FEZ Options History — December 2013

In December 2013, FEZ traded between $39.49 and $42.20. ATM implied volatility averaged 16.8%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.5% (HV 20d: 14.3%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.57.

Notable Days

  • 2013-12-24: Highest Volume — 3,535 contracts
  • 2013-12-03: Largest IV spike — 11.5% change
  • 2013-12-05: Highest IV Rank — 37.9%
  • 2013-12-05: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.62$39.49$42.20$40.86$42.20
Max Pain$40.81$40.00$41.00$40.00$41.00
ATM IV16.8%14.4%19.2%16.2%15.9%
Expected Move4.7%4.1%5.5%4.7%4.6%
HV 20d14.3%12.7%16.0%13.8%15.0%
HV 60d13.9%13.1%14.4%13.9%13.8%
IV Rank26.1%14.8%37.9%23.4%22.1%
IV Percentile30.4%4.8%56.0%22.2%23.4%
Term Structure0.6%-1.9%2.5%0.3%0.4%
VWIV17.1%14.7%22.6%17.0%16.1%
Skew 25d3.0%1.8%4.3%3.3%2.1%
Skew 10d8.9%3.4%15.4%13.2%12.2%
Call IV 25d15.6%13.6%18.1%15.1%14.4%
Put IV 25d18.5%15.4%22.4%18.4%16.5%
Bid-Ask Spread %40.4619.5962.5325.7524.14
Gamma HHI0.250.140.350.250.16
Net GEX-879.8K-2.0M61.3K-603.6K-18.0K
Net DEX-3.8M-12.5M4.6M-6.1M-12.5M
Net VEX-85.9K-102.1K-60.2K-83.4K-76.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.570.0934.359.280.43
Total Volume587.238993,535370572
Total OI25,767.23821,47427,71024,64426,098

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$40.86$40.0016.2%4.7%13.8%23.4%17.0%3.3%0.3%-603.6K-6.1M-83.4K9.2825.75N/AN/A363346,92817,716
2013-12-03$40.31$40.0018.1%5.2%14.6%32.5%19.2%2.7%-0.9%-1.1M-954.1K-97.5K2.6841.01N/AN/A1173146,94017,910
2013-12-04$39.96$40.0019.0%5.4%14.0%36.8%19.4%4.0%-0.6%-1.3M2.0M-96.9K1.4543.38N/AN/A711037,03118,184
2013-12-05$39.62$40.0019.2%5.5%13.6%37.9%22.6%4.3%-1.9%-1.5M4.6M-102.1K2.6740.15N/AN/A421127,05518,244
2013-12-06$40.29$41.0017.1%4.8%12.9%27.9%17.9%3.4%1.0%-1.2M-1.2M-96.2K0.5153.14N/AN/A4572317,06118,324
2013-12-09$40.36$41.0018.1%5.1%12.9%32.5%16.6%3.9%0.4%-1.1M-2.0M-93.8K1.7250.15N/AN/A39677,42318,547
2013-12-10$40.08$41.0017.9%4.6%12.7%31.8%17.2%2.2%2.5%-1.4M-429.5K-94.0K0.4850.39N/AN/A2131027,44318,614
2013-12-11$39.78$41.0018.9%4.9%12.9%36.3%17.2%3.0%0.6%-1.5M1.8M-98.7K1.8650.05N/AN/A44827,60318,647
2013-12-12$39.49$41.0018.6%5.3%13.0%34.8%17.9%3.3%-0.2%-1.7M3.7M-97.7K2.9435.53N/AN/A1434207,64318,669
2013-12-13$39.55$41.0016.9%4.8%12.9%26.6%18.8%2.3%1.8%-2.0M3.9M-94.5K2.7836.11N/AN/A1975477,68919,021
2013-12-16$40.23$41.0017.8%5.1%14.3%31.0%17.5%3.2%0.2%-1.4M-2.6M-85.1K0.9445.49N/AN/A1551467,76519,527
2013-12-17$39.84$41.0017.9%5.1%14.6%31.7%0.0%4.2%0.6%-1.7M1.8M-94.6K1.7539.35N/AN/A36637,83819,655
2013-12-18$40.59$41.0016.0%4.6%16.0%22.3%16.5%3.5%1.0%-756.8K-7.1M-76.1K1.4262.53N/AN/A2763937,81319,716
2013-12-19$40.75$41.0015.1%4.3%15.4%18.0%15.4%3.3%1.2%-531.4K-7.8M-77.0K5.5546.18N/AN/A1659157,88119,829
2013-12-20$40.84$41.0014.4%4.1%15.1%14.8%14.7%3.0%2.5%-350.0K-5.6M-69.7K0.0941.62N/AN/A218206,74620,661
2013-12-23$41.27$41.0014.9%4.3%15.2%17.2%15.1%1.8%1.4%48.7K-8.4M-65.9K0.2242.54N/AN/A9372075,91815,556
2013-12-24$41.38$41.0014.8%4.2%15.2%16.4%15.0%2.3%1.4%61.3K-11.0M-60.2K34.3542.67N/AN/A1003,4356,49515,693
2013-12-26$41.70$41.0014.8%4.2%15.3%16.4%15.2%1.8%0.8%-214.4K-9.8M-83.2K0.2830.34N/AN/A246686,53819,096
2013-12-27$41.88$41.0014.8%4.3%15.3%16.8%15.2%2.2%0.3%-149.1K-10.5M-83.1K0.2919.59N/AN/A234686,60319,089
2013-12-30$42.10$41.0015.6%4.5%15.4%20.5%17.2%2.5%0.8%5.2K-11.7M-78.4K3.2829.49N/AN/A953126,76719,136
2013-12-31$42.20$41.0015.9%4.6%15.0%22.1%16.1%2.1%0.4%-18.0K-12.5M-76.7K0.4324.14N/AN/A3991736,76619,332