FEZ Options History — June 2019

In June 2019, FEZ traded between $36.59 and $38.88. ATM implied volatility averaged 14.7%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 1.3% (HV 20d: 15.9%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.13.

Notable Days

  • 2019-06-21: Highest Volume — 92,979 contracts
  • 2019-06-06: Largest IV drop — 8.4% change
  • 2019-06-03: Highest IV Rank — 58.1%
  • 2019-06-03: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.87$36.59$38.88$36.59$38.26
Max Pain$37.15$36.00$38.00$36.00$38.00
ATM IV14.7%12.6%18.6%18.6%12.7%
Expected Move4.3%3.6%6.2%6.2%3.7%
HV 20d15.9%14.2%19.5%18.3%14.2%
HV 60d14.4%13.8%14.7%14.2%14.2%
IV Rank30.8%16.6%58.1%58.1%17.5%
IV Percentile39.7%12.3%79.0%79.0%13.5%
Term Structure-0.2%-1.9%1.8%-0.8%0.1%
VWIV16.3%12.6%25.3%25.3%15.9%
Skew 25d4.6%3.1%6.6%5.0%3.5%
Skew 10d8.7%5.9%12.4%7.9%7.2%
Call IV 25d12.2%9.3%15.1%15.1%11.6%
Put IV 25d16.9%14.8%20.0%20.0%15.1%
Bid-Ask Spread %20.2011.3932.4923.2013.09
Gamma HHI0.150.100.190.110.19
Net GEX6.3M-1.5M15.0M388.7K4.3M
Net DEX-25.4M-101.7M37.8M37.8M-5.9M
Net VEX-938.7K-996.6K-866.8K-974.0K-887.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.073.291.813.21
Total Volume12,358.661792,9799714,935
Total OI175,886.25121,359196,885187,253132,704

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$36.59$36.0018.6%6.2%18.3%58.1%25.3%5.0%-0.8%388.7K37.8M-974.0K1.8123.20N/AN/A34562685,919101,334
2019-06-04$37.24$36.0018.0%6.1%19.5%54.0%24.3%5.7%-0.8%3.6M-5.8M-973.0K0.3715.97N/AN/A3,4291,26683,927101,873
2019-06-05$37.17$36.0017.6%6.1%17.0%51.3%24.0%4.9%-0.9%2.5M757.0K-954.1K0.4714.60N/AN/A3,4321,61883,660102,724
2019-06-06$37.41$37.0016.1%4.5%16.7%41.0%16.7%5.5%-0.0%4.6M-15.1M-990.3K1.2025.90N/AN/A3,8454,61383,988105,687
2019-06-07$37.92$37.0015.8%4.2%17.3%38.5%16.7%4.5%-0.6%9.7M-52.3M-956.5K1.9627.74N/AN/A5,81311,39684,152106,433
2019-06-10$37.92$37.0015.4%4.2%17.2%35.8%16.0%5.2%-0.7%9.0M-44.5M-973.9K1.0423.60N/AN/A67369786,216105,229
2019-06-11$38.14$37.0015.0%4.2%15.1%33.2%15.9%3.6%-0.5%12.8M-69.5M-945.4K3.2915.34N/AN/A8782,88786,807105,748
2019-06-12$37.85$37.0014.7%4.1%15.1%31.3%15.4%4.1%-0.6%9.2M-42.5M-967.1K1.0324.07N/AN/A2,0042,06586,924107,204
2019-06-13$37.86$37.0014.4%4.0%14.9%28.7%12.6%5.1%-0.6%10.0M-39.3M-996.6K0.8216.23N/AN/A3,0582,49689,217107,479
2019-06-14$37.61$37.0014.1%3.9%14.7%27.2%12.7%4.9%-1.9%8.7M-22.7M-974.7K0.8516.62N/AN/A3,3862,87988,936107,823
2019-06-17$37.61$37.0013.9%3.9%14.5%25.3%15.9%6.1%1.8%8.4M-27.3M-950.7K3.1418.40N/AN/A14946888,441105,583
2019-06-18$38.31$37.0014.0%4.0%15.4%26.5%15.6%5.5%-1.3%13.4M-66.4M-933.0K1.4921.65N/AN/A9441,40388,472105,958
2019-06-19$38.52$37.0013.1%3.7%15.4%19.7%16.3%5.0%0.8%15.0M-82.9M-936.9K0.8617.55N/AN/A2,6102,25488,779106,739
2019-06-20$38.88$37.0012.6%3.6%15.6%16.6%14.7%6.6%0.5%9.1M-101.7M-926.1K0.1532.49N/AN/A41,8916,10789,246107,639
2019-06-21$38.16$38.0013.2%3.8%16.3%20.5%13.4%3.3%-0.0%735.6K-34.0M-886.9K0.0822.80N/AN/A86,4236,55674,339110,877
2019-06-24$38.12$38.0013.8%4.0%15.8%24.5%13.0%3.7%0.2%-629.4K21.9M-872.0K0.5022.04N/AN/A85642636,07585,284
2019-06-25$37.88$38.0013.6%3.9%15.5%23.1%13.7%3.6%-0.0%-1.5M28.7M-866.8K0.0918.86N/AN/A10,22387536,05585,469
2019-06-26$37.95$38.0013.3%3.9%14.9%21.6%13.8%3.1%0.4%3.2M7.0M-907.0K0.0711.39N/AN/A10,53577946,35385,976
2019-06-27$38.00$38.0013.4%3.9%14.9%21.8%13.8%3.3%0.2%3.3M6.2M-901.7K0.1722.40N/AN/A10,5481,78446,38986,067
2019-06-28$38.26$38.0012.7%3.7%14.2%17.5%15.9%3.5%0.1%4.3M-5.9M-887.7K3.2113.09N/AN/A1,1723,76346,44286,262