FEZ Options History — August 2010

In August 2010, FEZ traded between $32.38 and $36.83. ATM implied volatility averaged 31.0%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 0.2% (HV 20d: 31.3%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2010-08-31: Highest Volume — 41 contracts
  • 2010-08-11: Largest IV spike — 52.3% change
  • 2010-08-02: Highest IV Rank — 34.6%
  • 2010-08-02: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.48$32.38$36.83$36.73$32.58
Max Pain$34.82$34.00$35.00$35.00$34.00
ATM IV31.0%23.6%44.0%44.0%31.6%
Expected Move8.9%7.0%12.6%12.6%9.1%
HV 20d31.3%27.8%36.0%32.6%28.3%
HV 60d38.7%33.2%45.5%45.5%33.2%
IV Rank22.8%16.0%34.6%34.6%23.3%
IV Percentile51.2%19.8%72.2%72.2%56.7%
Term Structure0.6%-4.4%31.0%31.0%0.8%
VWIV35.7%33.2%40.6%33.2%33.8%
Skew 25d11.2%0.1%81.5%81.5%5.8%
Skew 10d14.4%1.8%106.1%106.1%7.0%
Call IV 25d24.3%16.8%30.1%16.8%30.1%
Put IV 25d35.5%20.9%98.4%98.4%36.0%
Bid-Ask Spread %84.4155.93169.14169.1475.85
Gamma HHI0.400.290.570.330.54
Net GEX27.1K18.3K36.5K18.3K33.2K
Net DEX-602.9K-1.0M-284.5K-940.2K-360.8K
Net VEX-2.4K-2.9K-2.1K-2.9K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.002.730.002.73
Total Volume3.455041041
Total OI571530592582542

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$36.73$35.0044.0%12.6%32.6%34.6%0.0%81.5%31.0%18.3K-940.2K-2.9K0.00169.14N/AN/A00435147
2010-08-03$36.64$35.0025.3%7.2%32.0%17.6%0.0%6.2%1.2%22.3K-983.1K-2.5K0.0086.57N/AN/A00435147
2010-08-04$36.76$35.0024.5%7.0%28.5%16.9%0.0%6.3%2.1%22.8K-1.0M-2.5K0.0085.45N/AN/A00435147
2010-08-05$36.74$35.0024.4%7.0%28.5%16.8%0.0%5.8%1.8%22.4K-1000.0K-2.5K0.0088.81N/AN/A00435147
2010-08-06$36.67$35.0025.0%7.6%28.6%17.3%0.0%7.3%-2.1%22.4K-992.2K-2.5K0.0056.07N/AN/A00435147
2010-08-09$36.83$35.0024.6%7.2%28.4%17.0%0.0%6.7%-1.0%22.4K-1.0M-2.3K0.0061.19N/AN/A00435147
2010-08-10$36.62$35.0023.6%7.2%27.8%16.0%0.0%7.6%-1.7%24.9K-1.0M-2.2K0.0064.45N/AN/A00435147
2010-08-11$34.45$35.0035.9%9.4%36.0%27.2%33.2%11.3%-2.9%27.2K-579.2K-2.7K0.0055.93N/AN/A011435147
2010-08-12$34.34$35.0033.9%9.7%35.9%25.4%0.0%9.8%-4.4%24.9K-534.1K-2.7K0.0060.71N/AN/A00435157
2010-08-13$33.90$35.0029.0%8.3%34.3%21.0%0.0%0.1%0.5%24.6K-442.4K-2.6K0.00125.00N/AN/A00435157
2010-08-16$34.06$35.0029.3%8.4%34.1%21.3%0.0%1.7%-0.3%23.1K-450.6K-2.5K0.00123.98N/AN/A05435157
2010-08-17$34.66$35.0030.1%8.6%34.6%21.9%0.0%10.0%-4.0%28.2K-599.1K-2.4K0.0066.11N/AN/A00435152
2010-08-18$34.61$35.0029.7%8.5%33.3%21.5%0.0%8.5%-3.6%28.4K-591.6K-2.4K0.0068.32N/AN/A00435152
2010-08-19$33.72$35.0032.3%9.3%31.0%23.9%0.0%8.7%-4.0%21.6K-398.5K-2.4K0.0069.07N/AN/A06435152
2010-08-20$33.17$35.0034.5%9.9%31.0%25.9%0.0%4.8%-4.1%30.8K-284.5K-2.3K0.0071.45N/AN/A00435155
2010-08-23$33.08$35.0031.8%9.1%30.5%23.5%0.0%12.3%-0.2%31.7K-411.0K-2.3K0.00113.15N/AN/A100410120
2010-08-24$32.48$35.0037.8%10.8%30.7%29.0%40.6%20.2%0.1%31.8K-317.4K-2.3K0.00101.28N/AN/A01420120
2010-08-25$32.48$35.0035.6%10.2%30.7%26.9%35.2%6.6%-0.6%33.4K-293.1K-2.2K0.0081.35N/AN/A10420121
2010-08-26$32.38$34.0035.4%10.1%30.6%26.7%0.0%7.5%0.2%32.5K-325.2K-2.2K0.0072.09N/AN/A00421121
2010-08-27$33.19$34.0030.7%8.8%32.3%22.5%33.8%8.5%0.0%36.5K-364.1K-2.1K0.0078.81N/AN/A01421121
2010-08-30$32.46$34.0033.5%9.6%28.1%25.0%0.0%9.5%3.5%32.9K-357.4K-2.1K0.0082.25N/AN/A00421121
2010-08-31$32.58$34.0031.6%9.1%28.3%23.3%0.0%5.8%0.8%33.2K-360.8K-2.1K2.7375.85N/AN/A1130421121