FEZ Options History — July 2010

In July 2010, FEZ traded between $30.87 and $35.50. ATM implied volatility averaged 40.3%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 5.1% (HV 20d: 35.2%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2010-07-14: Highest Volume — 17,908 contracts
  • 2010-07-07: Largest IV spike — 113.0% change
  • 2010-07-08: Highest IV Rank — 86.3%
  • 2010-07-01: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.83$30.87$35.50$31.18$35.20
Max Pain$34.85$34.00$35.00$34.00$35.00
ATM IV40.3%21.6%116.3%94.9%28.6%
Expected Move10.4%7.6%27.2%27.2%8.2%
HV 20d35.2%30.7%42.4%42.4%30.7%
HV 60d47.5%45.9%48.3%46.6%45.9%
IV Rank26.4%12.3%86.3%54.6%20.6%
IV Percentile57.4%11.9%99.6%96.8%48.8%
Term Structure-2.3%-41.0%2.9%-41.0%2.1%
VWIV28.3%22.2%31.9%22.2%29.4%
Skew 25d9.3%3.9%42.8%42.8%7.4%
Skew 10d10.8%2.6%22.0%2.6%14.7%
Call IV 25d32.4%20.1%85.6%85.6%24.9%
Put IV 25d41.7%24.0%128.3%128.3%32.3%
Bid-Ask Spread %91.9449.67186.20158.1972.89
Gamma HHI0.580.340.980.480.35
Net GEX-1.7M-5.2M25.9K-1.4M25.5K
Net DEX12.8M-753.8K43.5M36.6M-716.5K
Net VEX-17.2K-60.8K-2.9K-60.8K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.002.802.800.00
Total Volume863.81017,90800
Total OI12,049.71452925,04923,858582

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$31.18$34.0094.9%27.2%42.4%54.6%0.0%42.8%-41.0%-1.4M36.6M-60.8K0.00158.19N/AN/A0056523,293
2010-07-02$30.87$34.0039.2%11.2%35.9%20.3%22.2%9.6%1.5%-2.4M43.5M-41.2K0.0091.08N/AN/A01056523,289
2010-07-06$31.75$0.0039.6%10.9%36.9%20.6%0.0%11.0%-0.4%-2.7M40.2M-35.7K0.0053.18N/AN/A0056523,284
2010-07-07$33.25$0.0084.3%15.2%39.8%47.9%0.0%8.9%-17.2%-1.8M28.8M-48.2K0.00184.68N/AN/A0056523,284
2010-07-08$33.51$0.00116.3%15.1%39.7%86.3%0.0%11.4%-18.6%-1.4M28.6M-47.4K0.00186.20N/AN/A0056523,284
2010-07-09$33.64$0.0021.6%7.7%35.5%12.3%0.0%5.1%1.4%-4.4M23.4M-25.1K0.00133.25N/AN/A0056523,284
2010-07-12$33.47$0.0027.5%8.1%35.5%16.9%0.0%5.0%1.7%-4.5M26.3M-18.8K0.00132.77N/AN/A0156523,284
2010-07-13$34.26$0.0025.1%7.6%36.2%15.0%0.0%4.0%2.2%-5.1M14.8M-18.8K0.00134.21N/AN/A0056523,284
2010-07-14$34.34$0.0029.8%9.5%32.4%18.7%0.0%3.9%1.3%-5.1M13.5M-16.4K0.00122.65N/AN/A017,90856523,284
2010-07-15$34.59$0.0032.1%9.2%32.3%20.5%31.9%7.5%1.9%-5.2M9.8M-12.9K2.8050.87N/AN/A4412356524,484
2010-07-16$33.50$35.0037.2%10.7%34.2%24.5%0.0%8.8%1.0%-1.8M9.2M-4.4K0.0049.67N/AN/A005897,055
2010-07-19$33.82$35.0032.8%9.4%33.3%24.3%0.0%7.8%1.4%21.4K-438.4K-3.0K0.3350.60N/AN/A3010393136
2010-07-20$33.69$35.0030.0%8.6%33.3%21.9%0.0%7.8%2.9%24.7K-453.8K-3.2K0.0057.55N/AN/A00423146
2010-07-21$32.87$35.0031.9%9.1%34.1%23.5%0.0%10.4%2.5%25.8K-318.4K-3.0K0.0061.56N/AN/A00423146
2010-07-22$34.34$35.0030.8%8.8%37.5%22.6%0.0%9.0%0.9%24.1K-558.6K-3.2K0.0055.49N/AN/A00423146
2010-07-23$34.77$35.0029.0%8.3%36.1%21.0%29.5%6.5%1.2%23.6K-618.2K-3.1K0.0061.78N/AN/A10423146
2010-07-26$35.19$35.0030.0%8.6%36.2%21.8%0.0%7.8%-0.1%22.4K-685.6K-3.0K0.0061.08N/AN/A100423146
2010-07-27$35.50$35.0028.7%8.2%36.0%20.7%0.0%4.8%2.5%24.9K-753.8K-3.0K0.0069.82N/AN/A01433146
2010-07-28$35.31$35.0029.4%8.4%30.8%21.3%29.4%8.1%1.8%23.7K-727.3K-3.0K0.0070.77N/AN/A10433147
2010-07-29$35.40$35.0028.0%8.0%30.7%20.0%0.0%7.6%2.4%25.9K-747.4K-2.9K0.0072.55N/AN/A10434147
2010-07-30$35.20$35.0028.6%8.2%30.7%20.6%0.0%7.4%2.1%25.5K-716.5K-3.0K0.0072.89N/AN/A00435147