FEZ Options History — February 2015 In February 2015, FEZ traded between $37.01 and $39.38. ATM implied volatility averaged 20.5%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 5.5% (HV 20d: 26.0%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 3.45.
Notable Days 2015-02-13 : Highest Volume — 28,301 contracts2015-02-10 : Largest IV drop — 11.8% change2015-02-09 : Highest IV Rank — 73.6%2015-02-11 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $38.37 $37.01 $39.38 $37.55 $39.24 Max Pain $39.16 $39.00 $40.00 $40.00 $39.00 ATM IV 20.5% 17.0% 24.9% 19.8% 17.4% Expected Move 5.8% 4.9% 7.0% 5.7% 5.0% HV 20d 26.0% 22.9% 27.6% 27.4% 23.6% HV 60d 22.9% 21.1% 23.6% 21.1% 23.1% IV Rank 56.0% 42.0% 73.6% 53.2% 43.7% IV Percentile 77.3% 44.0% 95.2% 78.2% 48.4% Term Structure -0.1% -1.3% 0.9% 0.4% -0.1% VWIV 21.7% 18.0% 25.3% 21.3% 21.4% Skew 25d 5.0% 3.3% 6.3% 5.0% 3.6% Skew 10d 10.1% 4.0% 15.9% 12.7% 6.5% Call IV 25d 18.7% 15.3% 21.4% 18.8% 15.9% Put IV 25d 23.7% 19.0% 27.4% 23.8% 19.5% Bid-Ask Spread % 57.50 30.76 88.31 86.04 70.69 Gamma HHI 0.13 0.11 0.16 0.14 0.12 Net GEX 29.1K -4.3M 3.0M -2.4M 2.4M Net DEX 625.7K -40.9M 52.6M 32.7M -29.4M Net VEX -326.7K -378.1K -275.7K -292.6K -314.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.45 0.27 12.45 1.18 0.62 Total Volume 13,014.368 246 28,301 246 13,606 Total OI 110,686.895 67,674 140,569 112,621 67,674
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-02-02 $37.55 $40.00 19.8% 5.7% 27.4% 53.2% 21.3% 5.0% 0.4% -2.4M 32.7M -292.6K 1.18 86.04 N/A N/A 113 133 28,334 84,287 2015-02-03 $38.49 $40.00 18.9% 5.4% 22.9% 49.7% 18.0% 3.8% 0.9% -825.9K 12.7M -276.8K 3.77 88.31 N/A N/A 2,636 9,946 28,364 84,326 2015-02-04 $37.69 $40.00 20.1% 5.8% 24.0% 54.6% 20.7% 3.3% 0.1% -1.7M 25.8M -275.7K 5.74 62.25 N/A N/A 2,159 12,402 28,720 84,314 2015-02-05 $38.31 $39.00 20.7% 5.9% 24.2% 57.0% 21.1% 5.4% -0.3% -1.4M 19.2M -294.1K 5.92 37.34 N/A N/A 1,784 10,554 29,016 86,996 2015-02-06 $37.33 $39.00 22.4% 6.3% 26.1% 63.7% 21.5% 5.8% -0.2% -3.0M 37.7M -291.6K 3.32 39.87 N/A N/A 5,477 18,194 29,297 87,525 2015-02-09 $37.01 $39.00 24.9% 6.6% 25.5% 73.6% 21.8% 6.0% -1.0% -4.3M 52.6M -313.1K 4.35 43.67 N/A N/A 3,120 13,579 31,788 95,225 2015-02-10 $37.56 $39.00 21.9% 6.2% 25.8% 61.9% 23.9% 6.3% -0.4% -2.4M 32.8M -306.1K 8.54 57.17 N/A N/A 1,634 13,947 31,761 90,872 2015-02-11 $37.27 $39.00 24.3% 7.0% 26.1% 71.3% 25.3% 5.6% -1.3% -3.1M 40.4M -305.0K 6.31 42.72 N/A N/A 2,147 13,558 31,873 91,236 2015-02-12 $38.31 $39.00 22.2% 6.4% 27.6% 63.1% 24.9% 5.2% -0.9% -103.0K 13.2M -285.6K 12.45 67.54 N/A N/A 1,353 16,848 32,011 91,443 2015-02-13 $38.52 $39.00 20.5% 5.9% 27.5% 56.3% 23.4% 5.2% -0.0% -370.6K 14.0M -298.6K 1.06 60.49 N/A N/A 13,736 14,565 32,047 92,847 2015-02-17 $38.54 $39.00 21.0% 6.0% 26.7% 58.3% 22.8% 5.7% -0.4% 1.5M -14.8M -371.2K 0.97 34.41 N/A N/A 13,570 13,130 44,499 93,825 2015-02-18 $38.64 $39.00 20.4% 5.8% 26.6% 55.7% 22.9% 5.9% -0.1% 1.8M -18.2M -366.6K 6.41 67.17 N/A N/A 2,185 14,012 44,124 93,630 2015-02-19 $38.62 $39.00 20.1% 5.8% 26.5% 54.6% 23.9% 5.2% 0.3% 2.1M -17.9M -369.7K 1.28 30.76 N/A N/A 1,663 2,121 44,133 94,834 2015-02-20 $39.21 $39.00 21.2% 6.1% 26.9% 59.0% 23.4% 5.3% -0.2% 2.0M -39.6M -378.1K 0.38 65.14 N/A N/A 4,868 1,858 44,739 95,830 2015-02-23 $38.95 $39.00 19.9% 5.7% 27.0% 53.7% 20.0% 3.4% 0.5% 2.1M -32.2M -375.1K 0.71 66.05 N/A N/A 2,109 1,494 38,712 33,406 2015-02-24 $39.38 $39.00 18.8% 5.4% 26.8% 49.3% 19.4% 5.6% -0.1% 2.5M -39.6M -365.0K 0.90 56.35 N/A N/A 1,826 1,644 36,890 33,802 2015-02-25 $39.30 $39.00 17.3% 5.0% 26.7% 43.3% 19.3% 4.9% 0.4% 2.8M -40.9M -359.0K 1.38 39.07 N/A N/A 1,546 2,126 37,997 34,069 2015-02-26 $39.10 $39.00 17.0% 4.9% 25.2% 42.0% 18.0% 3.7% -0.2% 3.0M -36.8M -368.5K 0.27 77.48 N/A N/A 9,161 2,469 38,177 34,428 2015-02-27 $39.24 $39.00 17.4% 5.0% 23.6% 43.7% 21.4% 3.6% -0.1% 2.4M -29.4M -314.2K 0.62 70.69 N/A N/A 8,389 5,217 33,115 34,559
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