FEZ Options History — September 2009

In September 2009, FEZ traded between $37.92 and $42.18. ATM implied volatility averaged 49.4%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 24.7% (HV 20d: 24.8%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 9.69.

Notable Days

  • 2009-09-10: Highest Volume — 152 contracts
  • 2009-09-02: Largest IV spike — 166.4% change
  • 2009-09-09: Highest IV Rank — 52.2%
  • 2009-09-03: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.75$37.92$42.18$37.92$41.33
Max Pain$39.81$38.00$41.00$38.00$41.00
ATM IV49.4%25.1%94.0%28.7%70.7%
Expected Move12.6%7.2%22.6%8.2%20.3%
HV 20d24.8%18.8%28.8%28.0%18.8%
HV 60d26.5%23.9%28.8%28.6%23.9%
IV Rank26.0%11.7%52.2%13.8%38.5%
IV Percentile41.9%7.1%84.5%20.2%68.3%
Term Structure-15.6%-60.3%3.4%0.9%-28.5%
VWIV44.5%17.9%81.1%28.5%73.7%
Skew 25d8.8%-24.1%25.3%9.5%24.1%
Skew 10d21.5%-15.2%51.0%6.1%51.0%
Call IV 25d46.6%22.0%90.9%22.0%74.5%
Put IV 25d55.5%19.1%111.1%31.5%98.6%
Bid-Ask Spread %126.2584.85200.0095.64136.92
Gamma HHI0.300.161.000.240.16
Net GEX-9.1K-36.2K31.2K-10.0K-8.1K
Net DEX-632.6K-1.2M11.0K-103.1K-543.0K
Net VEX-4.7K-5.6K-68-4.6K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.690.0075.007.004.00
Total Volume35.14301528020
Total OI946.143321,1388131,016

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$37.92$38.0028.7%8.2%28.0%13.8%28.5%9.5%0.9%-10.0K-103.1K-4.6K7.0095.64N/AN/A1070392421
2009-09-02$37.97$38.0076.5%21.9%27.7%41.9%81.1%19.0%-59.9%-6.1K-111.7K-5.0K0.22174.50N/AN/A4610402491
2009-09-03$38.24$38.0078.7%22.6%27.7%43.2%0.0%20.2%-60.3%-5.9K-169.8K-5.4K0.00167.53N/AN/A00448501
2009-09-04$39.11$39.0079.3%13.8%28.5%43.5%52.3%16.7%-8.0%-4.0K-383.0K-5.6K0.00136.78N/AN/A70448501
2009-09-08$39.76$39.0090.5%13.8%28.6%50.1%0.0%20.1%-8.4%-2.6K-519.1K-5.4K0.00132.95N/AN/A00455501
2009-09-09$40.57$39.0094.0%15.8%28.8%52.2%58.3%12.2%-30.9%23-680.0K-5.1K3.33135.58N/AN/A310455501
2009-09-10$40.87$39.0025.5%7.3%28.5%12.0%28.3%5.9%3.4%31.2K-995.6K-4.5K75.0085.87N/AN/A2150455511
2009-09-11$40.79$40.0025.2%7.2%28.4%11.8%0.0%2.8%3.4%-20.6K-761.4K-4.9K1.0096.81N/AN/A1010457661
2009-09-14$41.09$40.0026.2%7.5%27.9%12.4%0.0%5.2%2.5%-17.0K-879.1K-4.8K0.0084.85N/AN/A00467671
2009-09-15$41.30$40.0026.8%7.7%22.1%12.7%27.0%2.6%2.5%-24.0K-1.0M-4.6K0.0085.16N/AN/A050463671
2009-09-16$42.16$40.0051.8%14.9%22.6%27.4%0.0%25.3%-18.6%-13.3K-805.3K-4.7K0.00134.72N/AN/A00463649
2009-09-17$41.91$40.0052.3%15.0%22.9%27.7%52.5%20.1%-26.4%-24.3K-1.2M-4.1K3.42137.59N/AN/A2482463649
2009-09-18$41.96$40.0025.1%7.2%22.9%11.7%25.6%2.3%0.4%-36.2K-814.9K-4.4K1.0095.02N/AN/A3030377731
2009-09-21$41.62$41.0025.8%7.4%21.2%12.1%26.1%-3.1%1.5%-14.8K-758.4K-4.6K0.00125.95N/AN/A370399465
2009-09-22$42.18$41.0057.0%16.4%21.4%30.5%0.0%24.2%-19.9%-964-866.7K-4.7K0.00132.75N/AN/A00436465
2009-09-23$41.62$41.0044.6%12.8%22.0%23.1%62.6%-7.4%-3.2%-5.7K-817.2K-4.5K0.00102.26N/AN/A050436465
2009-09-24$41.03$41.0032.8%9.4%22.7%16.2%17.9%-19.1%-22.1%-5.8K-621.4K-5.1K21.33128.67N/AN/A364436503
2009-09-25$40.94$41.0062.5%17.9%22.4%33.7%0.0%20.0%-20.5%-10.0K-484.4K-5.6K0.00136.76N/AN/A200439557
2009-09-28$41.86$39.0031.2%8.9%23.3%15.3%0.0%0.0%0.0%-3.9K11.0K-680.00200.00N/AN/A00230
2009-09-29$41.60$41.0032.8%9.4%23.4%16.2%0.0%-24.1%-20.2%-9.9K-738.5K-5.1K0.00125.03N/AN/A00459557
2009-09-30$41.33$41.0070.7%20.3%18.8%38.5%73.7%24.1%-28.5%-8.1K-543.0K-5.6K4.00136.92N/AN/A416459557