FEZ Options History — October 2012

In October 2012, FEZ traded between $31.02 and $33.18. ATM implied volatility averaged 26.7%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.8% (HV 20d: 22.9%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 8.92.

Notable Days

  • 2012-10-05: Highest Volume — 2,778 contracts
  • 2012-10-09: Largest IV spike — 16.0% change
  • 2012-10-23: Highest IV Rank — 11.4%
  • 2012-10-09: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.89$31.02$33.18$31.38$31.92
Max Pain$30.95$30.00$32.00$30.00$32.00
ATM IV26.7%24.0%28.9%28.1%28.1%
Expected Move7.8%6.9%8.3%8.1%8.1%
HV 20d22.9%19.9%25.9%25.3%21.9%
HV 60d27.3%21.0%29.2%28.7%21.0%
IV Rank10.0%8.4%11.4%10.9%10.9%
IV Percentile33.5%12.0%53.4%42.2%45.0%
Term Structure1.9%0.5%3.2%0.5%2.7%
VWIV26.9%13.8%32.5%23.9%28.0%
Skew 25d6.5%4.2%8.2%7.6%5.3%
Skew 10d17.6%11.0%21.6%17.8%21.6%
Call IV 25d24.4%21.3%27.7%24.0%27.7%
Put IV 25d30.8%27.4%34.3%31.7%32.9%
Bid-Ask Spread %28.9819.7642.5937.6437.37
Gamma HHI0.430.180.650.600.19
Net GEX905.8K-271.6K1.9M1.2M-177.9K
Net DEX-5.0M-13.3M2.7M-6.8M909.8K
Net VEX-42.4K-48.6K-35.3K-42.7K-43.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.920.0157.950.081.18
Total Volume844.238282,778295464
Total OI14,418.09510,55916,88414,12613,093

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$31.38$30.0028.1%8.1%25.3%10.9%23.9%7.6%0.5%1.2M-6.8M-42.7K0.0837.64N/AN/A272238,9755,151
2012-10-02$31.64$30.0026.8%7.7%25.4%10.1%26.1%5.8%2.4%1.3M-8.5M-41.5K9.0832.65N/AN/A1421,2898,8435,170
2012-10-03$31.53$30.0025.1%7.2%25.5%9.1%24.5%4.2%2.7%1.3M-7.0M-48.6K0.5126.85N/AN/A2191118,6956,459
2012-10-04$31.92$30.0024.0%6.9%22.2%8.4%25.2%6.2%3.1%1.6M-8.9M-46.5K0.0619.76N/AN/A338208,6766,568
2012-10-05$32.19$30.0024.4%7.8%21.1%8.7%27.1%6.3%1.7%1.6M-12.0M-46.9K0.0131.20N/AN/A2,762168,9716,568
2012-10-08$31.89$31.0024.9%7.9%20.9%9.0%27.8%5.7%2.0%1.8M-8.9M-43.8K7.0035.46N/AN/A10708,9546,584
2012-10-09$31.10$31.0028.9%8.3%21.2%11.3%32.5%8.2%1.5%1.2M-3.9M-43.2K57.9525.76N/AN/A201,1598,9596,629
2012-10-10$31.02$31.0026.2%8.2%21.0%9.7%30.0%6.2%1.2%1.0M-1.2M-43.9K1.9827.78N/AN/A631258,9697,787
2012-10-11$31.38$31.0028.2%8.1%20.8%10.9%30.9%6.1%2.3%1.5M-4.2M-44.7K0.0132.81N/AN/A2,519358,9827,902
2012-10-12$31.44$31.0028.1%8.1%19.9%10.9%24.5%5.5%2.8%961.4K-2.0M-39.0K0.0242.59N/AN/A1,166256,4937,922
2012-10-15$31.79$31.0026.1%7.5%20.5%9.7%13.8%7.3%3.1%1.6M-5.4M-39.0K55.2926.13N/AN/A179407,5897,937
2012-10-16$32.73$31.0025.4%7.3%22.8%9.3%29.1%6.9%2.1%1.7M-13.3M-40.1K0.1228.24N/AN/A1,4621707,5988,797
2012-10-17$33.18$31.0025.2%7.2%23.2%9.2%24.3%6.3%2.6%711.1K-12.2M-35.3K8.4526.27N/AN/A292456,1788,833
2012-10-18$33.03$31.0024.7%7.1%23.0%8.9%0.0%5.9%3.2%662.5K-11.6M-36.5K1.8922.06N/AN/A28536,1108,894
2012-10-19$32.34$31.0027.7%8.0%24.2%10.6%28.3%6.6%1.5%1.9M-8.2M-39.2K18.1926.65N/AN/A427646,1118,944
2012-10-22$32.56$31.0025.4%7.3%24.2%9.3%25.2%6.9%0.9%3.5K-884.2K-37.3K0.5627.89N/AN/A18102,9817,578
2012-10-23$31.69$31.0028.9%8.3%25.9%11.4%32.5%7.0%1.1%-130.5K1.2M-39.1K0.0024.55N/AN/A02,3702,9927,588
2012-10-24$31.59$32.0028.0%8.0%25.1%10.8%29.2%7.9%0.5%-271.6K2.7M-45.8K0.2822.50N/AN/A4131142,9929,374
2012-10-25$31.63$32.0028.5%8.2%24.7%11.1%28.6%7.2%0.5%-252.9K2.3M-47.0K6.9026.36N/AN/A201383,4019,488
2012-10-26$31.76$32.0027.4%7.8%22.1%10.4%27.4%7.2%1.3%-230.1K2.0M-46.5K0.0028.05N/AN/A0483,4219,624
2012-10-31$31.92$32.0028.1%8.1%21.9%10.9%28.0%5.3%2.7%-177.9K909.8K-43.3K1.1837.37N/AN/A2132513,4219,672