FEZ Options History — September 2012

In September 2012, FEZ traded between $30.19 and $33.41. ATM implied volatility averaged 23.3%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.4% (HV 20d: 20.9%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 6.46.

Notable Days

2012-09-28: Highest Volume — 7,184 contracts
2012-09-12: Largest IV spike — 132.5% change
2012-09-05: Highest IV Rank — 10.2%
2012-09-05: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.11	$30.19	$33.41	$30.19	$31.03
Max Pain	$29.68	$28.00	$30.00	$28.00	$30.00
ATM IV	23.3%	9.6%	32.2%	30.7%	26.2%
Expected Move	7.2%	6.1%	9.2%	8.8%	7.5%
HV 20d	20.9%	13.7%	25.7%	15.1%	25.7%
HV 60d	59.5%	29.1%	86.0%	85.6%	29.2%
IV Rank	7.2%	0.0%	10.2%	9.3%	9.8%
IV Percentile	17.1%	0.0%	70.1%	60.6%	29.1%
Term Structure	1.8%	-4.6%	3.6%	-2.6%	2.9%
VWIV	26.5%	22.9%	37.4%	37.4%	26.6%
Skew 25d	6.8%	4.5%	10.2%	10.2%	5.5%
Skew 10d	16.6%	7.4%	24.8%	24.8%	16.1%
Call IV 25d	22.9%	19.6%	30.2%	26.9%	22.5%
Put IV 25d	29.7%	25.2%	37.0%	37.0%	28.0%
Bid-Ask Spread %	28.57	21.71	37.11	29.70	31.95
Gamma HHI	0.22	0.16	0.29	0.24	0.27
Net GEX	-53.3K	-237.3K	46.6K	-120.3K	-237.3K
Net DEX	-1.2M	-3.1M	1.5M	229.4K	1.5M
Net VEX	-12.9K	-23.9K	-5.8K	-12.4K	-23.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.46	0.00	104.20	0.83	0.03
Total Volume	715.211	40	7,184	42	7,184
Total OI	6,352.842	5,094	8,399	5,324	7,034

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
2012-09-04	$30.19	$28.00	30.7%	8.8%	15.1%	9.3%	37.4%	10.2%	-2.6%	-120.3K	229.4K	-12.4K	0.83	29.70	N/A	N/A	23	19	929	4,395
2012-09-05	$30.22	$28.00	32.2%	9.2%	13.7%	10.2%	29.9%	6.5%	-4.6%	-128.6K	241.5K	-12.2K	1.21	23.71	N/A	N/A	61	74	932	4,414
2012-09-06	$31.38	$28.00	26.9%	7.7%	18.6%	7.0%	28.1%	7.0%	-2.1%	-40.9K	-1.3M	-8.9K	3.17	23.93	N/A	N/A	35	111	989	4,486
2012-09-07	$32.03	$30.00	15.6%	7.2%	19.4%	0.1%	26.9%	8.5%	2.6%	-55.1K	-1.7M	-8.1K	0.74	34.53	N/A	N/A	70	52	1,022	4,581
2012-09-10	$31.62	$30.00	22.5%	6.9%	20.2%	4.3%	26.9%	7.8%	2.3%	-33.8K	-1.6M	-8.2K	1.52	24.26	N/A	N/A	99	150	1,077	4,549
2012-09-11	$32.31	$30.00	9.6%	7.4%	21.1%	0.0%	26.7%	8.8%	1.2%	-38.5K	-2.2M	-6.7K	3.62	27.74	N/A	N/A	50	181	1,091	4,529
2012-09-12	$32.50	$30.00	22.3%	7.4%	21.1%	7.5%	24.3%	7.4%	1.5%	-37.6K	-1.6M	-7.1K	0.80	30.25	N/A	N/A	208	166	1,120	4,697
2012-09-13	$32.95	$30.00	22.7%	6.5%	21.1%	7.7%	28.5%	8.7%	2.6%	-5.2K	-2.6M	-6.2K	0.30	37.11	N/A	N/A	163	49	1,320	4,861
2012-09-14	$33.41	$30.00	24.2%	6.9%	20.7%	8.6%	23.6%	6.4%	2.4%	-8.7K	-3.1M	-5.8K	1.14	35.44	N/A	N/A	175	199	1,402	4,890
2012-09-17	$33.24	$30.00	24.2%	6.9%	21.0%	8.5%	31.2%	7.4%	3.5%	-11.3K	-2.3M	-7.5K	3.41	27.28	N/A	N/A	298	1,017	1,464	5,068
2012-09-18	$32.76	$30.00	21.9%	6.3%	22.1%	7.2%	24.3%	7.4%	2.9%	-51.9K	-1.4M	-12.2K	0.24	22.07	N/A	N/A	66	16	1,662	6,080
2012-09-19	$32.96	$30.00	23.7%	6.8%	22.0%	8.3%	23.9%	6.0%	2.0%	-36.1K	-1.6M	-11.6K	0.00	37.03	N/A	N/A	694	0	1,706	6,079
2012-09-20	$32.63	$30.00	23.6%	6.8%	22.5%	8.2%	24.4%	4.5%	2.7%	-4.4K	-2.6M	-16.0K	0.16	30.15	N/A	N/A	232	36	2,320	6,079
2012-09-21	$32.70	$30.00	21.3%	6.1%	21.6%	6.9%	22.9%	5.0%	3.6%	46.6K	-612.9K	-16.9K	0.00	21.71	N/A	N/A	40	0	1,813	6,087
2012-09-24	$32.47	$30.00	23.5%	6.7%	21.9%	8.1%	23.6%	5.6%	3.2%	35.8K	-1.5M	-16.2K	0.19	24.30	N/A	N/A	167	31	1,771	3,323
2012-09-25	$32.14	$30.00	24.2%	6.9%	22.5%	8.6%	23.8%	4.5%	3.5%	10.3K	-1.2M	-17.8K	104.20	24.38	N/A	N/A	15	1,563	1,868	3,354
2012-09-26	$31.59	$30.00	24.2%	6.9%	23.6%	8.6%	25.7%	5.5%	3.6%	-174.7K	872.0K	-23.9K	0.40	25.30	N/A	N/A	141	57	1,867	4,907
2012-09-27	$31.98	$30.00	24.1%	6.9%	23.7%	8.5%	24.2%	5.8%	3.0%	-121.8K	5.5K	-23.2K	0.71	32.02	N/A	N/A	86	61	1,976	4,962
2012-09-28	$31.03	$30.00	26.2%	7.5%	25.7%	9.8%	26.6%	5.5%	2.9%	-237.3K	1.5M	-23.8K	0.03	31.95	N/A	N/A	7,008	176	2,052	4,982