FEZ Options History — February 2014

In February 2014, FEZ traded between $38.94 and $42.37. ATM implied volatility averaged 17.1%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 4.0% (HV 20d: 21.1%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.14.

Notable Days

  • 2014-02-05: Highest Volume — 12,108 contracts
  • 2014-02-07: Largest IV drop — 12.3% change
  • 2014-02-03: Highest IV Rank — 57.0%
  • 2014-02-03: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.28$38.94$42.37$38.94$42.36
Max Pain$40.32$39.00$42.00$39.00$42.00
ATM IV17.1%15.0%23.2%23.2%16.2%
Expected Move5.0%4.3%6.6%6.6%4.6%
HV 20d21.1%16.0%23.6%21.1%16.0%
HV 60d17.9%17.1%18.2%17.7%17.9%
IV Rank27.6%17.7%57.0%57.0%23.2%
IV Percentile34.9%13.1%88.1%88.1%29.8%
Term Structure0.3%-1.2%1.2%-1.2%-0.1%
VWIV17.6%14.7%23.5%23.5%16.0%
Skew 25d4.3%2.5%5.5%4.0%4.9%
Skew 10d11.1%5.5%15.5%7.1%8.1%
Call IV 25d15.6%12.8%22.0%22.0%12.8%
Put IV 25d19.9%16.3%26.0%26.0%17.6%
Bid-Ask Spread %34.1220.1755.7150.2825.54
Gamma HHI0.200.150.420.180.15
Net GEX229.7K-1.7M3.3M-1.7M-500.5K
Net DEX-10.7M-31.5M21.0M21.0M-1.5M
Net VEX-140.5K-178.8K-115.6K-149.8K-146.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.017.360.370.67
Total Volume2,157.7378012,1085311,506
Total OI36,421.73725,01146,74433,83027,909

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$38.94$39.0023.2%6.6%21.1%57.0%23.5%4.0%-1.2%-1.7M21.0M-149.8K0.3750.28N/AN/A3881438,78025,050
2014-02-04$39.29$39.0022.1%6.3%21.4%51.8%20.3%5.1%-0.9%-1.7M18.0M-146.5K0.1250.54N/AN/A274338,92825,053
2014-02-05$39.36$39.0022.2%6.4%20.7%52.0%21.1%4.3%-1.2%-1.5M16.8M-147.3K0.0147.70N/AN/A12,029799,11325,056
2014-02-06$40.24$39.0019.6%5.6%22.5%39.6%20.3%4.5%0.2%3.1M-17.8M-178.8K1.5849.49N/AN/A9731,53620,69125,060
2014-02-07$40.86$40.0017.2%5.1%23.3%28.0%19.5%5.5%0.4%3.3M-31.5M-171.4K0.0328.58N/AN/A6,61222620,64726,097
2014-02-10$40.61$40.0016.8%5.2%23.0%26.4%17.1%5.0%0.1%1.9M-12.8M-153.4K0.1130.92N/AN/A72815,58626,234
2014-02-11$41.26$40.0015.8%4.9%23.6%21.7%17.8%4.4%0.7%1.6M-24.2M-140.7K0.0929.14N/AN/A2,76924815,59026,234
2014-02-12$41.25$40.0015.5%5.0%23.1%20.1%20.0%4.1%0.6%1.1M-21.3M-136.3K0.0930.36N/AN/A2,55622614,50626,323
2014-02-13$41.65$40.0016.0%4.6%22.9%22.2%19.0%5.2%0.9%611.2K-22.9M-126.7K0.2336.47N/AN/A72416613,43326,473
2014-02-14$41.84$40.0015.7%4.5%23.0%21.0%14.7%4.4%1.0%467.4K-27.4M-122.2K1.6927.34N/AN/A24140813,92426,575
2014-02-18$41.99$40.0015.8%4.5%22.6%21.2%16.7%5.1%1.2%146.4K-29.4M-115.6K2.2530.65N/AN/A13329913,98626,518
2014-02-19$41.70$41.0016.3%4.7%22.6%23.7%16.7%3.6%0.6%354.4K-25.9M-117.3K0.1530.06N/AN/A1,36221013,86226,743
2014-02-20$41.90$41.0015.7%4.5%22.6%20.9%15.4%3.3%1.0%-74.9K-23.6M-116.4K7.3655.71N/AN/A4623,40012,85626,455
2014-02-21$42.01$41.0015.4%4.4%22.7%19.7%15.4%4.9%1.2%-130.1K-21.5M-140.0K0.5624.92N/AN/A26314812,84926,678
2014-02-24$42.32$41.0015.7%4.5%17.9%21.1%15.1%4.4%0.4%-813.8K810.5K-134.6K0.2423.60N/AN/A4701136,18918,822
2014-02-25$42.37$41.0015.3%4.4%17.9%19.0%15.9%2.5%0.7%-653.4K-573.8K-131.2K0.1527.35N/AN/A1,6622486,45618,932
2014-02-26$42.14$41.0015.0%4.3%17.6%17.8%15.4%3.6%0.6%-578.1K-374.6K-146.2K4.5429.39N/AN/A683097,91319,139
2014-02-27$42.22$42.0015.0%4.3%16.1%17.7%14.9%3.8%0.5%-612.1K-99.6K-147.5K1.4820.17N/AN/A2553787,96019,393
2014-02-28$42.36$42.0016.2%4.6%16.0%23.2%16.0%4.9%-0.1%-500.5K-1.5M-146.8K0.6725.54N/AN/A9036038,16019,749