FEZ Options History — March 2013

In March 2013, FEZ traded between $32.78 and $34.95. ATM implied volatility averaged 19.7%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 5.5% (HV 20d: 25.2%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 124.55.

Notable Days

  • 2013-03-20: Highest Volume — 2,020 contracts
  • 2013-03-07: Largest IV drop — 31.5% change
  • 2013-03-25: Highest IV Rank — 8.1%
  • 2013-03-25: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.09$32.78$34.95$33.47$33.04
Max Pain$33.65$33.00$36.00$36.00$34.00
ATM IV19.7%13.6%23.4%23.0%22.6%
Expected Move5.9%4.9%6.7%6.6%6.5%
HV 20d25.2%19.4%31.4%31.4%19.7%
HV 60d22.5%22.0%23.5%22.0%22.9%
IV Rank5.9%2.4%8.1%7.9%7.6%
IV Percentile20.8%0.4%38.6%32.3%36.3%
Term Structure0.7%-0.7%2.6%-0.5%-0.4%
VWIV20.8%14.6%24.1%14.6%21.1%
Skew 25d5.0%1.9%8.2%7.1%4.9%
Skew 10d8.4%0.7%16.0%6.1%3.1%
Call IV 25d18.2%15.1%21.2%18.2%20.7%
Put IV 25d23.2%19.4%25.8%25.3%25.6%
Bid-Ask Spread %76.7744.1195.1944.1155.20
Gamma HHI0.210.170.230.230.19
Net GEX-509.5K-1.1M714-804.7K-929.5K
Net DEX3.1M-2.0M12.0M7.7M9.4M
Net VEX-78.6K-88.7K-68.6K-77.3K-84.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio124.550.002019.004.0019.00
Total Volume427.0542,02040160
Total OI18,814.917,31120,92317,31120,923

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$33.47$36.0023.0%6.6%31.4%7.9%14.6%7.1%-0.5%-804.7K7.7M-77.3K4.0044.11N/AN/A8326,43110,880
2013-03-04$33.73$33.0020.1%6.0%31.1%6.2%0.0%6.2%0.5%-792.3K6.5M-74.9K0.2287.71N/AN/A926,43510,882
2013-03-05$34.21$33.0019.8%6.1%27.5%6.0%21.2%5.8%0.8%-582.0K2.8M-75.7K0.4486.39N/AN/A122546,43810,883
2013-03-06$34.35$33.0020.4%6.1%27.0%6.3%0.0%4.4%-0.4%-548.4K1.7M-74.1K1.6091.41N/AN/A586,46810,882
2013-03-07$34.68$33.0014.0%5.7%27.0%2.6%23.0%4.4%1.7%-424.6K31.3K-72.0K129.8090.15N/AN/A56496,46510,883
2013-03-08$34.78$33.0013.6%5.3%26.3%2.4%0.0%4.1%1.1%-401.1K-786.6K-73.1K0.0088.84N/AN/A046,46611,345
2013-03-11$34.81$33.0014.4%5.3%26.2%2.9%21.0%5.3%2.1%-371.7K-1.1M-68.6K70.1285.24N/AN/A251,7536,46611,345
2013-03-12$34.65$33.0018.1%5.6%26.2%5.0%20.2%1.9%1.1%-478.3K450.7K-78.7K12.3392.59N/AN/A3376,49112,798
2013-03-13$34.47$33.0022.0%5.7%25.8%7.3%20.8%3.5%1.5%-656.6K2.5M-76.9K0.5993.85N/AN/A74446,49412,803
2013-03-14$34.95$33.0018.6%5.3%26.3%5.3%19.0%3.9%2.0%-238.7K-2.0M-72.2K6.8895.19N/AN/A171176,54012,457
2013-03-15$34.84$34.0017.2%4.9%25.8%4.4%16.6%3.9%2.6%714-1.8M-69.6K13.4094.80N/AN/A1041,3946,42612,523
2013-03-18$34.10$34.0020.2%5.8%26.8%6.2%20.8%6.1%-0.0%-143.7K1.3M-78.4K1.9886.75N/AN/A1292566,36711,250
2013-03-19$33.81$34.0021.1%6.0%25.6%6.7%20.6%5.8%-0.0%-303.0K3.4M-81.3K0.4064.82N/AN/A2661066,33811,474
2013-03-20$34.36$34.0019.8%5.7%25.1%6.0%22.4%7.3%0.7%-107.7K94.6K-78.0K2019.0078.06N/AN/A12,0196,59411,571
2013-03-21$33.87$34.0020.5%5.9%24.1%6.4%23.1%6.0%0.3%-442.2K4.4M-87.5K1.8353.78N/AN/A1332436,59413,560
2013-03-22$34.29$34.0021.3%6.1%22.9%6.8%23.8%8.2%-0.7%-324.0K2.2M-88.7K1.7745.68N/AN/A48856,71613,758
2013-03-25$33.35$34.0023.4%6.7%20.3%8.1%24.1%5.3%-0.6%-730.7K6.8M-86.7K82.8065.43N/AN/A54146,76413,774
2013-03-26$33.33$34.0022.8%6.5%20.2%7.8%0.0%3.5%0.3%-839.0K7.5M-87.9K0.0074.67N/AN/A3606,76514,149
2013-03-27$32.78$34.0021.1%6.1%19.4%6.8%21.1%3.4%1.4%-1.1M12.0M-86.4K0.1860.80N/AN/A147276,75114,149
2013-03-28$33.04$34.0022.6%6.5%19.7%7.6%0.0%4.9%-0.4%-929.5K9.4M-84.6K19.0055.20N/AN/A81526,76214,161