FEZ Options History — December 2012

In December 2012, FEZ traded between $33.11 and $34.79. ATM implied volatility averaged 20.4%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.2% (HV 20d: 15.2%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 8.37.

Notable Days

  • 2012-12-05: Highest Volume — 1,747 contracts
  • 2012-12-07: Largest IV drop — 13.7% change
  • 2012-12-06: Highest IV Rank — 8.3%
  • 2012-12-06: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.92$33.11$34.79$33.12$34.66
Max Pain$32.60$32.00$33.00$32.00$33.00
ATM IV20.4%18.0%23.8%21.6%19.5%
Expected Move5.8%5.2%6.8%6.2%5.6%
HV 20d15.2%10.9%19.8%19.8%15.3%
HV 60d19.9%18.2%22.3%22.3%19.2%
IV Rank6.3%5.0%8.3%7.0%5.8%
IV Percentile4.6%0.8%16.3%5.2%2.4%
Term Structure1.3%-1.8%2.8%-0.3%1.2%
VWIV21.2%18.0%24.5%24.2%23.1%
Skew 25d5.2%3.0%8.8%7.4%8.0%
Skew 10d12.8%7.8%17.0%9.0%15.6%
Call IV 25d18.1%14.0%20.3%19.2%14.0%
Put IV 25d23.3%20.7%26.5%26.5%22.0%
Bid-Ask Spread %34.0419.7544.3621.8433.84
Gamma HHI0.180.140.320.180.14
Net GEX104.7K22.3K171.2K94.8K136.8K
Net DEX-4.6M-7.8M-2.1M-3.6M-3.6M
Net VEX-24.3K-31.9K-14.8K-31.0K-24.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.370.0054.526.080.00
Total Volume222.141,747855
Total OI12,422.859,79613,60612,22211,025

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$33.12$32.0021.6%6.2%19.8%7.0%24.2%7.4%-0.3%94.8K-3.6M-31.0K6.0821.84N/AN/A12733,1689,054
2012-12-04$33.36$32.0022.1%6.3%19.6%7.4%0.0%7.5%-0.1%107.9K-4.1M-29.4K0.3126.22N/AN/A1343,1759,096
2012-12-05$33.44$32.0022.4%6.4%19.3%7.5%24.5%8.8%-0.6%97.3K-4.1M-29.5K46.2219.75N/AN/A371,7103,1869,100
2012-12-06$33.38$32.0023.8%6.8%16.9%8.3%0.0%3.5%-1.8%87.9K-3.8M-29.7K0.0023.36N/AN/A403,2229,930
2012-12-07$33.15$32.0020.5%6.1%16.4%6.4%21.4%4.7%1.8%80.0K-3.2M-31.9K0.0042.05N/AN/A0133,2269,930
2012-12-10$33.11$32.0022.4%6.1%16.4%7.5%24.3%4.7%1.7%72.5K-3.3M-30.0K0.0044.36N/AN/A0663,2269,923
2012-12-11$33.59$32.0020.9%5.8%16.9%6.7%21.8%4.6%2.0%123.4K-4.8M-26.3K10.0040.62N/AN/A101003,2269,989
2012-12-12$33.77$32.0020.3%5.8%16.6%6.3%21.8%4.5%1.8%113.7K-5.4M-25.1K2.4433.15N/AN/A16393,2149,998
2012-12-13$33.69$33.0020.4%5.9%16.2%6.4%0.0%5.2%2.0%104.3K-5.1M-25.3K0.0039.49N/AN/A0353,21810,015
2012-12-14$34.00$33.0020.5%5.9%16.3%6.4%20.4%3.9%1.7%93.4K-5.7M-23.6K0.4837.26N/AN/A21103,21810,040
2012-12-17$34.15$33.0020.0%5.7%15.5%6.1%0.0%4.8%1.6%22.3K-6.2M-22.4K0.2836.91N/AN/A72203,21910,040
2012-12-18$34.53$33.0018.8%5.4%13.0%5.4%19.3%4.0%0.8%136.0K-7.3M-19.2K0.7629.14N/AN/A113863,28110,060
2012-12-19$34.51$33.0018.2%5.2%13.1%5.1%20.4%3.0%2.6%171.2K-7.8M-15.4K1.6732.16N/AN/A1111853,36010,117
2012-12-20$34.79$33.0018.0%5.2%13.2%5.0%18.1%3.3%2.8%117.7K-7.8M-14.8K0.8732.10N/AN/A1411223,35610,250
2012-12-21$34.37$33.0019.5%5.6%11.5%5.8%19.9%3.9%2.2%98.3K-3.9M-18.7K1.6640.68N/AN/A711182,58810,352
2012-12-24$34.14$33.0019.6%5.6%12.0%5.9%19.4%6.1%1.8%131.1K-3.6M-19.2K0.3240.26N/AN/A31102,4137,383
2012-12-26$34.21$33.0019.9%5.7%11.0%6.1%18.0%7.0%2.0%152.0K-3.9M-18.7K54.5237.86N/AN/A211,1452,4447,393
2012-12-27$34.56$33.0018.7%5.4%10.9%5.3%20.7%3.5%2.1%116.2K-3.6M-24.6K0.0035.08N/AN/A0192,4658,538
2012-12-28$33.87$33.0020.9%6.0%13.3%6.7%23.1%6.5%1.8%37.0K-2.1M-27.8K0.0034.59N/AN/A902,4658,554
2012-12-31$34.66$33.0019.5%5.6%15.3%5.8%0.0%8.0%1.2%136.8K-3.6M-24.2K0.0033.84N/AN/A052,4718,554