FEZ Options History — October 2013

In October 2013, FEZ traded between $38.48 and $41.14. ATM implied volatility averaged 16.9%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.9% (HV 20d: 14.0%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.95.

Notable Days

  • 2013-10-31: Highest Volume — 7,646 contracts
  • 2013-10-08: Largest IV spike — 17.7% change
  • 2013-10-08: Highest IV Rank — 54.6%
  • 2013-10-08: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.98$38.48$41.14$38.88$40.83
Max Pain$36.52$36.00$37.00$37.00$37.00
ATM IV16.9%14.6%22.7%17.9%15.6%
Expected Move4.8%4.2%6.4%5.1%4.5%
HV 20d14.0%12.3%16.1%14.7%12.8%
HV 60d14.6%13.8%14.9%14.7%14.8%
IV Rank26.6%15.7%54.6%31.8%20.4%
IV Percentile22.0%6.0%72.2%26.6%14.7%
Term Structure1.1%-0.7%2.3%0.3%0.8%
VWIV18.7%14.5%25.9%17.5%16.4%
Skew 25d4.6%2.9%6.7%4.5%3.3%
Skew 10d13.2%7.1%17.8%13.6%7.1%
Call IV 25d15.8%13.8%18.6%16.8%14.7%
Put IV 25d20.4%17.3%25.3%21.2%18.0%
Bid-Ask Spread %47.3323.2375.6571.1523.23
Gamma HHI0.180.140.250.200.15
Net GEX146.9K3.3K333.3K89.9K187.8K
Net DEX-12.6M-17.9M-5.9M-8.5M-14.8M
Net VEX-85.7K-107.4K-63.2K-100.8K-77.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.0015.210.4211.98
Total Volume760.13327,6461057,646
Total OI27,310.47825,53428,52726,80727,317

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$38.88$37.0017.9%5.1%14.7%31.8%17.5%4.5%0.3%89.9K-8.5M-100.8K0.4271.15N/AN/A74316,84419,963
2013-10-02$38.97$37.0018.1%5.2%14.8%32.4%15.7%4.5%0.5%205.4K-9.5M-93.7K3.7475.65N/AN/A311166,83819,973
2013-10-03$38.69$37.0018.1%5.2%15.2%32.5%19.6%5.5%1.1%139.9K-8.1M-98.5K4.1852.06N/AN/A1305446,84220,089
2013-10-04$38.92$36.0018.2%5.2%14.9%32.9%20.2%5.0%0.8%139.4K-9.2M-95.1K0.1462.99N/AN/A211296,96120,483
2013-10-07$38.78$36.0019.3%5.6%14.8%38.1%22.0%5.9%-0.2%57.6K-7.4M-101.6K0.1564.62N/AN/A258397,12420,484
2013-10-08$38.48$36.0022.7%6.4%14.5%54.6%25.9%6.3%-0.7%9.1K-5.9M-106.7K15.2163.17N/AN/A243657,24620,514
2013-10-09$38.60$36.0019.5%5.8%14.2%39.2%25.2%6.7%0.3%96.0K-6.0M-107.4K0.6462.75N/AN/A3432197,26720,834
2013-10-10$39.55$36.0018.1%5.2%16.1%32.2%22.7%5.4%0.8%333.3K-12.3M-97.0K0.0062.79N/AN/A1,43637,48920,990
2013-10-11$39.59$36.0017.3%4.9%16.1%28.4%19.5%5.6%1.2%278.5K-11.5M-90.6K0.6759.83N/AN/A125846,86920,990
2013-10-14$39.76$36.0017.5%5.0%16.0%29.9%20.1%5.4%0.9%197.6K-12.3M-88.8K0.0949.20N/AN/A602526,91021,021
2013-10-15$39.63$36.0017.5%5.0%16.1%29.8%20.7%4.9%0.6%321.2K-13.6M-89.5K0.5246.22N/AN/A124647,45120,989
2013-10-16$40.02$36.0016.6%4.8%12.7%25.4%14.5%4.3%2.3%215.6K-14.6M-86.9K0.5251.05N/AN/A5052617,49721,030
2013-10-17$40.49$36.0016.1%4.6%13.0%22.9%24.8%4.7%1.7%123.9K-16.8M-77.4K0.1042.87N/AN/A341357,36720,951
2013-10-18$40.72$36.0014.6%4.2%12.4%15.7%15.5%3.5%2.0%53.7K-17.9M-74.8K0.8137.04N/AN/A1941587,30320,949
2013-10-21$40.66$37.0014.6%4.2%12.3%15.9%15.6%3.1%2.3%3.3K-14.8M-63.2K0.8228.78N/AN/A2612146,30519,229
2013-10-22$41.13$37.0015.1%4.3%12.7%18.0%16.7%2.9%2.2%13.2K-15.9M-66.2K0.3726.84N/AN/A4131526,53219,400
2013-10-23$40.81$37.0015.1%4.3%13.2%17.8%16.1%4.0%1.8%99.4K-15.0M-75.6K0.0832.41N/AN/A638526,81719,482
2013-10-24$41.14$37.0014.8%4.3%13.3%16.7%15.4%3.8%1.2%91.6K-15.0M-76.0K0.3137.98N/AN/A3221016,66119,526
2013-10-25$41.11$37.0014.9%4.3%13.3%16.9%15.4%4.8%1.7%149.3K-15.2M-73.9K0.3641.08N/AN/A4941776,74719,601
2013-10-28$40.85$37.0015.7%4.5%13.2%20.9%16.5%5.0%1.0%191.5K-14.2M-80.8K0.7025.27N/AN/A2161517,17919,778
2013-10-29$41.12$37.0015.7%4.5%12.9%21.1%16.2%3.8%0.7%185.2K-15.9M-76.2K2.5634.42N/AN/A9237,25719,894
2013-10-30$40.87$37.0015.1%4.3%13.3%18.0%0.0%3.1%1.7%195.6K-15.3M-73.3K0.4637.30N/AN/A148687,25119,897
2013-10-31$40.83$37.0015.6%4.5%12.8%20.4%16.4%3.3%0.8%187.8K-14.8M-77.0K11.9823.23N/AN/A5897,0577,35719,960