FEZ Options History — August 2019

In August 2019, FEZ traded between $35.44 and $37.05. ATM implied volatility averaged 17.4%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.6% (HV 20d: 15.8%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 4.49.

Notable Days

  • 2019-08-01: Highest Volume — 14,295 contracts
  • 2019-08-14: Largest IV spike — 24.7% change
  • 2019-08-14: Highest IV Rank — 69.3%
  • 2019-08-15: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.26$35.44$37.05$37.05$36.62
Max Pain$37.16$37.00$38.00$38.00$37.00
ATM IV17.4%14.1%20.3%14.1%15.7%
Expected Move5.1%4.2%6.1%4.2%4.7%
HV 20d15.8%10.2%18.8%10.2%17.7%
HV 60d14.2%13.4%14.9%13.7%14.2%
IV Rank48.9%25.7%69.3%25.7%37.3%
IV Percentile66.8%41.3%90.9%41.3%48.8%
Term Structure-0.1%-1.2%1.5%-0.1%0.0%
VWIV19.0%14.6%26.9%14.6%16.6%
Skew 25d5.9%4.3%7.2%4.3%5.3%
Skew 10d11.3%4.5%13.9%8.4%10.7%
Call IV 25d14.6%12.1%16.7%12.1%13.1%
Put IV 25d20.5%16.4%23.9%16.4%18.4%
Bid-Ask Spread %34.797.98105.5867.057.98
Gamma HHI0.160.120.290.160.13
Net GEX-6.1M-18.3M-395.0K-10.2M-3.0M
Net DEX91.9M52.6M144.7M89.1M55.1M
Net VEX-857.5K-896.1K-825.4K-893.7K-832.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.490.2424.252.712.41
Total Volume3,408.27326114,29514,295767
Total OI154,605.727133,440168,799166,321144,051

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$37.05$38.0014.1%4.2%10.2%25.7%14.6%4.3%-0.1%-10.2M89.1M-893.7K2.7167.05N/AN/A3,85410,44163,843102,478
2019-08-02$36.56$37.5016.3%4.8%10.8%41.1%15.7%5.6%0.6%-8.0M110.3M-896.1K1.25105.58N/AN/A1,8492,30864,515102,128
2019-08-05$35.90$38.0019.2%5.5%12.1%61.8%21.0%6.0%-0.5%-6.9M123.7M-849.5K2.4135.04N/AN/A1,1242,71164,00196,168
2019-08-06$36.00$38.0018.1%5.2%12.3%54.4%17.0%6.2%-0.2%-7.1M119.7M-850.4K1.2730.08N/AN/A1,1091,40764,30496,031
2019-08-07$36.33$37.0017.0%5.3%12.9%46.6%19.5%6.4%-0.0%-6.9M105.0M-873.1K6.4828.60N/AN/A9336,04565,36496,683
2019-08-08$36.61$37.0016.2%4.5%13.4%40.4%18.3%5.6%-0.0%-8.3M93.5M-869.8K4.7936.60N/AN/A7813,74265,617100,411
2019-08-09$36.50$37.0015.7%5.1%13.4%37.0%16.9%5.5%0.3%-18.3M105.8M-869.0K3.0341.83N/AN/A3751,13865,964102,835
2019-08-12$36.15$37.0018.0%5.3%13.6%53.5%18.8%6.1%0.4%-8.5M118.4M-850.3K7.5613.86N/AN/A1581,19565,799100,894
2019-08-13$36.55$37.0016.3%4.5%14.4%41.0%16.9%5.3%-0.5%-9.5M98.1M-853.0K5.4227.71N/AN/A14980865,908101,927
2019-08-14$35.51$37.0020.3%5.5%17.2%69.3%22.7%7.2%-1.2%-7.8M144.7M-825.4K4.4330.35N/AN/A6622,93166,012102,643
2019-08-15$35.44$37.0019.8%6.1%17.1%66.1%26.9%7.2%1.5%-8.2M136.1M-831.5K24.2529.75N/AN/A2405,82066,537101,167
2019-08-16$35.90$37.0018.1%5.3%18.0%53.8%21.9%6.2%0.5%-9.4M119.7M-831.6K1.2838.22N/AN/A2,8413,65066,622102,169
2019-08-19$36.23$37.0018.0%5.2%18.4%53.6%17.3%5.9%-0.8%-3.2M72.9M-829.0K0.2430.87N/AN/A5,1721,22346,18687,254
2019-08-20$36.11$37.0017.9%5.1%17.8%52.7%18.4%6.1%-0.6%-2.4M71.2M-865.2K1.1040.33N/AN/A9671,06651,03687,944
2019-08-21$36.57$37.0016.6%4.7%18.6%43.2%19.7%5.6%-0.3%-1.6M54.6M-872.0K4.3034.21N/AN/A3471,49251,66688,630
2019-08-22$36.40$37.0016.5%4.7%18.4%42.8%19.9%5.6%-0.2%-1.7M59.9M-871.6K3.4338.30N/AN/A18162051,84488,896
2019-08-23$35.93$37.0018.8%5.4%18.6%59.0%21.8%6.6%-0.8%-395.0K80.8M-867.8K5.8750.86N/AN/A6273,67851,96789,633
2019-08-26$36.16$37.0018.9%5.5%18.8%59.4%16.6%6.4%-0.3%-3.7M71.9M-863.7K1.8727.16N/AN/A35265850,55191,868
2019-08-27$36.26$37.0016.8%5.0%17.8%44.7%16.9%6.1%0.1%-3.6M68.5M-866.8K0.7812.08N/AN/A14711450,89592,319
2019-08-28$36.23$37.0018.2%5.4%17.7%54.9%23.5%6.0%-0.2%-3.7M69.5M-855.6K11.9617.97N/AN/A2327550,88092,280
2019-08-29$36.67$37.0015.8%4.7%18.3%37.4%17.0%5.5%0.1%-2.7M52.6M-847.1K1.9120.91N/AN/A34465850,88992,517
2019-08-30$36.62$37.0015.7%4.7%17.7%37.3%16.6%5.3%0.0%-3.0M55.1M-832.4K2.417.98N/AN/A22554251,20592,846