FEZ Options History — October 2009

In October 2009, FEZ traded between $39.66 and $43.55. ATM implied volatility averaged 46.5%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 21.0% (HV 20d: 25.5%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 5.71.

Notable Days

  • 2009-10-26: Highest Volume — 264 contracts
  • 2009-10-08: Largest IV spike — 323.1% change
  • 2009-10-09: Highest IV Rank — 56.4%
  • 2009-10-02: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.82$39.66$43.55$40.08$39.66
Max Pain$41.45$40.00$43.00$41.00$43.00
ATM IV46.5%21.5%101.3%26.4%25.8%
Expected Move10.6%6.2%22.3%7.6%7.4%
HV 20d25.5%22.4%34.5%22.6%34.5%
HV 60d24.5%22.9%28.3%24.8%28.3%
IV Rank24.6%9.7%56.4%12.5%12.5%
IV Percentile37.0%1.6%88.1%13.5%13.9%
Term Structure-5.7%-36.3%2.6%0.7%1.8%
VWIV31.1%19.3%68.7%25.9%23.8%
Skew 25d6.2%-52.2%38.4%6.0%2.0%
Skew 10d4.7%-52.2%63.3%6.2%6.2%
Call IV 25d47.2%15.9%103.2%19.0%21.6%
Put IV 25d53.4%15.3%141.6%25.0%23.6%
Bid-Ask Spread %136.5336.95196.07106.30137.71
Gamma HHI0.190.140.280.180.16
Net GEX-19.2K-46.1K-4.2K-20.5K-42.0K
Net DEX-604.8K-1.9M581.4K-224.8K581.4K
Net VEX-5.3K-8.2K-3.2K-5.1K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.710.0034.0034.000.00
Total Volume55.818026435163
Total OI1,064.3646111,2781,0301,278

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$40.08$41.0026.4%7.6%22.6%12.5%25.9%6.0%0.7%-20.5K-224.8K-5.1K34.00106.30N/AN/A134462568
2009-10-02$39.69$41.0077.8%22.3%22.9%42.6%68.7%16.4%-36.3%-10.8K-205.3K-5.6K0.00144.41N/AN/A150462591
2009-10-05$40.48$40.0086.1%12.8%22.6%47.5%0.0%23.4%-5.1%-10.9K-401.3K-5.3K0.00189.21N/AN/A310466591
2009-10-06$41.43$40.0087.8%12.3%23.3%48.5%0.0%30.5%-6.1%-8.0K-621.6K-5.2K0.00184.78N/AN/A320487591
2009-10-07$41.27$40.0022.6%7.5%22.4%10.2%0.0%-0.8%2.4%-20.7K-998.0K-4.5K0.0074.95N/AN/A00519591
2009-10-08$41.84$40.0095.5%12.4%22.7%53.0%52.1%37.4%-5.7%-5.2K-752.8K-5.2K3.90172.28N/AN/A2078519591
2009-10-09$41.81$40.00101.3%12.5%22.7%56.4%0.0%38.4%-14.9%-9.7K-774.6K-5.3K0.00185.79N/AN/A00539659
2009-10-12$42.32$40.0038.5%7.0%22.9%19.6%0.0%2.4%1.6%-18.7K-1.2M-4.4K0.00111.94N/AN/A00539659
2009-10-13$42.09$40.0021.7%7.5%23.0%9.7%0.0%2.4%1.4%-42.9K-1.4M-4.2K0.0036.95N/AN/A30539659
2009-10-14$43.50$40.0031.1%6.6%24.8%15.2%23.0%-2.5%1.6%-11.1K-1.9M-3.3K0.00120.30N/AN/A80540659
2009-10-15$43.55$40.0047.9%13.7%24.6%25.1%0.0%16.4%-10.7%-10.0K-1.8M-3.7K1.00153.66N/AN/A33538659
2009-10-16$42.53$40.0021.5%6.2%26.2%9.9%19.3%-1.0%2.6%-23.4K-1.4M-3.7K15.00129.65N/AN/A230541662
2009-10-19$43.38$43.0022.1%6.3%26.9%10.3%29.0%-0.0%0.6%-4.2K-786.9K-3.2K1.80162.56N/AN/A2545296315
2009-10-20$42.98$43.0049.4%14.2%26.8%26.9%0.0%-9.0%-13.0%-6.1K-574.2K-4.2K0.00180.73N/AN/A070304360
2009-10-21$42.95$43.0050.2%14.4%26.3%27.4%19.7%-4.9%-13.5%-13.2K-414.0K-4.5K2.05190.10N/AN/A2041304430
2009-10-22$43.41$43.0024.8%7.1%25.8%11.9%0.0%3.2%1.3%-23.9K-423.1K-4.7K0.5277.55N/AN/A17390324471
2009-10-23$42.74$43.0023.7%6.8%26.5%11.3%0.0%5.9%-0.5%-16.9K-517.6K-6.3K0.0078.48N/AN/A00470531
2009-10-26$41.60$43.0056.3%16.1%27.3%31.1%19.8%-52.2%-17.5%-7.4K-385.2K-6.8K25.40189.85N/AN/A10254470531
2009-10-27$41.19$43.0026.7%7.7%27.5%13.1%29.3%6.1%1.6%-40.7K280.3K-7.6K0.0056.25N/AN/A038480725
2009-10-28$40.06$43.0026.6%7.6%29.1%13.1%23.8%11.8%1.6%-46.1K456.4K-7.9K2.00124.08N/AN/A510480762
2009-10-29$41.57$43.0059.9%17.2%30.0%33.3%0.0%5.3%-20.1%-29.1K87.2K-8.2K0.00196.07N/AN/A240482772
2009-10-30$39.66$43.0025.8%7.4%34.5%12.5%0.0%2.0%1.8%-42.0K581.4K-8.0K0.00137.71N/AN/A0163506772