FEZ Options History — September 2014

In September 2014, FEZ traded between $39.64 and $41.69. ATM implied volatility averaged 13.7%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.7% (HV 20d: 12.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.91.

Notable Days

  • 2014-09-15: Highest Volume — 7,854 contracts
  • 2014-09-05: Largest IV spike — 109.7% change
  • 2014-09-03: Highest IV Rank — 65.7%
  • 2014-09-29: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.82$39.64$41.69$40.87$39.70
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV13.7%6.5%18.2%14.9%16.7%
Expected Move4.4%4.0%4.9%4.4%4.9%
HV 20d12.0%10.5%14.5%14.5%13.4%
HV 60d14.7%14.0%15.2%14.7%14.9%
IV Rank42.8%0.0%65.7%43.5%60.8%
IV Percentile24.6%0.0%82.9%24.6%61.5%
Term Structure1.1%-2.5%10.7%-0.5%-0.1%
VWIV16.3%13.8%18.4%16.5%17.4%
Skew 25d4.0%-0.9%5.3%3.1%4.4%
Skew 10d9.9%4.4%15.6%10.4%13.8%
Call IV 25d13.4%10.2%16.3%14.9%16.3%
Put IV 25d17.4%9.3%20.7%18.0%20.7%
Bid-Ask Spread %50.4143.7855.5650.3253.04
Gamma HHI0.210.170.270.210.26
Net GEX-2.3M-4.7M408.8K-2.3M-4.6M
Net DEX17.2M-1.4M45.7M14.3M43.3M
Net VEX-211.9K-239.2K-189.7K-214.6K-235.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.910.1116.925.812.35
Total Volume1,775.048877,85487887
Total OI48,910.47645,10954,82645,19851,419

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$40.87$40.0014.9%4.4%14.5%43.5%16.5%3.1%-0.5%-2.3M14.3M-214.6K5.8150.32N/AN/A12974916,46928,729
2014-09-03$41.34$40.0018.2%4.3%13.2%65.7%15.0%1.9%-2.5%-1.5M6.5M-212.1K1.6444.23N/AN/A35257716,58229,184
2014-09-04$41.47$40.006.5%4.4%13.2%0.0%15.4%-0.9%10.7%-316.6K-1.4M-201.7K1.6844.11N/AN/A49983716,79029,669
2014-09-05$41.69$40.0013.6%4.0%11.7%42.7%16.9%5.3%1.7%-430.9K-999.6K-197.8K4.4844.33N/AN/A11852917,04430,035
2014-09-08$41.17$40.0012.4%4.3%12.0%35.5%14.0%4.3%0.6%-1.4M6.5M-202.4K0.3743.78N/AN/A32011817,09830,394
2014-09-09$41.07$40.0014.7%4.2%12.1%49.3%13.8%5.3%1.2%-2.0M12.4M-199.9K0.5149.73N/AN/A25512917,20430,477
2014-09-10$41.16$40.0013.7%4.2%11.8%43.0%15.8%5.0%0.9%-1.5M8.9M-193.1K0.1152.50N/AN/A4434917,32530,514
2014-09-11$41.01$40.0010.5%4.2%11.8%23.8%16.8%4.6%0.8%-2.5M14.3M-190.4K0.5152.10N/AN/A88345117,68530,546
2014-09-12$40.95$40.009.9%4.1%11.7%20.2%16.1%5.1%2.1%-2.4M11.9M-195.7K0.4552.48N/AN/A60727618,52030,935
2014-09-15$40.99$40.0013.0%4.2%11.5%39.1%16.1%5.2%1.7%-2.4M12.2M-189.7K11.4952.66N/AN/A6297,22518,78330,953
2014-09-16$41.10$40.009.7%4.2%11.3%19.2%18.4%4.5%2.6%-1.2M4.6M-194.9K1.9049.62N/AN/A51297319,08030,327
2014-09-17$40.93$40.0013.3%4.3%11.4%40.9%16.3%5.2%0.9%-2.3M14.9M-199.1K3.6847.99N/AN/A8573,15219,36931,225
2014-09-18$41.28$40.0014.8%4.6%11.4%49.9%16.8%4.2%0.4%-1.0M5.3M-213.2K16.9251.82N/AN/A2854,82119,02133,085
2014-09-19$41.00$40.0014.1%4.6%11.0%45.5%16.3%3.3%1.0%408.8K14.8M-221.6K2.6251.18N/AN/A32585117,92436,902
2014-09-22$40.88$40.0013.8%4.5%10.5%43.9%17.7%3.8%1.3%-3.2M18.7M-210.2K0.8355.56N/AN/A2,4172,00114,77230,337
2014-09-23$40.27$40.0015.8%4.7%10.6%56.0%16.8%4.0%0.2%-3.6M29.3M-236.2K1.7353.62N/AN/A8111,39916,58931,761
2014-09-24$40.65$40.0013.8%4.5%10.8%43.8%17.5%3.9%0.7%-3.5M24.4M-239.2K1.1051.78N/AN/A13014316,90332,899
2014-09-25$39.86$40.0015.6%4.7%12.7%54.2%16.0%4.1%0.5%-4.4M40.3M-237.6K1.0354.15N/AN/A34135016,92932,957
2014-09-26$40.13$40.0015.8%4.8%12.8%55.9%17.0%4.2%0.3%-4.1M35.0M-232.7K0.7651.02N/AN/A86265616,85032,945
2014-09-29$39.64$40.0017.4%4.9%13.4%65.1%16.6%4.3%-0.7%-4.7M45.7M-232.6K1.1752.53N/AN/A52060817,43433,456
2014-09-30$39.70$40.0016.7%4.9%13.4%60.8%17.4%4.4%-0.1%-4.6M43.3M-235.2K2.3553.04N/AN/A266117,67333,746