FEZ Options History — May 2010

In May 2010, FEZ traded between $30.57 and $36.84. ATM implied volatility averaged 46.0%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 4.9% (HV 20d: 51.0%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1236.90.

Notable Days

  • 2010-05-05: Highest Volume — 35,911 contracts
  • 2010-05-06: Largest IV spike — 174.6% change
  • 2010-05-06: Highest IV Rank — 51.0%
  • 2010-05-06: Largest Expected Move — 25.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.10$30.57$36.84$36.84$32.22
Max Pain$38.90$37.00$41.00$39.00$37.00
ATM IV46.0%27.4%89.0%27.4%46.1%
Expected Move13.2%7.9%25.5%7.9%13.2%
HV 20d51.0%28.6%63.0%28.6%63.0%
HV 60d34.3%24.3%41.1%24.3%41.1%
IV Rank24.9%13.5%51.0%13.5%24.9%
IV Percentile74.8%51.2%95.6%51.2%74.2%
Term Structure-4.1%-41.2%4.4%3.2%-2.7%
VWIV35.8%21.6%50.8%25.1%41.9%
Skew 25d8.1%-55.1%26.6%8.4%11.3%
Skew 10d13.7%-68.3%35.7%13.5%18.0%
Call IV 25d41.5%18.9%129.3%21.5%34.4%
Put IV 25d49.6%29.9%101.3%29.9%45.6%
Bid-Ask Spread %97.1660.12152.7875.5397.08
Gamma HHI0.450.140.540.140.49
Net GEX-1.7M-4.3M4.3K125-1.9M
Net DEX33.0M452.7K62.3M452.7K38.4M
Net VEX-98.7K-187.1K-1.2K-1.9K-95.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1236.900.0017954.500.000.00
Total Volume2,727.4035,911201
Total OI22,364.7546741,46546723,629

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$36.84$39.0027.4%7.9%28.6%13.5%25.1%8.4%3.2%125452.7K-1.9K0.0075.53N/AN/A200241226
2010-05-04$34.81$39.0033.0%9.5%34.2%16.9%0.0%9.2%2.0%4.3K558.9K-1.4K3.0092.00N/AN/A26261226
2010-05-05$33.94$39.0032.4%9.3%34.7%16.6%0.0%3.1%3.8%3.8K612.3K-1.2K17954.5072.32N/AN/A235,909261232
2010-05-06$32.30$39.0089.0%25.5%37.8%51.0%0.0%-55.1%-41.2%-4.3M59.3M-142.6K26.00148.36N/AN/A25226336,140
2010-05-07$31.67$41.0050.6%13.7%36.0%27.6%0.0%12.2%-5.0%-2.4M62.3M-178.6K1800.40102.04N/AN/A1018,00426436,187
2010-05-10$35.10$41.0037.9%10.5%53.8%19.9%0.0%21.6%-2.8%-3.4M42.5M-187.1K1.00133.33N/AN/A202027441,191
2010-05-11$34.53$41.0035.7%10.6%53.9%18.6%0.0%12.3%-2.1%-1.9M28.6M-112.8K1.3077.02N/AN/A202629423,649
2010-05-12$34.99$41.0031.9%10.1%54.0%16.2%21.8%12.3%-1.3%-2.0M25.8M-108.9K0.0069.27N/AN/A88031423,447
2010-05-13$34.24$40.0036.6%10.5%54.2%19.1%0.0%9.2%-3.4%-2.0M28.4M-108.5K0.0060.12N/AN/A0038623,219
2010-05-14$32.76$40.0041.3%11.8%55.3%22.0%43.1%10.4%-4.1%-1.9M36.2M-109.3K1.0088.10N/AN/A8838623,219
2010-05-17$32.85$40.0043.1%12.4%55.4%23.1%44.5%14.7%-3.3%-1.9M35.8M-107.2K0.1478.78N/AN/A701039023,217
2010-05-18$32.35$38.0048.0%13.8%55.2%26.0%49.7%9.9%-5.8%-1.8M37.9M-105.1K1.5570.78N/AN/A426546023,227
2010-05-19$32.77$38.0043.7%12.5%55.7%23.4%50.8%8.9%2.5%-1.5M35.5M-111.0K0.00120.01N/AN/A01050223,252
2010-05-20$31.68$38.0055.8%16.0%56.4%30.8%0.0%26.6%-4.4%-1.3M37.1M-110.0K0.00129.13N/AN/A02250223,222
2010-05-21$32.65$38.0055.4%15.9%57.9%30.6%0.0%24.6%-18.5%-2.0M36.4M-101.5K0.3376.82N/AN/A301050223,244
2010-05-24$31.43$38.0048.6%13.9%58.7%26.4%21.6%13.8%1.8%-1.6M41.5M-97.5K0.0099.92N/AN/A40037423,217
2010-05-25$31.44$37.0078.1%22.4%55.7%44.4%0.0%-6.2%-4.2%-945.3K33.2M-109.8K0.30152.78N/AN/A10341423,217
2010-05-26$30.57$37.0047.4%13.6%56.1%25.7%23.9%7.1%0.0%-1.5M44.6M-89.3K0.8099.87N/AN/A201640423,214
2010-05-27$32.91$37.0038.8%11.1%62.7%20.5%41.9%8.8%4.4%-2.2M35.5M-94.9K0.00100.02N/AN/A0241423,214
2010-05-28$32.22$37.0046.1%13.2%63.0%24.9%0.0%11.3%-2.7%-1.9M38.4M-95.5K0.0097.08N/AN/A1041423,215