FEZ Options History — July 2009

In July 2009, FEZ traded between $31.35 and $37.17. ATM implied volatility averaged 56.5%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 25.8% (HV 20d: 30.7%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.23.

Notable Days

  • 2009-07-01: Highest Volume — 50 contracts
  • 2009-07-28: Largest IV spike — 370.8% change
  • 2009-07-10: Highest IV Rank — 75.5%
  • 2009-07-28: Largest Expected Move — 28.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.32$31.35$37.17$33.86$37.17
Max Pain$31.89$31.00$32.00$31.00$32.00
ATM IV56.5%21.4%133.8%86.0%24.9%
Expected Move13.7%6.1%28.9%24.7%7.1%
HV 20d30.7%26.5%33.2%28.4%26.5%
HV 60d34.5%32.2%36.1%35.2%32.2%
IV Rank30.1%9.5%75.5%47.5%11.6%
IV Percentile50.2%9.1%97.6%83.7%15.5%
Term Structure-9.4%-41.3%14.9%-37.4%2.1%
VWIV49.2%17.7%112.4%112.4%17.7%
Skew 25d14.7%-55.0%109.4%109.4%-1.0%
Skew 10d15.4%-50.0%151.6%107.0%-3.7%
Call IV 25d48.7%15.5%122.9%24.7%24.9%
Put IV 25d63.4%23.8%162.4%134.2%24.0%
Bid-Ask Spread %129.4560.42200.00153.57103.32
Gamma HHI0.150.090.410.090.12
Net GEX990-11.2K7.8K-643.5K
Net DEX-205.7K-487.2K20.6K-195.6K-293.1K
Net VEX-2.1K-2.7K-349-2.6K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.000.250.50
Total Volume8.7270505030
Total OI422.04596573496338

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$33.86$31.0086.0%24.7%28.4%47.5%112.4%109.4%-37.4%-64-195.6K-2.6K0.25153.57N/AN/A4010253243
2009-07-02$32.75$31.0089.6%25.7%30.0%49.6%0.0%64.9%-41.3%1.8K-145.5K-2.7K0.00152.96N/AN/A00293253
2009-07-06$32.57$0.00105.9%15.3%29.6%59.1%0.0%22.8%-17.5%2.2K-144.0K-2.6K0.00200.00N/AN/A00293253
2009-07-07$31.61$0.00114.0%16.0%31.0%63.9%0.0%39.5%-16.2%1.8K-72.6K-2.5K0.00196.43N/AN/A01293253
2009-07-08$31.35$0.0033.1%9.8%30.0%16.4%0.0%12.7%0.0%1.6K20.6K-2.0K0.0088.31N/AN/A05293254
2009-07-09$31.98$0.0031.7%9.6%31.4%15.6%33.8%6.8%-2.9%3.0K-78.5K-2.1K0.0060.42N/AN/A100293249
2009-07-10$31.56$32.00133.8%11.6%30.8%75.5%46.5%-10.9%14.9%2.3K-66.2K-2.4K0.00195.63N/AN/A20303249
2009-07-13$32.49$32.0029.2%9.3%33.2%14.1%0.0%12.5%1.2%7.4K-191.6K-2.0K0.0575.00N/AN/A201305249
2009-07-14$32.66$32.0026.5%8.4%28.8%12.5%0.0%13.0%2.4%7.8K-263.8K-2.0K0.0076.75N/AN/A00325248
2009-07-15$34.16$32.0057.3%16.4%33.0%30.6%59.5%62.4%-15.5%-3.0K-442.1K-2.1K0.00180.21N/AN/A100325248
2009-07-16$34.58$32.0025.3%7.3%33.2%11.8%25.3%4.0%3.4%-10.1K-483.0K-2.0K1.0085.10N/AN/A11325248
2009-07-17$34.43$32.0087.4%25.1%33.2%48.3%0.0%-21.4%-36.8%-11.2K-487.2K-2.1K0.00148.21N/AN/A00326239
2009-07-20$35.13$32.0029.4%8.4%33.2%14.2%0.0%5.1%14.2%3.2K-192.7K-2.0K0.00108.00N/AN/A00156111
2009-07-21$35.16$32.0025.6%7.3%30.6%12.0%0.0%2.3%2.7%3.1K-191.6K-1.9K0.0091.73N/AN/A200156111
2009-07-22$35.38$32.0061.3%17.6%30.5%33.0%0.0%28.1%-9.3%-1.6K-46.5K-4040.00164.66N/AN/A003561
2009-07-23$36.11$32.0060.9%17.5%31.0%32.7%0.0%25.6%-16.2%-1.6K-69.9K-3490.00174.03N/AN/A0103561
2009-07-24$36.44$32.0025.3%7.3%30.6%11.8%0.0%-1.6%1.2%3.6K-262.0K-2.4K0.0096.20N/AN/A00186141
2009-07-27$36.52$32.0021.4%6.1%30.1%9.5%0.0%9.9%2.5%3.2K-274.6K-2.3K0.00110.32N/AN/A00186141
2009-07-28$36.32$32.00100.9%28.9%30.0%56.2%0.0%-8.9%-39.2%1.0K-201.6K-2.5K0.00139.48N/AN/A00167141
2009-07-29$36.09$32.0026.2%7.5%29.8%12.3%0.0%3.3%1.1%1.7K-205.7K-2.2K0.5095.27N/AN/A2010167141
2009-07-30$36.68$32.0047.5%13.6%29.8%24.9%17.7%-55.0%-19.9%2.1K-238.4K-2.6K0.00152.33N/AN/A01187151
2009-07-31$37.17$32.0024.9%7.1%26.5%11.6%0.0%-1.0%2.1%3.5K-293.1K-2.4K0.00103.32N/AN/A030187151