FEZ Options History — July 2014

In July 2014, FEZ traded between $40.76 and $43.81. ATM implied volatility averaged 14.4%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.6% (HV 20d: 15.0%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 6.90.

Notable Days

  • 2014-07-18: Highest Volume — 7,298 contracts
  • 2014-07-07: Largest IV spike — 34.0% change
  • 2014-07-31: Highest IV Rank — 55.2%
  • 2014-07-10: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.30$40.76$43.81$43.62$40.76
Max Pain$42.23$42.00$43.00$43.00$42.00
ATM IV14.4%10.7%16.9%11.9%16.9%
Expected Move4.4%4.1%4.7%4.2%4.6%
HV 20d15.0%12.6%17.2%13.5%17.2%
HV 60d12.7%11.9%13.9%12.2%13.9%
IV Rank37.4%11.3%55.2%20.2%55.2%
IV Percentile21.2%0.4%62.3%2.0%62.3%
Term Structure-0.1%-1.6%1.6%0.8%-1.4%
VWIV15.0%9.1%17.6%15.4%16.4%
Skew 25d4.0%2.3%5.1%4.1%3.7%
Skew 10d10.2%6.9%14.6%7.1%14.1%
Call IV 25d13.2%8.9%17.4%10.1%17.4%
Put IV 25d17.2%13.8%21.1%14.2%21.1%
Bid-Ask Spread %36.7731.2654.3633.0938.94
Gamma HHI0.260.170.680.250.20
Net GEX-5.1M-10.6M-1.5M-2.3M-4.8M
Net DEX26.9M2.5M53.5M7.2M44.4M
Net VEX-150.3K-215.1K-118.1K-124.3K-215.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.900.1651.504.761.49
Total Volume2,321.6821297,2984,3182,330
Total OI41,869.54531,36546,85938,98345,673

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$43.62$43.0011.9%4.2%13.5%20.2%15.4%4.1%0.8%-2.3M7.2M-124.3K4.7633.09N/AN/A7503,56812,83426,149
2014-07-02$43.52$43.0011.7%4.2%13.5%18.3%15.1%4.6%0.8%-3.1M9.4M-126.8K0.7032.67N/AN/A765313,41026,625
2014-07-03$43.81$43.0010.7%4.1%12.6%11.3%11.9%4.9%1.6%-1.5M2.5M-124.4K0.2831.26N/AN/A2998313,46826,652
2014-07-07$43.15$43.0014.3%4.3%13.0%37.0%9.1%3.1%1.3%-5.2M15.7M-118.1K4.3234.78N/AN/A12353113,63526,628
2014-07-08$42.53$43.0013.6%4.2%13.7%31.7%14.8%4.1%1.2%-6.7M30.5M-126.5K2.9137.86N/AN/A6871,99913,72927,120
2014-07-09$42.87$42.0013.1%4.3%14.2%28.5%17.4%4.1%0.7%-6.4M22.9M-139.7K1.3432.77N/AN/A11315114,15828,998
2014-07-10$42.19$42.0016.3%4.7%14.8%51.2%17.2%3.9%-0.3%-7.4M38.8M-137.8K31.4054.36N/AN/A1645,14914,25429,081
2014-07-11$42.16$42.0015.1%4.4%14.9%42.8%15.6%3.6%0.2%-8.1M42.5M-151.1K5.0832.47N/AN/A12161514,34331,621
2014-07-14$42.42$42.0014.7%4.3%15.2%39.8%14.4%4.2%0.0%-9.2M35.5M-132.8K9.2634.37N/AN/A2882,66814,36231,928
2014-07-15$42.08$42.0014.5%4.3%15.3%38.7%0.0%4.3%0.4%-8.9M45.6M-131.1K17.7836.58N/AN/A631,12014,61431,932
2014-07-16$42.44$42.0014.1%4.2%15.8%35.3%15.7%2.3%1.0%-8.8M35.3M-131.1K0.1838.33N/AN/A1673014,63832,221
2014-07-17$41.57$42.0016.0%4.3%16.1%48.8%16.7%5.1%-0.9%-8.2M53.5M-129.7K3.9135.20N/AN/A15359814,53230,632
2014-07-18$42.06$42.0015.0%4.4%16.7%42.3%0.0%3.6%0.2%-10.6M38.4M-122.9K51.5035.74N/AN/A1397,15914,54830,688
2014-07-21$41.71$42.0015.7%4.4%14.7%46.8%10.3%4.1%-1.4%-2.5M22.4M-146.7K3.0934.42N/AN/A1,1143,4458,42222,943
2014-07-22$42.00$42.0015.6%4.4%15.1%46.5%0.0%4.1%-1.6%-2.4M19.3M-160.6K1.5538.83N/AN/A1973059,43026,364
2014-07-23$42.09$42.0013.6%4.4%15.1%32.2%15.1%3.1%-0.7%-2.4M18.5M-152.4K1.0739.06N/AN/A6486959,59026,516
2014-07-24$42.44$42.0013.9%4.3%15.5%34.1%14.4%4.7%1.5%-2.2M14.7M-159.8K0.1639.05N/AN/A1,77228310,15327,167
2014-07-25$41.92$42.0014.2%4.3%15.9%36.1%15.8%4.4%-1.4%-2.4M20.3M-172.4K4.1843.13N/AN/A1,0504,38711,61227,289
2014-07-28$41.85$42.0015.0%4.4%15.9%41.8%16.2%4.8%-1.0%-3.0M23.2M-197.6K0.8634.79N/AN/A28524612,54931,199
2014-07-29$41.79$42.0015.2%4.4%15.9%43.7%15.3%2.5%-1.4%-3.1M23.8M-195.2K4.1535.08N/AN/A1,3415,56012,72631,419
2014-07-30$41.73$42.0014.9%4.4%15.5%41.4%17.6%4.0%-1.1%-3.7M27.4M-210.2K1.9436.05N/AN/A18836413,47231,806
2014-07-31$40.76$42.0016.9%4.6%17.2%55.2%16.4%3.7%-1.4%-4.8M44.4M-215.1K1.4938.94N/AN/A9351,39513,60532,068