FEZ Options History — May 2014

In May 2014, FEZ traded between $43.03 and $44.26. ATM implied volatility averaged 16.2%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.1% (HV 20d: 11.1%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.75.

Notable Days

  • 2014-05-13: Highest Volume — 6,760 contracts
  • 2014-05-15: Largest IV spike — 102.9% change
  • 2014-05-15: Highest IV Rank — 40.5%
  • 2014-05-06: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.58$43.03$44.26$43.77$44.26
Max Pain$43.62$40.00$44.00$40.00$44.00
ATM IV16.2%9.1%18.4%14.3%18.0%
Expected Move5.1%4.1%5.6%4.1%5.2%
HV 20d11.1%9.9%13.6%13.0%10.4%
HV 60d15.0%13.2%16.0%15.9%13.2%
IV Rank27.5%0.0%40.5%14.3%38.8%
IV Percentile41.6%0.0%71.8%4.8%69.8%
Term Structure-1.5%-3.0%3.3%3.3%-3.0%
VWIV18.2%14.7%20.2%14.7%17.2%
Skew 25d3.9%1.9%5.3%2.8%1.9%
Skew 10d9.4%4.1%14.5%8.3%6.1%
Call IV 25d15.8%12.9%17.8%14.8%16.2%
Put IV 25d19.7%17.5%22.1%17.6%18.1%
Bid-Ask Spread %83.2970.79100.7194.1094.99
Gamma HHI0.170.130.330.150.33
Net GEX-713.6K-2.2M735.9K735.9K-554.2K
Net DEX-3.3M-15.4M14.0M-15.4M-8.9M
Net VEX-135.2K-152.5K-79.1K-137.4K-79.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.0720.952.820.21
Total Volume924.191146,760710829
Total OI33,929.14326,03140,90735,68730,210

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$43.77$40.0014.3%4.1%13.0%14.3%14.7%2.8%3.3%735.9K-15.4M-137.4K2.8294.10N/AN/A18652410,84824,839
2014-05-02$43.45$40.0016.4%4.7%13.3%24.1%16.3%4.6%2.1%302.3K-14.6M-113.6K3.92100.71N/AN/A20178810,96425,297
2014-05-05$43.50$44.0017.7%5.5%13.3%30.6%19.7%4.5%-2.2%308.1K-10.2M-140.9K1.2370.79N/AN/A27433711,04125,913
2014-05-06$43.25$44.0016.8%5.6%13.4%26.4%20.2%4.3%-2.5%241.1K-5.2M-152.5K0.6075.70N/AN/A39723711,10726,222
2014-05-07$43.59$44.0014.1%5.3%13.6%13.3%20.0%5.3%-0.8%334.5K-9.3M-148.3K5.3373.00N/AN/A4322911,26626,432
2014-05-08$43.69$44.0013.9%5.1%12.9%12.1%17.5%4.8%-1.5%240.2K-11.3M-145.0K0.3971.28N/AN/A31212211,28926,585
2014-05-09$43.40$44.0016.4%5.4%10.1%24.3%18.6%4.3%-1.6%345.4K-8.2M-147.1K0.4672.39N/AN/A783611,42026,545
2014-05-12$43.84$44.0014.2%5.1%10.3%13.9%17.1%4.5%-2.2%47.5K-12.6M-135.0K0.3773.74N/AN/A40415011,10126,551
2014-05-13$43.67$44.0013.1%5.0%10.4%8.3%19.7%4.5%-0.5%97.1K-10.4M-136.5K20.9578.24N/AN/A3086,45211,07826,652
2014-05-14$43.63$44.009.1%4.8%10.1%0.0%19.1%3.7%-1.8%-419.1K-7.7M-148.1K3.3484.23N/AN/A9732411,24029,667
2014-05-15$43.12$44.0018.4%5.3%10.3%40.5%19.0%3.8%-2.5%-809.7K365.0K-152.3K0.5070.80N/AN/A54527511,20429,174
2014-05-16$43.28$44.0017.7%5.1%10.2%37.3%17.2%3.2%-1.8%-1.6M-10.2M-107.8K0.3185.96N/AN/A35211011,41829,413
2014-05-19$43.29$44.0018.0%5.1%10.2%38.6%18.3%4.5%-1.2%-2.0M12.1M-143.8K1.0382.56N/AN/A6126286,07119,960
2014-05-20$43.03$44.0017.5%5.0%9.9%36.5%18.3%3.9%-2.0%-2.2M14.0M-149.5K2.2376.45N/AN/A3146996,56820,311
2014-05-21$43.44$44.0017.5%5.0%10.4%36.4%17.2%3.6%-2.3%-2.0M9.8M-144.9K0.3186.04N/AN/A255806,83220,992
2014-05-22$43.32$44.0017.9%5.1%10.5%38.4%19.0%3.9%-1.7%-2.1M11.5M-151.3K0.8788.17N/AN/A2892526,95521,039
2014-05-23$43.54$44.0016.1%4.6%10.0%30.7%16.3%4.2%-2.4%-2.0M8.9M-147.1K0.0790.53N/AN/A193137,16521,278
2014-05-27$44.08$44.0017.8%5.1%10.7%37.9%18.4%2.9%-2.9%-485.2K-7.1M-83.6K2.5087.46N/AN/A4651,1627,29921,288
2014-05-28$43.95$44.0017.4%5.0%10.5%36.1%18.9%3.0%-1.8%-1.7M3.5M-138.5K2.6795.65N/AN/A691847,59021,950
2014-05-29$44.09$44.0017.8%5.1%10.3%37.9%18.8%3.6%-1.2%-1.7M2.6M-136.5K7.5796.22N/AN/A685157,64122,097
2014-05-30$44.26$44.0018.0%5.2%10.4%38.8%17.2%1.9%-3.0%-554.2K-8.9M-79.1K0.2194.99N/AN/A6841457,68622,524