FEZ Options History — July 2013

In July 2013, FEZ traded between $32.80 and $36.07. ATM implied volatility averaged 19.0%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 2.4% (HV 20d: 21.4%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 5.86.

Notable Days

  • 2013-07-23: Highest Volume — 7,696 contracts
  • 2013-07-10: Largest IV drop — 16.3% change
  • 2013-07-03: Highest IV Rank — 51.7%
  • 2013-07-05: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.57$32.80$36.07$33.45$36.07
Max Pain$34.00$34.00$34.00$34.00$34.00
ATM IV19.0%16.2%22.7%21.9%18.1%
Expected Move5.5%4.7%6.5%6.3%5.2%
HV 20d21.4%12.0%27.3%24.8%12.0%
HV 60d20.3%18.7%22.0%21.7%18.8%
IV Rank37.7%26.2%51.7%48.7%37.5%
IV Percentile21.0%6.3%48.8%40.5%17.1%
Term Structure0.9%-2.2%3.0%-0.3%-1.3%
VWIV19.8%17.2%26.0%20.9%19.3%
Skew 25d4.6%1.5%8.8%6.6%3.5%
Skew 10d6.6%0.1%15.5%4.8%13.6%
Call IV 25d17.2%11.1%20.2%15.9%16.6%
Put IV 25d21.8%18.9%26.5%22.5%20.0%
Bid-Ask Spread %57.9441.0074.9746.6454.11
Gamma HHI0.170.140.210.180.14
Net GEX-789.5K-2.1M63.7K-1.5M-236.8K
Net DEX5.2M-3.4M19.5M13.3M-3.4M
Net VEX-87.1K-101.7K-73.4K-101.7K-82.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.860.0443.897.144.38
Total Volume859.364187,69657226
Total OI27,626.09123,03830,22826,21228,497

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$33.45$34.0021.9%6.3%24.8%48.7%20.9%6.6%-0.3%-1.5M13.3M-101.7K7.1446.64N/AN/A7506,10320,109
2013-07-02$32.89$34.0021.3%6.1%25.2%46.1%22.1%2.4%0.5%-1.9M17.9M-100.6K0.0749.24N/AN/A156116,10920,104
2013-07-03$32.80$34.0022.7%6.5%24.9%51.7%0.0%6.7%-1.1%-2.0M19.5M-100.2K0.0457.14N/AN/A9046,12820,114
2013-07-05$32.92$34.0020.8%6.5%24.7%44.2%19.0%6.1%0.4%-2.1M17.9M-95.3K0.2074.97N/AN/A1536,21620,118
2013-07-08$33.45$34.0021.8%6.1%25.2%48.2%21.6%4.6%2.8%-1.8M11.9M-86.3K3.0066.37N/AN/A441326,22720,121
2013-07-09$33.42$34.0021.1%6.4%25.2%45.6%22.1%5.1%0.7%-1.7M12.1M-85.8K0.2460.92N/AN/A212506,24620,121
2013-07-10$33.62$34.0017.7%5.6%25.2%32.0%20.5%5.7%1.7%-1.3M9.7M-84.8K0.5059.95N/AN/A92466,44620,171
2013-07-11$34.54$34.0017.9%5.1%27.3%32.9%18.6%5.9%2.8%-414.6K2.7M-79.8K26.9865.18N/AN/A2566,9066,52620,162
2013-07-12$34.29$34.0019.4%5.6%26.9%38.6%18.1%2.7%3.0%-771.0K5.5M-93.1K0.2958.05N/AN/A1756,64723,556
2013-07-15$34.44$34.0019.4%5.6%26.7%38.7%18.3%3.8%1.4%-349.5K3.5M-83.7K4.5662.76N/AN/A9416,64523,561
2013-07-16$34.45$34.0019.7%5.6%26.0%39.9%19.1%1.5%1.5%63.7K2.7M-85.3K10.0464.48N/AN/A262616,64323,548
2013-07-17$34.50$34.0018.5%5.3%25.9%35.0%19.1%1.7%2.4%-148.5K2.2M-87.3K1.4857.20N/AN/A711056,63723,591
2013-07-18$34.94$34.0018.5%5.3%25.0%35.2%18.9%4.4%2.0%-126.1K434.3K-81.1K0.4145.67N/AN/A117486,27923,551
2013-07-19$35.05$34.0017.7%5.1%20.6%32.0%17.2%4.5%2.6%-55.8K-527.6K-79.8K1.3355.17N/AN/A30406,32123,544
2013-07-22$35.23$34.0016.9%4.8%16.9%28.7%19.0%3.9%1.8%-237.8K208.1K-73.4K43.8941.00N/AN/A281,2294,94218,096
2013-07-23$35.36$34.0018.0%5.2%15.1%33.1%26.0%4.4%0.2%-444.3K1.1M-79.6K17.3258.67N/AN/A4207,2764,96319,145
2013-07-24$35.64$34.0016.3%4.7%15.1%26.6%19.1%6.6%0.1%-563.3K765.4K-89.0K3.0966.21N/AN/A571765,36822,524
2013-07-25$35.90$34.0016.2%4.7%14.7%26.2%19.7%8.8%-0.2%-419.7K-778.9K-86.5K0.8560.30N/AN/A96825,38622,601
2013-07-26$35.97$34.0017.1%4.9%14.7%29.7%17.2%4.5%1.2%-465.3K-252.9K-89.6K1.6360.35N/AN/A54885,47522,663
2013-07-29$35.79$34.0017.7%5.1%14.3%35.8%0.0%2.8%0.8%-462.1K-10.8K-86.1K0.5453.82N/AN/A65355,49522,745
2013-07-30$35.85$34.0019.4%5.6%14.2%43.4%20.5%5.1%-2.2%-429.6K-1.1M-85.9K1.0256.50N/AN/A1141165,56022,770
2013-07-31$36.07$34.0018.1%5.2%12.0%37.5%19.3%3.5%-1.3%-236.8K-3.4M-82.0K4.3854.11N/AN/A421845,65922,838