FEZ Options History — November 2013

In November 2013, FEZ traded between $39.75 and $41.17. ATM implied volatility averaged 16.2%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.4% (HV 20d: 13.8%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 6.77.

Notable Days

  • 2013-11-21: Highest Volume — 3,468 contracts
  • 2013-11-05: Largest IV spike — 15.1% change
  • 2013-11-05: Highest IV Rank — 31.4%
  • 2013-11-05: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.45$39.75$41.17$40.55$41.17
Max Pain$39.90$37.00$41.00$37.00$40.00
ATM IV16.2%14.7%17.9%15.8%14.8%
Expected Move4.7%4.2%5.2%4.5%4.3%
HV 20d13.8%13.0%14.5%13.2%13.7%
HV 60d14.9%13.9%15.9%14.7%13.9%
IV Rank23.2%16.1%31.4%21.6%16.9%
IV Percentile19.6%6.7%32.5%17.1%8.7%
Term Structure0.5%-0.2%1.6%0.3%0.5%
VWIV17.2%15.4%19.2%16.0%16.3%
Skew 25d4.0%2.8%5.0%4.9%3.6%
Skew 10d11.4%7.8%13.7%13.0%13.0%
Call IV 25d15.0%13.3%17.1%14.3%14.2%
Put IV 25d19.0%16.9%20.9%19.2%17.8%
Bid-Ask Spread %42.4024.3455.0235.6251.39
Gamma HHI0.210.170.320.190.22
Net GEX-468.2K-974.1K-162.1K-338.0K-451.7K
Net DEX-6.8M-11.8M-1.2M-10.5M-8.2M
Net VEX-90.9K-100.0K-80.5K-94.8K-80.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.770.05110.870.920.16
Total Volume519.45323,46816957
Total OI27,434.0519,72431,99830,97424,630

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$40.55$37.0015.8%4.5%13.2%21.6%16.0%4.9%0.3%-338.0K-10.5M-94.8K0.9235.62N/AN/A88817,73923,235
2013-11-04$40.69$41.0015.5%4.7%13.0%20.2%18.1%4.2%1.6%-273.4K-11.8M-89.9K0.8755.02N/AN/A100877,78123,302
2013-11-05$40.12$40.0017.9%5.2%13.9%31.4%18.3%4.5%-0.2%-402.7K-8.1M-88.7K0.0950.74N/AN/A632577,69423,326
2013-11-06$40.59$40.0016.7%4.8%14.3%25.8%17.2%4.7%0.7%-162.1K-11.3M-91.8K0.3847.59N/AN/A5191978,20923,373
2013-11-07$39.75$40.0016.9%5.2%14.1%26.9%18.9%3.8%0.1%-428.3K-5.3M-100.0K0.2145.97N/AN/A5561198,06423,389
2013-11-08$39.87$40.0016.5%4.7%14.2%24.6%17.3%4.7%1.0%-471.9K-5.5M-99.9K1.3339.66N/AN/A891188,16323,473
2013-11-11$40.23$40.0017.4%5.0%14.4%29.2%18.6%4.1%0.2%-351.0K-8.5M-94.1K1.1846.95N/AN/A56668,21923,548
2013-11-12$40.01$40.0017.0%5.1%14.5%27.0%17.6%4.1%0.5%-426.7K-6.9M-94.0K0.8846.12N/AN/A83738,22923,592
2013-11-13$40.19$40.0015.4%5.0%14.2%19.5%17.8%3.9%0.1%-439.6K-8.3M-92.7K0.0638.16N/AN/A576358,28223,643
2013-11-14$40.33$40.0017.5%5.0%13.6%29.8%17.2%4.6%0.0%-244.9K-9.8M-90.1K6.3525.82N/AN/A1006358,41823,386
2013-11-15$40.47$40.0016.4%4.7%13.5%24.2%19.2%5.0%0.8%-289.7K-10.5M-89.0K2.9424.34N/AN/A511508,41123,587
2013-11-18$40.69$40.0015.5%4.4%13.7%20.1%16.7%3.4%0.4%-344.7K-4.8M-86.4K2.0535.94N/AN/A781606,01213,712
2013-11-19$40.45$40.0016.6%4.8%13.1%25.2%16.3%3.9%0.7%-507.5K-3.3M-89.1K0.3142.86N/AN/A221686,06713,857
2013-11-20$39.99$40.0016.5%4.7%13.4%24.9%16.9%3.5%0.6%-565.1K-1.2M-91.1K5.0046.89N/AN/A643206,26413,912
2013-11-21$40.40$40.0016.6%4.8%13.6%25.4%15.4%3.5%0.2%-520.4K-3.1M-87.5K110.8752.45N/AN/A313,4376,28514,154
2013-11-22$40.76$40.0015.2%4.4%14.1%18.5%16.8%3.8%0.4%-974.1K-3.9M-85.5K0.0530.93N/AN/A698356,30317,571
2013-11-25$40.71$40.0015.3%4.4%13.9%18.8%16.0%2.8%0.3%-823.1K-3.5M-96.3K1.1349.72N/AN/A15176,57317,547
2013-11-26$40.93$40.0014.7%4.2%13.8%16.1%16.3%3.6%0.7%-796.4K-4.6M-93.3K0.4443.29N/AN/A4211876,57717,551
2013-11-27$41.10$40.0015.1%4.3%13.7%18.1%16.8%3.2%0.7%-553.8K-7.3M-84.2K0.2338.50N/AN/A91216,90717,696
2013-11-29$41.17$40.0014.8%4.3%13.7%16.9%16.3%3.6%0.5%-451.7K-8.2M-80.5K0.1651.39N/AN/A4986,91417,716