FEZ Options History — August 2013

In August 2013, FEZ traded between $35.27 and $37.29. ATM implied volatility averaged 15.2%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.7% (HV 20d: 11.5%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 3.04.

Notable Days

  • 2013-08-07: Highest Volume — 7,988 contracts
  • 2013-08-30: Largest IV spike — 50.9% change
  • 2013-08-30: Highest IV Rank — 50.4%
  • 2013-08-30: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.65$35.27$37.29$36.58$35.27
Max Pain$35.64$34.00$36.00$34.00$36.00
ATM IV15.2%11.4%21.0%16.3%21.0%
Expected Move4.3%3.3%6.0%4.7%6.0%
HV 20d11.5%8.6%16.0%12.1%15.3%
HV 60d18.8%18.4%19.2%19.0%19.0%
IV Rank25.0%8.0%50.4%29.8%50.4%
IV Percentile7.9%0.4%47.2%7.1%47.2%
Term Structure2.3%-1.0%3.7%-0.2%-1.0%
VWIV17.9%10.3%25.6%10.3%20.7%
Skew 25d5.7%1.9%8.5%1.9%3.8%
Skew 10d11.6%8.2%15.7%8.4%14.0%
Call IV 25d15.3%13.1%20.7%14.0%20.7%
Put IV 25d21.0%15.9%24.9%15.9%24.4%
Bid-Ask Spread %63.2338.6276.0448.3638.62
Gamma HHI0.170.150.240.150.16
Net GEX-341.6K-1.2M-2.2K-126.0K-1.2M
Net DEX-3.1M-9.4M9.3M-6.0M9.3M
Net VEX-99.9K-122.1K-72.6K-72.6K-122.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.040.1117.750.116.35
Total Volume730.182367,988186125
Total OI27,929.522,66633,15828,55325,141

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$36.58$34.0016.3%4.7%12.1%29.8%10.3%1.9%-0.2%-126.0K-6.0M-72.6K0.1148.36N/AN/A168185,66622,887
2013-08-02$36.72$34.0015.1%4.3%12.1%24.3%19.8%5.7%0.4%-100.8K-6.2M-75.5K4.8255.08N/AN/A391885,62222,890
2013-08-05$36.57$35.0015.3%3.6%11.9%25.1%19.2%6.0%2.8%-16.4K-6.1M-73.3K0.1674.40N/AN/A378625,63422,848
2013-08-06$36.41$35.0016.7%5.1%12.2%31.3%16.8%4.8%2.5%-16.4K-5.6M-75.7K1.1764.50N/AN/A2803275,86922,880
2013-08-07$36.58$35.0015.8%3.6%12.1%27.3%15.7%6.9%3.4%-15.0K-6.7M-77.6K17.7574.23N/AN/A4267,5626,09323,176
2013-08-08$37.10$35.0015.0%4.8%9.5%23.8%18.0%5.1%2.7%-24.3K-7.9M-101.2K0.1976.04N/AN/A1,0381956,43725,881
2013-08-09$37.07$36.0015.3%4.6%8.8%25.4%17.5%5.2%2.9%-37.7K-8.3M-101.6K0.6269.91N/AN/A1771106,74726,067
2013-08-12$36.94$36.0015.6%4.4%9.2%26.7%15.7%5.5%3.4%-33.4K-7.3M-104.0K0.1773.84N/AN/A337566,81926,036
2013-08-13$37.11$36.0014.2%4.3%9.1%20.2%15.3%6.1%3.7%-128.9K-8.4M-103.7K0.6665.46N/AN/A1831216,93626,091
2013-08-14$37.13$36.0015.3%4.4%9.1%25.0%17.3%4.7%3.7%-2.2K-9.4M-98.2K0.3166.24N/AN/A4131266,95426,204
2013-08-15$37.11$36.0017.3%5.0%8.6%34.0%20.4%5.6%2.3%-49.1K-5.8M-103.3K0.6166.76N/AN/A3622226,40825,463
2013-08-16$37.29$36.0016.8%4.8%8.6%32.0%16.9%5.0%2.5%-45.7K-6.6M-103.7K0.3271.56N/AN/A111356,32525,676
2013-08-19$36.81$36.0012.6%3.6%10.3%13.1%20.6%5.9%2.3%-482.9K-1.5M-106.0K13.1159.57N/AN/A801,0495,31817,348
2013-08-20$36.74$36.0012.9%3.7%10.4%14.4%15.5%7.3%1.8%-566.5K-83.5K-110.5K0.5076.04N/AN/A24125,37818,347
2013-08-21$36.36$36.0018.9%5.4%11.0%40.9%21.6%4.8%1.2%-663.3K1.2M-111.0K5.5253.90N/AN/A884865,40018,348
2013-08-22$36.93$36.0012.6%3.6%12.0%13.5%17.4%6.1%2.6%-523.0K-1.2M-107.5K1.8069.78N/AN/A711285,47818,770
2013-08-23$37.17$36.0015.3%4.4%12.1%25.2%25.6%5.9%2.9%-414.5K-3.0M-103.6K3.4344.52N/AN/A421445,52018,844
2013-08-26$36.91$36.0011.4%3.3%12.3%8.0%16.3%6.5%3.7%-382.6K-3.0M-100.9K5.1061.47N/AN/A211075,55518,884
2013-08-27$35.91$36.0013.7%3.9%16.0%18.0%11.9%8.5%3.3%-757.3K2.6M-110.5K3.1265.50N/AN/A1273965,57018,952
2013-08-28$35.83$36.0014.5%4.1%15.9%21.5%24.3%7.3%2.2%-931.7K5.0M-118.6K0.4769.26N/AN/A53255,65519,310
2013-08-29$35.69$36.0013.9%4.0%15.0%19.0%17.5%7.1%1.2%-975.2K5.7M-117.0K0.5745.99N/AN/A97555,69119,331
2013-08-30$35.27$36.0021.0%6.0%15.3%50.4%20.7%3.8%-1.0%-1.2M9.3M-122.1K6.3538.62N/AN/A171085,75819,383