FEZ Options History — January 2010

In January 2010, FEZ traded between $37.44 and $43.10. ATM implied volatility averaged 28.4%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.4% (HV 20d: 24.0%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.17.

Notable Days

2010-01-20: Highest Volume — 20 contracts
2010-01-08: Largest IV spike — 150.5% change
2010-01-21: Highest IV Rank — 30.4%
2010-01-21: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.01	$37.44	$43.10	$42.90	$37.44
Max Pain	$39.86	$39.00	$42.00	$42.00	$39.00
ATM IV	28.4%	5.9%	55.2%	34.2%	28.1%
Expected Move	8.2%	1.7%	15.8%	9.8%	8.1%
HV 20d	24.0%	20.3%	27.4%	24.1%	27.4%
HV 60d	28.6%	28.0%	29.3%	28.8%	29.0%
IV Rank	14.1%	0.4%	30.4%	17.6%	14.0%
IV Percentile	27.4%	0.4%	73.0%	38.5%	33.3%
Term Structure	-1.7%	-20.6%	9.5%	3.1%	1.9%
VWIV	51.7%	47.7%	57.6%	57.6%	47.7%
Skew 25d	4.4%	-17.3%	23.2%	1.1%	4.0%
Skew 10d	7.1%	-17.3%	27.3%	4.1%	8.5%
Call IV 25d	24.5%	13.7%	54.1%	16.1%	24.2%
Put IV 25d	28.9%	15.9%	47.6%	17.2%	28.1%
Bid-Ask Spread %	116.80	34.59	199.02	98.30	91.90
Gamma HHI	0.24	0.14	0.43	0.28	0.19
Net GEX	18.8K	0	43.8K	0	9.2K
Net DEX	-289.8K	-1.0M	77.5K	0	77.5K
Net VEX	-2.2K	-3.3K	0	0	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.00	1.00	0.00	1.00
Total Volume	2.737	0	20	0	2
Total OI	564.947	0	1,090	0	335

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
2010-01-04	$42.90	$0.00	34.2%	9.8%	24.1%	17.6%	0.0%	0.0%	0.0%	0	0	0	0.00	0.00	N/A	N/A	0	0	0	0
2010-01-05	$42.70	$0.00	19.2%	5.9%	22.3%	8.5%	0.0%	1.1%	3.1%	41.5K	-1.0M	-3.3K	0.00	98.30	N/A	N/A	3	0	605	485
2010-01-06	$42.64	$0.00	14.8%	5.5%	22.2%	5.9%	0.0%	2.2%	3.1%	39.6K	-698.6K	-3.0K	0.00	114.10	N/A	N/A	0	0	529	485
2010-01-07	$42.51	$0.00	5.9%	1.7%	22.2%	0.4%	0.0%	0.0%	0.0%	0	0	0	0.00	0.00	N/A	N/A	0	0	0	0
2010-01-08	$42.84	$0.00	14.7%	5.7%	22.2%	5.8%	0.0%	2.2%	2.9%	42.1K	-782.9K	-2.8K	0.00	110.34	N/A	N/A	0	0	529	485
2010-01-11	$43.10	$0.00	21.0%	6.6%	20.3%	9.6%	0.0%	4.4%	-0.8%	40.8K	-663.2K	-2.8K	0.00	74.08	N/A	N/A	4	0	478	485
2010-01-12	$42.35	$0.00	20.9%	6.6%	21.3%	9.6%	0.0%	4.4%	2.3%	43.8K	-293.2K	-2.6K	0.00	80.18	N/A	N/A	0	0	470	485
2010-01-13	$42.75	$0.00	32.8%	6.8%	21.4%	16.8%	0.0%	4.9%	1.6%	32.6K	-509.1K	-2.8K	0.00	102.13	N/A	N/A	0	0	470	485
2010-01-14	$42.94	$0.00	22.8%	6.5%	21.4%	10.7%	0.0%	3.5%	3.9%	25.6K	-628.1K	-2.7K	0.00	120.18	N/A	N/A	0	0	470	485
2010-01-15	$41.63	$0.00	25.4%	7.3%	23.6%	12.3%	0.0%	7.5%	2.8%	10.9K	35.9K	-2.6K	0.00	34.59	N/A	N/A	0	0	440	485
2010-01-19	$42.13	$0.00	25.9%	7.4%	21.6%	12.6%	0.0%	5.0%	9.5%	7.0K	-284.2K	-2.2K	0.00	147.21	N/A	N/A	0	0	182	110
2010-01-20	$40.72	$0.00	51.7%	14.8%	24.8%	28.3%	57.6%	5.6%	-14.5%	5.7K	-210.4K	-2.3K	0.00	199.02	N/A	N/A	20	0	182	110
2010-01-21	$39.32	$42.00	55.2%	15.8%	27.1%	30.4%	0.0%	-17.3%	-16.4%	7.7K	-143.8K	-2.3K	0.00	186.86	N/A	N/A	0	0	202	110
2010-01-22	$38.70	$42.00	48.7%	14.0%	27.3%	26.5%	49.9%	23.2%	-13.3%	9.2K	-90.4K	-2.2K	0.00	182.12	N/A	N/A	8	0	202	110
2010-01-25	$38.97	$39.00	29.9%	8.6%	27.0%	15.1%	0.0%	8.0%	0.5%	11.2K	-106.2K	-2.2K	0.00	101.52	N/A	N/A	0	10	210	110
2010-01-26	$38.87	$39.00	32.7%	9.4%	26.9%	16.7%	47.7%	-4.1%	-20.6%	10.1K	-169.0K	-2.3K	0.00	157.57	N/A	N/A	5	0	210	120
2010-01-27	$38.79	$39.00	27.9%	8.0%	26.6%	13.8%	0.0%	13.1%	3.8%	10.7K	-47.9K	-2.1K	0.00	97.30	N/A	N/A	0	0	215	120
2010-01-28	$37.88	$39.00	28.1%	8.0%	27.4%	13.9%	0.0%	7.2%	2.1%	10.0K	51.6K	-1.9K	0.00	88.20	N/A	N/A	0	0	215	120
2010-01-29	$37.44	$39.00	28.1%	8.1%	27.4%	14.0%	0.0%	4.0%	1.9%	9.2K	77.5K	-1.8K	1.00	91.90	N/A	N/A	1	1	215	120