FEZ Options History — May 2013

In May 2013, FEZ traded between $35.03 and $36.58. ATM implied volatility averaged 21.6%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.1% (HV 20d: 18.5%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 15.14.

Notable Days

  • 2013-05-17: Highest Volume — 5,887 contracts
  • 2013-05-16: Largest IV spike — 26.2% change
  • 2013-05-31: Highest IV Rank — 9.9%
  • 2013-05-31: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.03$35.03$36.58$35.03$35.79
Max Pain$35.00$34.00$36.00$34.00$36.00
ATM IV21.6%17.3%26.4%21.1%26.4%
Expected Move6.6%5.1%7.6%6.1%7.6%
HV 20d18.5%12.8%24.1%23.5%15.2%
HV 60d21.8%19.2%23.6%23.6%19.7%
IV Rank7.1%4.5%9.9%6.8%9.9%
IV Percentile36.8%9.6%71.3%29.9%71.3%
Term Structure-1.3%-4.6%3.5%1.5%-4.6%
VWIV24.0%16.1%31.7%23.9%26.4%
Skew 25d4.1%1.3%7.2%5.8%4.4%
Skew 10d7.4%-0.7%18.6%18.6%8.2%
Call IV 25d20.4%17.3%22.4%20.8%22.4%
Put IV 25d24.5%19.2%27.4%26.5%26.8%
Bid-Ask Spread %72.2346.0787.4546.0773.89
Gamma HHI0.300.180.560.200.22
Net GEX528.4K-1.1M2.5M477.5K-1.1M
Net DEX-4.3M-13.4M6.9M-2.3M6.9M
Net VEX-68.3K-96.4K-34.0K-63.7K-94.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.140.06197.762.952.43
Total Volume1,130.636535,88787120
Total OI24,127.63618,56328,30321,75324,704

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$35.03$34.0021.1%6.1%23.5%6.8%23.9%5.8%1.5%477.5K-2.3M-63.7K2.9546.07N/AN/A22656,71415,039
2013-05-02$35.27$34.0021.9%6.3%23.6%7.2%26.1%5.3%1.3%751.3K-4.2M-58.6K50.5350.01N/AN/A603,0326,72015,068
2013-05-03$35.89$34.0017.8%5.1%23.7%4.8%16.1%1.3%3.5%995.4K-7.9M-58.6K0.1759.84N/AN/A300506,77018,010
2013-05-06$35.74$34.0019.9%6.5%23.9%6.0%23.4%4.2%-1.4%933.5K-6.5M-58.5K0.1084.15N/AN/A269276,63617,765
2013-05-07$35.95$34.0019.4%6.4%23.9%5.7%23.8%3.9%-1.2%1.2M-10.2M-48.2K0.1877.41N/AN/A197356,84117,764
2013-05-08$36.46$34.0017.9%6.7%23.4%4.9%24.6%3.5%-2.1%1.5M-12.5M-53.9K1.6379.92N/AN/A48786,94817,756
2013-05-09$35.97$34.0019.3%6.5%24.1%5.7%23.3%2.6%1.0%1.3M-9.1M-56.1K1.0480.74N/AN/A3353506,96117,796
2013-05-10$36.12$34.0017.3%6.1%23.9%4.5%21.9%3.9%-0.1%1.5M-13.4M-34.0K0.6881.25N/AN/A1631117,14118,080
2013-05-13$35.94$35.0019.7%6.6%21.8%5.9%25.9%3.9%-1.7%1.4M-12.0M-34.1K23.4376.29N/AN/A2375,5537,27118,191
2013-05-14$36.09$35.0020.6%6.8%21.0%6.4%24.3%7.2%-1.8%1.7M-10.8M-54.1K0.0685.44N/AN/A892527,26120,323
2013-05-15$36.12$35.0018.6%6.6%15.6%5.3%21.9%5.6%-1.7%2.2M-12.3M-56.0K0.0787.45N/AN/A304217,92920,374
2013-05-16$35.89$35.0023.5%6.7%16.0%8.2%24.5%3.7%-3.1%2.5M-8.0M-70.6K0.1087.32N/AN/A210227,97618,130
2013-05-17$36.31$35.0023.1%6.6%16.1%7.9%20.6%2.5%-1.1%2.1M-12.2M-68.4K0.2674.11N/AN/A4,6831,2048,01618,146
2013-05-20$36.38$35.0021.3%6.1%16.1%6.9%24.0%3.8%-0.9%-244.8K-826.3K-71.3K2.2469.03N/AN/A1092445,20013,363
2013-05-21$36.40$36.0022.1%6.3%14.5%7.4%23.7%3.8%-1.0%-142.0K-1.1M-75.4K197.7667.77N/AN/A214,1535,26713,607
2013-05-22$36.08$36.0023.2%6.6%14.4%8.0%23.2%3.0%-1.4%-918.3K3.8M-90.0K3.3059.46N/AN/A1153805,28717,659
2013-05-23$36.07$36.0024.1%6.9%14.3%8.5%24.1%4.3%-3.1%-992.8K5.2M-93.5K0.9276.16N/AN/A2432245,40117,979
2013-05-24$36.00$36.0024.3%7.0%14.4%8.6%31.7%5.6%-0.6%-996.6K6.1M-96.4K16.0879.45N/AN/A132095,62918,179
2013-05-28$36.38$36.0024.3%7.0%12.8%8.7%24.7%3.8%-3.3%-702.9K1.5M-87.1K13.6061.79N/AN/A304085,64218,368
2013-05-29$36.23$36.0026.0%7.4%12.9%9.6%25.6%5.1%-4.2%-927.2K4.0M-91.5K2.1260.36N/AN/A17365,67218,751
2013-05-30$36.58$36.0024.5%7.0%12.8%8.8%24.5%3.6%-1.7%-681.1K1.4M-87.9K13.5071.16N/AN/A162165,68718,787
2013-05-31$35.79$36.0026.4%7.6%15.2%9.9%26.4%4.4%-4.6%-1.1M6.9M-94.2K2.4373.89N/AN/A35855,70319,001