FEZ Options History — August 2014

In August 2014, FEZ traded between $39.26 and $41.20. ATM implied volatility averaged 15.1%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 1.2% (HV 20d: 16.4%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.24.

Notable Days

  • 2014-08-20: Highest Volume — 3,708 contracts
  • 2014-08-25: Largest IV spike — 44.5% change
  • 2014-08-07: Highest IV Rank — 80.0%
  • 2014-08-07: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.27$39.26$41.20$40.37$40.86
Max Pain$40.81$40.00$41.00$41.00$40.00
ATM IV15.1%8.6%20.4%19.8%13.4%
Expected Move4.7%3.2%5.2%4.9%4.3%
HV 20d16.4%14.6%17.7%16.9%14.6%
HV 60d14.6%13.9%15.2%13.9%14.9%
IV Rank43.8%0.0%80.0%76.2%32.7%
IV Percentile41.6%0.0%97.6%95.2%8.3%
Term Structure0.9%-5.2%4.2%-1.7%0.7%
VWIV16.9%13.9%20.9%16.2%17.1%
Skew 25d4.6%-0.1%8.1%5.5%4.0%
Skew 10d10.2%0.7%17.3%14.9%10.1%
Call IV 25d14.2%9.9%17.1%17.1%12.8%
Put IV 25d18.8%13.2%23.5%22.6%16.8%
Bid-Ask Spread %44.7840.1652.2540.1844.94
Gamma HHI0.270.190.360.210.20
Net GEX-3.7M-5.4M-1.2M-5.0M-2.2M
Net DEX37.6M4.8M66.1M50.3M13.8M
Net VEX-210.3K-225.5K-193.7K-225.5K-218.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.0217.272.860.37
Total Volume1,397.0481483,7081,084380
Total OI45,435.42935,81351,16447,32944,959

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$40.37$41.0019.8%4.9%16.9%76.2%16.2%5.5%-1.7%-5.0M50.3M-225.5K2.8640.18N/AN/A28180314,41732,912
2014-08-04$40.58$41.0016.8%4.7%16.7%54.5%16.0%5.4%2.0%-5.2M45.2M-217.0K1.0340.36N/AN/A55657214,51232,692
2014-08-05$39.85$41.0018.8%4.8%17.1%69.2%17.4%5.1%0.0%-5.3M57.6M-212.3K1.6544.11N/AN/A1,2452,05614,95932,715
2014-08-06$39.85$41.0017.4%5.0%16.6%58.9%16.4%5.7%0.8%-5.0M56.8M-213.7K0.5740.16N/AN/A20311615,30832,728
2014-08-07$39.26$41.0020.4%5.2%16.5%80.0%19.8%7.7%2.6%-5.1M66.1M-208.4K2.2743.94N/AN/A4681,06415,41432,770
2014-08-08$39.84$41.0016.7%5.0%17.7%54.3%17.1%6.3%1.3%-5.2M57.7M-214.3K2.3644.02N/AN/A16939915,80533,385
2014-08-11$39.81$41.0019.0%5.0%17.4%70.5%20.0%6.5%1.5%-5.2M57.1M-208.4K0.7341.45N/AN/A1,08879615,91333,613
2014-08-12$39.61$41.0017.5%5.2%17.4%60.0%18.8%3.8%1.2%-5.4M62.5M-204.4K2.1743.79N/AN/A8611,87216,75433,438
2014-08-13$39.93$41.0015.4%5.2%17.3%45.0%17.1%4.5%2.1%-4.7M54.8M-209.3K1.3344.09N/AN/A37249317,27533,889
2014-08-14$40.15$41.0016.2%5.1%16.2%50.8%16.7%4.6%1.1%-3.4M50.5M-203.5K3.1544.79N/AN/A14445317,33433,432
2014-08-15$39.96$41.0017.1%5.2%15.5%56.9%17.5%4.9%0.8%-4.0M52.9M-203.2K1.2146.36N/AN/A8301,00317,43433,615
2014-08-18$40.26$41.0015.9%4.9%15.7%48.3%15.2%2.5%-2.4%-2.6M26.2M-199.6K1.0545.14N/AN/A47349813,14822,665
2014-08-19$40.36$41.0014.9%4.6%15.4%41.1%14.5%-0.1%-5.2%-2.8M29.2M-203.2K0.0247.46N/AN/A1,3233213,49623,107
2014-08-20$40.09$41.0010.5%4.6%15.4%10.3%14.7%8.1%4.2%-2.8M23.4M-193.7K17.2746.04N/AN/A2033,50513,74223,127
2014-08-21$40.58$41.0013.0%3.2%15.9%27.8%17.0%2.2%-0.7%-3.1M21.3M-208.7K3.2452.25N/AN/A6802,20513,83526,601
2014-08-22$40.21$41.008.6%4.4%15.6%0.0%20.9%1.7%3.7%-3.3M25.7M-219.7K1.1548.39N/AN/A56565114,44127,714
2014-08-25$40.80$41.0012.4%4.2%16.7%26.1%16.2%1.9%0.6%-2.6M15.7M-210.7K0.0645.28N/AN/A1,6789614,91128,284
2014-08-26$41.12$40.009.6%4.2%17.0%6.8%16.7%6.6%3.3%-1.2M6.0M-207.9K1.0045.96N/AN/A39840015,96228,330
2014-08-27$41.20$40.0010.6%4.2%17.0%14.0%15.6%6.1%2.3%-1.2M4.8M-212.7K0.4445.24N/AN/A1034516,21728,503
2014-08-28$40.88$40.0014.0%4.3%15.0%37.1%13.9%3.7%-0.0%-2.1M13.1M-221.5K3.1146.45N/AN/A6319616,26028,528
2014-08-29$40.86$40.0013.4%4.3%14.6%32.7%17.1%4.0%0.7%-2.2M13.8M-218.5K0.3744.94N/AN/A27810216,28428,675