FEZ Options History — August 2012

In August 2012, FEZ traded between $27.05 and $30.37. ATM implied volatility averaged 26.5%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 9.0% (HV 20d: 35.5%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 12.80.

Notable Days

  • 2012-08-30: Highest Volume — 996 contracts
  • 2012-08-31: Largest IV spike — 39.1% change
  • 2012-08-01: Highest IV Rank — 9.8%
  • 2012-08-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.56$27.05$30.37$28.03$30.08
Max Pain$27.00$26.00$28.00$27.00$28.00
ATM IV26.5%20.4%31.6%31.6%28.4%
Expected Move7.8%5.8%9.1%9.1%8.1%
HV 20d35.5%15.6%41.4%35.1%15.6%
HV 60d85.5%84.6%85.8%84.6%85.6%
IV Rank6.8%3.0%9.8%9.8%7.9%
IV Percentile34.4%4.0%64.1%64.1%45.4%
Term Structure3.3%-1.4%8.5%-1.4%2.9%
VWIV29.3%22.9%37.4%30.2%28.9%
Skew 25d9.5%4.9%12.2%7.4%9.8%
Skew 10d20.7%9.7%28.5%17.0%17.0%
Call IV 25d24.1%22.0%29.5%29.5%25.0%
Put IV 25d33.6%29.3%37.1%36.9%34.8%
Bid-Ask Spread %28.6520.4842.2627.9639.40
Gamma HHI0.270.180.440.210.24
Net GEX-27.3K-110.6K43.8K1.4K-110.6K
Net DEX-230.7K-767.8K259.5K-113.2K88.6K
Net VEX-6.8K-12.7K-3.3K-3.5K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.800.00137.500.003.58
Total Volume250599669151
Total OI2,855.4781,3565,2021,3565,202

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$28.03$27.0031.6%9.1%35.1%9.8%30.2%7.4%-1.4%1.4K-113.2K-3.5K0.0027.96N/AN/A690406950
2012-08-02$27.05$27.0031.0%8.9%35.2%9.5%22.9%11.9%-0.5%-12.7K189.4K-3.7K0.3520.48N/AN/A406142473950
2012-08-03$28.83$27.0025.8%7.4%41.0%6.3%26.5%5.6%1.7%43.8K-496.3K-3.4K0.0225.13N/AN/A28155191,091
2012-08-06$29.20$26.0027.7%8.1%41.1%7.5%33.6%8.9%4.2%39.6K-731.2K-3.3K137.5030.33N/AN/A22755301,088
2012-08-07$29.76$27.0025.3%7.7%41.1%6.0%28.6%11.2%4.3%21.9K-767.8K-3.6K0.0442.26N/AN/A2615281,363
2012-08-08$29.57$27.0024.2%7.5%41.3%5.4%0.0%9.9%3.0%23.4K-711.4K-3.7K0.4425.85N/AN/A52235341,364
2012-08-09$29.42$27.0025.8%8.1%41.2%6.3%30.5%4.9%-0.5%36.4K-707.2K-3.8K0.0031.32N/AN/A01015861,361
2012-08-10$29.39$27.0024.3%7.9%41.1%5.4%32.4%8.5%2.1%32.7K-668.3K-4.1K80.7029.38N/AN/A108075861,462
2012-08-13$29.37$27.0026.3%8.0%41.0%6.7%29.9%8.6%3.0%2.6K-215.5K-6.9K0.0029.14N/AN/A0405962,269
2012-08-14$29.44$27.0027.2%8.1%41.0%7.2%35.2%7.6%4.0%3.3K-228.3K-6.9K6.2725.34N/AN/A301885962,308
2012-08-15$29.36$27.0025.0%8.1%41.0%5.8%0.0%9.3%5.3%2.9K-184.1K-7.4K0.0029.23N/AN/A506262,491
2012-08-16$29.94$27.0026.0%7.5%41.4%6.5%28.1%10.3%6.8%-43.0K-355.2K-6.7K0.0033.81N/AN/A6005642,491
2012-08-17$30.00$27.0023.0%6.6%38.3%4.6%23.1%8.4%8.5%-36.1K-397.1K-6.5K0.1230.88N/AN/A4255542,491
2012-08-20$30.03$27.0025.5%7.3%36.4%6.2%32.7%10.3%2.7%-62.5K154.3K-6.4K14.0725.92N/AN/A304223581,990
2012-08-21$30.37$27.0027.4%7.9%34.7%7.3%28.4%9.8%4.3%-79.3K201.8K-7.1K1.1827.89N/AN/A51603882,412
2012-08-22$30.34$27.0028.3%8.1%34.8%7.8%26.3%11.4%4.5%-77.5K220.2K-7.7K0.0133.49N/AN/A9814392,472
2012-08-23$29.93$27.0026.9%7.7%31.6%7.0%37.4%11.2%2.2%-76.4K259.5K-8.3K4.8926.24N/AN/A904405372,473
2012-08-24$29.93$27.0027.5%7.9%29.3%7.4%30.0%9.2%2.3%-85.0K231.0K-9.2K1.7525.76N/AN/A2584516272,908
2012-08-27$30.11$27.0026.1%7.5%29.2%6.5%23.2%11.0%5.3%-63.9K-268.2K-10.5K0.2125.54N/AN/A48108853,356
2012-08-28$30.19$27.0027.8%8.0%29.1%7.5%29.4%10.3%2.3%-59.2K-402.5K-10.3K0.5024.39N/AN/A1269203,366
2012-08-29$30.03$27.0028.0%8.0%29.3%7.7%26.1%12.2%3.4%-65.7K-228.1K-10.5K0.1226.87N/AN/A5069203,371
2012-08-30$29.56$27.0020.4%5.8%26.5%3.0%31.4%11.9%4.6%-64.2K-176.3K-10.1K17.1122.28N/AN/A559419003,375
2012-08-31$30.08$28.0028.4%8.1%15.6%7.9%28.9%9.8%2.9%-110.6K88.6K-12.7K3.5839.40N/AN/A331189244,278