FEZ Options History — December 2019

In December 2019, FEZ traded between $39.16 and $40.93. ATM implied volatility averaged 11.7%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.2% (HV 20d: 8.4%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.82.

Notable Days

  • 2019-12-02: Highest Volume — 32,254 contracts
  • 2019-12-30: Largest IV spike — 20.2% change
  • 2019-12-03: Highest IV Rank — 26.4%
  • 2019-12-03: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.20$39.16$40.93$39.23$40.67
Max Pain$39.19$38.00$40.00$38.00$40.00
ATM IV11.7%9.7%14.0%13.0%12.5%
Expected Move3.4%2.6%4.6%4.1%3.6%
HV 20d8.4%5.6%10.2%6.0%9.1%
HV 60d11.0%9.4%11.4%11.2%9.6%
IV Rank11.4%0.0%26.4%19.3%21.9%
IV Percentile15.7%0.0%50.8%32.5%29.0%
Term Structure0.4%-1.1%1.7%0.2%0.4%
VWIV12.6%6.9%20.7%15.9%11.6%
Skew 25d4.3%3.5%5.5%4.0%4.2%
Skew 10d8.9%7.2%11.1%8.6%11.1%
Call IV 25d9.9%7.1%11.3%10.9%10.5%
Put IV 25d14.1%12.2%16.7%14.9%14.7%
Bid-Ask Spread %8.354.9616.5111.435.52
Gamma HHI0.600.420.740.460.72
Net GEX16.7M7.6M25.0M10.1M21.2M
Net DEX-68.8M-144.7M-25.0M-25.0M-62.9M
Net VEX-571.4K-671.4K-484.1K-632.1K-484.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.0311.290.081.25
Total Volume4,480.47619632,25432,254522
Total OI164,302.81139,197192,426192,426139,519

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$39.23$38.0013.0%4.1%6.0%19.3%15.9%4.0%0.2%10.1M-25.0M-632.1K0.0811.43N/AN/A29,7732,481102,11290,314
2019-12-03$39.16$38.0014.0%4.6%5.6%26.4%18.3%5.5%0.1%8.7M-26.4M-671.4K0.3310.12N/AN/A9,1213,00290,42990,535
2019-12-04$39.58$38.0012.7%4.1%6.9%17.3%14.6%4.6%0.3%11.1M-45.8M-651.0K0.2516.51N/AN/A8,5832,16183,56192,357
2019-12-05$39.56$39.0012.7%3.4%6.8%17.1%10.5%4.9%0.2%8.7M-38.4M-613.6K0.196.64N/AN/A2,60748477,38394,385
2019-12-06$39.77$39.0011.0%3.3%7.1%5.4%13.9%4.1%0.6%11.3M-51.1M-610.9K2.2115.59N/AN/A1,0722,37476,64994,753
2019-12-09$39.50$39.0013.0%4.1%7.5%19.5%13.5%4.6%1.0%7.6M-28.7M-592.0K11.296.06N/AN/A1071,20876,65694,352
2019-12-10$39.59$39.0012.7%3.4%7.5%17.4%12.5%4.3%-0.9%8.2M-33.5M-577.4K0.529.85N/AN/A47124376,65395,251
2019-12-11$39.93$39.0012.0%3.5%8.1%12.2%20.7%4.7%0.2%12.4M-49.7M-590.0K10.316.11N/AN/A1271,30976,76295,467
2019-12-12$40.30$39.0011.4%3.7%8.7%8.0%12.0%4.5%1.7%16.2M-92.1M-593.9K0.276.21N/AN/A1,58842776,76495,978
2019-12-13$40.50$39.0011.9%3.7%8.8%11.5%12.8%3.9%1.5%19.0M-112.7M-598.4K1.6815.85N/AN/A6571,10477,36296,307
2019-12-16$40.91$39.0010.3%3.0%9.2%0.8%11.8%3.5%0.3%25.0M-144.7M-595.4K0.775.59N/AN/A2,5731,98377,70496,242
2019-12-17$40.67$39.0010.3%2.9%9.6%0.6%10.4%4.1%1.4%22.6M-121.6M-600.7K0.225.47N/AN/A1,01521977,82497,644
2019-12-18$40.50$39.0012.0%3.4%9.7%12.3%9.8%4.1%-1.1%22.4M-103.8M-581.1K0.174.96N/AN/A10,8931,89178,49497,795
2019-12-19$40.50$39.0011.4%3.3%9.3%8.1%9.6%4.3%-0.6%18.6M-93.3M-538.2K0.205.09N/AN/A2,63152470,63698,292
2019-12-20$40.56$40.009.7%2.6%9.3%0.0%6.9%5.1%1.4%19.6M-92.4M-534.6K1.017.27N/AN/A53053665,65998,627
2019-12-23$40.64$40.0010.3%2.9%9.3%4.0%9.6%3.6%0.5%21.9M-59.4M-529.6K0.775.62N/AN/A15612056,52882,669
2019-12-24$40.51$40.0010.3%2.9%9.4%4.1%10.5%3.5%0.4%20.3M-51.9M-509.4K3.086.78N/AN/A4814856,65882,868
2019-12-26$40.69$40.0010.9%3.0%9.5%8.3%11.3%3.7%0.5%22.7M-65.4M-501.0K0.058.63N/AN/A7523756,45682,995
2019-12-27$40.93$40.0010.4%2.9%9.6%4.8%10.0%3.8%0.5%23.2M-90.6M-500.8K0.036.07N/AN/A279957,16783,119
2019-12-30$40.56$40.0012.5%3.6%10.2%19.9%19.1%4.5%0.0%19.5M-56.0M-493.3K3.5110.03N/AN/A7225357,15082,283
2019-12-31$40.67$40.0012.5%3.6%9.1%21.9%11.6%4.2%0.4%21.2M-62.9M-484.1K1.255.52N/AN/A23229057,19882,321