FEZ Options History — September 2019

In September 2019, FEZ traded between $36.51 and $38.12. ATM implied volatility averaged 13.7%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.0% (HV 20d: 12.7%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 21.14.

Notable Days

  • 2019-09-10: Highest Volume — 80,368 contracts
  • 2019-09-24: Largest IV spike — 13.8% change
  • 2019-09-03: Highest IV Rank — 38.7%
  • 2019-09-03: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.61$36.51$38.12$36.51$37.75
Max Pain$36.75$36.00$37.00$37.00$37.00
ATM IV13.7%12.0%15.9%15.9%15.1%
Expected Move4.1%3.7%4.8%4.8%4.3%
HV 20d12.7%9.6%16.9%16.3%9.7%
HV 60d13.7%13.2%14.2%13.9%13.3%
IV Rank23.1%11.2%38.7%38.7%32.9%
IV Percentile29.7%9.5%51.2%51.2%46.0%
Term Structure0.5%-0.7%2.2%-0.2%-0.0%
VWIV16.3%12.7%20.7%15.6%14.7%
Skew 25d5.0%3.8%6.5%6.5%5.2%
Skew 10d10.7%7.2%14.5%12.5%12.5%
Call IV 25d11.8%10.2%13.2%13.0%12.5%
Put IV 25d16.8%14.0%19.5%19.5%17.7%
Bid-Ask Spread %25.5311.3948.6120.1014.48
Gamma HHI0.230.100.620.130.11
Net GEX-7.7M-30.4M2.5M-3.5M-1.1M
Net DEX32.5M5.4M86.8M62.3M22.3M
Net VEX-816.6K-934.8K-759.9K-826.6K-838.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio21.140.07139.0122.650.44
Total Volume10,982.6536580,3682,673499
Total OI169,715.5142,869225,823142,869158,166

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$36.51$37.0015.9%4.8%16.3%38.7%15.6%6.5%-0.2%-3.5M62.3M-826.6K22.6520.10N/AN/A1132,56050,62792,242
2019-09-04$37.00$37.0014.2%4.2%16.9%26.7%15.9%5.6%0.1%-2.4M43.8M-830.9K1.5917.39N/AN/A1,4202,26450,68194,593
2019-09-05$37.33$36.0012.9%4.4%16.9%17.4%15.9%4.9%0.3%-1.5M33.5M-824.6K3.3434.00N/AN/A9763,25751,76096,494
2019-09-06$37.40$36.0012.1%4.1%16.7%11.6%14.2%4.1%0.3%-1.6M28.0M-827.0K1.7114.87N/AN/A46279152,20898,114
2019-09-09$37.50$36.0012.6%4.2%16.7%15.1%17.8%4.5%1.9%-1.5M24.6M-819.7K2.5411.39N/AN/A10326251,89497,576
2019-09-10$37.50$36.0014.0%4.6%16.2%25.2%20.7%4.6%2.2%-1.7M27.3M-821.4K139.0129.15N/AN/A57479,79451,98897,828
2019-09-11$37.64$36.0013.9%3.8%15.8%24.4%16.0%5.0%-0.7%-30.4M86.8M-934.8K11.8524.34N/AN/A1,21414,38152,322161,736
2019-09-12$38.06$37.0012.0%3.7%11.4%11.2%16.8%4.2%0.8%-23.9M27.9M-859.1K127.4148.61N/AN/A48061,15553,069172,754
2019-09-13$38.12$37.0012.2%3.7%11.3%12.1%13.5%3.8%1.0%-15.0M13.4M-821.6K9.2922.50N/AN/A8577,96453,435148,397
2019-09-16$37.67$37.0013.0%3.7%12.0%17.8%17.7%5.0%1.5%-25.0M51.0M-820.5K9.9411.90N/AN/A5835,79553,014142,870
2019-09-17$37.91$37.0012.9%3.7%11.8%17.5%14.7%5.0%-0.1%-18.1M29.1M-808.8K38.4625.71N/AN/A1405,38553,529139,079
2019-09-18$37.95$37.0013.5%3.9%11.6%21.8%13.6%4.6%-0.3%-17.5M27.3M-783.5K5.3641.97N/AN/A1,3016,97553,664137,055
2019-09-19$38.03$37.0013.3%3.8%11.0%20.1%12.7%4.5%-0.1%-461.0K5.4M-759.9K2.2926.26N/AN/A4621,05954,576134,945
2019-09-20$37.99$37.0012.9%3.7%10.8%17.4%14.9%4.1%0.2%2.5M9.2M-763.2K9.3538.52N/AN/A4340253,380135,274
2019-09-23$37.81$37.0013.1%3.8%9.6%18.7%17.3%5.0%0.7%-1.6M20.7M-771.1K28.9921.27N/AN/A712,05851,29195,850
2019-09-24$37.61$37.0014.9%4.4%9.9%31.4%17.6%5.4%0.5%-2.4M27.2M-768.0K0.7936.34N/AN/A32725851,30496,425
2019-09-25$37.40$37.0015.2%4.5%10.2%33.4%20.6%5.9%0.5%-3.3M40.1M-776.6K6.0911.88N/AN/A1,1577,05051,61596,584
2019-09-26$37.57$37.0015.2%4.4%10.2%33.8%19.0%6.1%0.5%-2.7M33.9M-835.5K1.5617.93N/AN/A37959252,692100,928
2019-09-27$37.49$37.0015.4%4.4%9.6%35.3%16.6%5.8%0.5%-2.9M36.9M-840.5K0.0742.03N/AN/A6,08140953,046101,305
2019-09-30$37.75$37.0015.1%4.3%9.7%32.9%14.7%5.2%-0.0%-1.1M22.3M-838.4K0.4414.48N/AN/A34615358,75799,409