$33.27	$32.00	24.8%	7.1%	40.2%	8.8%	42.0%	8.0%	8.6%	100.9K	-1.4M	-2.7K	0.67	75.21	N/A	N/A	30	20	683	180
2009-05-19	$33.62	$32.00	25.2%	7.2%	39.6%	9.1%	31.4%	13.2%	12.0%	47.1K	-1.5M	-3.1K	2.00	74.89	N/A	N/A	1	2	703	200
2009-05-20	$33.95	$32.00	25.6%	7.3%	39.4%	9.3%	0.0%	8.9%	8.9%	46.5K	-1.6M	-2.9K	0.00	75.77	N/A	N/A	1	0	704	200
2009-05-21	$33.91	$32.00	23.1%	6.6%	39.1%	7.8%	0.0%	14.5%	9.8%	47.1K	-1.5M	-3.0K	0.00	75.35	N/A	N/A	0	0	705	200
2009-05-22	$34.23	$32.00	20.8%	6.0%	38.3%	6.4%	0.0%	15.2%	12.0%	41.5K	-1.7M	-2.8K	0.33	76.29	N/A	N/A	30	10	705	200
2009-05-26	$35.00	$32.00	35.3%	10.1%	37.1%	15.2%	35.0%	-9.1%	-0.3%	57.6K	-1.6M	-3.2K	0.00	130.54	N/A	N/A	127	0	734	210
2009-05-27	$34.16	$32.00	23.3%	6.7%	38.6%	7.9%	0.0%	12.6%	14.3%	69.0K	-2.1M	-2.8K	2.20	79.89	N/A	N/A	15	33	860	210
2009-05-28	$34.80	$32.00	27.4%	7.9%	37.9%	10.4%	0.0%	10.2%	14.6%	63.7K	-2.0M	-3.5K	0.00	78.30	N/A	N/A	0	0	873	243
2009-05-29	$35.28	$32.00	31.3%	9.0%	38.0%	12.8%	32.2%	-1.7%	11.1%	50.9K	-2.2M	-2.8K	0.00	127.20	N/A	N/A	0	1	810	243