FEZ Options History — April 2013

In April 2013, FEZ traded between $32.76 and $35.33. ATM implied volatility averaged 22.1%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.1% (HV 20d: 22.2%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 34.17.

Notable Days

  • 2013-04-23: Highest Volume — 1,818 contracts
  • 2013-04-17: Largest IV spike — 16.7% change
  • 2013-04-17: Highest IV Rank — 9.1%
  • 2013-04-17: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.75$32.76$35.33$32.85$35.29
Max Pain$34.00$34.00$34.00$34.00$34.00
ATM IV22.1%19.1%25.2%22.4%21.0%
Expected Move6.4%5.5%7.2%6.4%6.0%
HV 20d22.2%19.6%25.6%19.6%23.5%
HV 60d23.9%22.6%25.5%22.8%25.3%
IV Rank7.3%5.6%9.1%7.5%6.7%
IV Percentile33.6%17.1%52.2%35.1%27.9%
Term Structure0.8%-1.1%3.5%1.2%1.8%
VWIV21.3%11.5%28.1%22.5%17.4%
Skew 25d5.7%2.4%10.4%4.0%7.7%
Skew 10d8.9%-2.8%18.4%-1.6%18.4%
Call IV 25d19.0%14.4%23.3%21.3%17.0%
Put IV 25d24.7%21.4%28.8%25.3%24.8%
Bid-Ask Spread %68.9537.0188.2137.0148.72
Gamma HHI0.190.160.350.190.23
Net GEX-584.9K-2.4M680.8K-1.0M680.7K
Net DEX4.7M-4.3M12.8M9.9M-4.2M
Net VEX-69.0K-80.8K-54.2K-80.8K-59.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio34.170.03594.674.380.03
Total Volume360.409161,818113598
Total OI21,407.77319,06023,29021,05821,685

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$32.85$34.0022.4%6.4%19.6%7.5%22.5%4.0%1.2%-1.0M9.9M-80.8K4.3837.01N/AN/A21926,76714,291
2013-04-02$33.42$34.0022.9%6.6%20.5%7.8%20.3%3.8%-0.0%-761.7K6.4M-79.2K2.0043.22N/AN/A22446,78714,343
2013-04-03$33.18$34.0023.4%6.7%19.8%8.1%21.0%2.9%-0.8%-829.6K7.5M-80.6K1.5040.42N/AN/A26396,79514,346
2013-04-04$33.36$34.0023.4%6.7%19.9%8.1%23.5%4.5%-0.2%-996.0K7.9M-76.0K0.6756.28N/AN/A75506,78714,382
2013-04-05$33.08$34.0023.0%6.7%19.6%7.9%11.5%5.5%-0.5%-1.2M10.1M-77.9K1.4481.42N/AN/A18266,79614,409
2013-04-08$33.22$34.0023.7%6.8%19.6%8.3%22.2%6.6%-0.8%-1.1M8.8M-73.0K1.5385.33N/AN/A1031586,78714,430
2013-04-09$33.37$34.0022.5%6.6%19.8%7.6%18.8%7.9%-0.3%-834.8K7.2M-74.1K10.3680.77N/AN/A111146,89014,580
2013-04-10$34.08$34.0020.4%6.3%21.4%6.3%18.6%8.5%0.6%-390.3K2.9M-71.8K1.0587.45N/AN/A1111176,89314,670
2013-04-11$34.33$34.0021.1%6.0%21.5%6.8%20.0%5.7%0.7%-81.5K601.7K-71.0K1.7587.93N/AN/A571007,00114,771
2013-04-12$34.14$34.0020.5%5.9%20.9%6.4%20.1%2.9%1.4%-318.6K314.2K-60.7K1.6786.97N/AN/A6107,03514,767
2013-04-15$33.31$34.0023.6%6.8%22.5%8.2%22.0%2.5%-0.2%-839.3K6.7M-69.1K0.6488.21N/AN/A75487,03814,767
2013-04-16$33.96$34.0021.6%6.2%22.5%7.0%21.6%6.5%0.6%-560.6K1.8M-64.0K19.8787.58N/AN/A305967,10614,787
2013-04-17$32.79$34.0025.2%7.2%25.6%9.1%28.1%5.5%-0.9%-1.3M11.3M-68.3K594.6768.57N/AN/A31,7847,12014,944
2013-04-18$32.76$34.0025.0%7.2%24.7%9.0%23.2%5.1%-1.1%-1.5M12.8M-71.9K2.0564.98N/AN/A621276,91116,256
2013-04-19$33.03$34.0023.9%6.8%24.6%8.4%25.4%4.0%0.7%-2.4M10.5M-69.5K83.2068.64N/AN/A54166,94616,344
2013-04-22$33.31$34.0022.1%6.3%24.3%7.3%22.4%7.6%3.4%-488.4K5.8M-65.0K1.3566.42N/AN/A48656,29812,762
2013-04-23$34.10$34.0020.3%5.8%23.8%6.3%22.2%7.7%2.0%-29.8K1.5M-54.2K13.9073.15N/AN/A1221,6966,29912,787
2013-04-24$34.60$34.0019.7%5.7%24.2%6.0%23.2%10.4%3.5%129.3K-301.2K-62.1K6.2672.18N/AN/A1096826,39914,440
2013-04-25$34.47$34.0021.6%6.2%23.3%7.0%20.9%2.4%2.2%76.5K258.0K-66.4K0.1365.11N/AN/A4866,49715,002
2013-04-26$34.57$34.0019.1%5.5%23.3%5.6%22.9%7.2%1.8%305.7K-130.0K-63.1K3.0072.36N/AN/A10306,51515,006
2013-04-29$35.33$34.0019.9%5.7%24.0%6.1%20.0%7.0%3.0%680.8K-4.3M-59.9K0.2154.11N/AN/A140296,52515,010
2013-04-30$35.29$34.0021.0%6.0%23.5%6.7%17.4%7.7%1.8%680.7K-4.2M-59.9K0.0348.72N/AN/A583156,65115,034