FEZ Options History — November 2009

In November 2009, FEZ traded between $39.58 and $43.43. ATM implied volatility averaged 51.7%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 17.4% (HV 20d: 34.3%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 18.26.

Notable Days

2009-11-03: Highest Volume — 133 contracts
2009-11-11: Largest IV spike — 257.6% change
2009-11-11: Highest IV Rank — 50.8%
2009-11-04: Largest Expected Move — 22.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.05	$39.58	$43.43	$39.58	$41.70
Max Pain	$43.84	$43.00	$44.00	$43.00	$44.00
ATM IV	51.7%	24.5%	88.6%	71.1%	54.4%
Expected Move	13.2%	7.0%	22.6%	20.4%	15.6%
HV 20d	34.3%	33.0%	36.3%	33.7%	33.0%
HV 60d	28.1%	27.3%	29.2%	28.2%	28.4%
IV Rank	28.3%	11.8%	50.8%	40.1%	30.0%
IV Percentile	49.1%	6.3%	84.1%	71.8%	62.7%
Term Structure	-10.6%	-26.4%	2.4%	-23.8%	-11.7%
VWIV	48.4%	22.0%	81.9%	81.9%	62.9%
Skew 25d	4.5%	-18.9%	16.0%	-18.9%	5.9%
Skew 10d	5.5%	-18.9%	17.1%	-18.9%	5.9%
Call IV 25d	53.0%	17.9%	95.0%	95.0%	78.9%
Put IV 25d	57.5%	15.9%	89.9%	76.2%	84.8%
Bid-Ask Spread %	146.81	20.72	196.47	196.47	181.08
Gamma HHI	0.26	0.16	0.34	0.16	0.25
Net GEX	-66.6K	-104.8K	-35.2K	-38.7K	-45.7K
Net DEX	452.6K	-276.3K	993.0K	869.8K	496.3K
Net VEX	-8.5K	-9.8K	-7.5K	-9.1K	-8.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	18.26	0.00	132.00	132.00	20.00
Total Volume	21.421	0	133	133	21
Total OI	1,564.263	1,426	1,622	1,463	1,546

Daily Data (19 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
2009-11-03	$39.58	$43.00	71.1%	20.4%	33.7%	40.1%	0.0%	-18.9%	-23.8%	-38.7K	869.8K	-9.1K	132.00	196.47	N/A	N/A	1	132	506	957
2009-11-04	$40.27	$43.00	78.9%	22.6%	33.2%	44.9%	0.0%	-10.3%	-18.4%	-47.7K	993.0K	-9.8K	0.00	191.04	N/A	N/A	0	0	507	1,079
2009-11-05	$41.09	$43.00	73.2%	21.0%	34.0%	41.4%	81.9%	0.1%	-26.4%	-56.2K	802.0K	-9.6K	0.00	195.71	N/A	N/A	0	4	507	1,079
2009-11-06	$40.88	$44.00	75.8%	12.8%	33.7%	42.9%	0.0%	-2.6%	-10.1%	-56.3K	874.4K	-9.5K	6.00	192.00	N/A	N/A	1	6	507	1,075
2009-11-09	$42.42	$44.00	82.0%	12.9%	36.3%	46.7%	0.0%	9.9%	-10.1%	-61.7K	401.1K	-9.2K	0.00	187.41	N/A	N/A	0	0	506	1,075
2009-11-10	$42.30	$44.00	24.8%	7.8%	36.1%	11.9%	0.0%	8.7%	1.4%	-104.8K	440.2K	-8.5K	0.00	20.72	N/A	N/A	0	0	506	1,075
2009-11-11	$42.58	$44.00	88.6%	13.0%	36.1%	50.8%	42.9%	11.4%	-8.7%	-63.4K	265.5K	-8.7K	0.83	164.08	N/A	N/A	12	10	506	1,075
2009-11-12	$41.89	$44.00	47.0%	13.5%	34.4%	25.4%	0.0%	5.9%	-11.8%	-60.3K	606.5K	-9.1K	0.00	189.46	N/A	N/A	20	0	506	1,085
2009-11-13	$42.63	$44.00	46.6%	13.4%	35.1%	25.2%	0.0%	12.2%	-12.2%	-59.1K	289.0K	-8.8K	0.00	180.72	N/A	N/A	0	0	526	1,085
2009-11-16	$43.13	$44.00	48.5%	13.9%	34.3%	26.4%	0.0%	15.9%	-12.8%	-60.1K	125.8K	-8.4K	0.00	180.80	N/A	N/A	10	0	526	1,085
2009-11-17	$42.86	$44.00	25.8%	7.4%	33.6%	12.5%	0.0%	5.8%	1.9%	-99.9K	233.5K	-7.9K	0.00	22.40	N/A	N/A	0	0	527	1,085
2009-11-18	$43.04	$44.00	25.6%	7.3%	33.5%	12.4%	0.0%	6.1%	1.9%	-102.6K	109.3K	-7.8K	0.00	21.80	N/A	N/A	0	0	527	1,085
2009-11-19	$42.37	$44.00	26.3%	7.5%	34.0%	12.8%	28.8%	6.9%	2.4%	-100.3K	473.6K	-7.7K	0.00	90.86	N/A	N/A	0	10	527	1,085
2009-11-20	$41.67	$44.00	53.2%	15.2%	34.1%	29.2%	0.0%	4.5%	-15.9%	-49.5K	594.3K	-8.2K	0.00	189.16	N/A	N/A	0	0	527	1,095
2009-11-23	$42.67	$44.00	54.9%	15.7%	34.9%	30.2%	51.6%	14.1%	-17.8%	-35.2K	220.7K	-7.8K	4.00	179.34	N/A	N/A	10	40	478	948
2009-11-24	$42.77	$44.00	55.9%	16.0%	33.4%	30.8%	0.0%	16.0%	-18.1%	-53.5K	289.3K	-8.0K	0.20	183.66	N/A	N/A	50	10	478	978
2009-11-25	$43.43	$44.00	25.3%	7.2%	33.5%	12.2%	22.0%	-14.4%	-12.4%	-78.8K	-276.3K	-7.5K	1.33	142.77	N/A	N/A	30	40	528	988
2009-11-27	$41.65	$44.00	24.5%	7.0%	35.5%	11.8%	0.0%	8.9%	0.7%	-92.2K	790.7K	-7.6K	0.00	79.92	N/A	N/A	0	0	558	988
2009-11-30	$41.70	$44.00	54.4%	15.6%	33.0%	30.0%	62.9%	5.9%	-11.7%	-45.7K	496.3K	-8.2K	20.00	181.08	N/A	N/A	1	20	558	988