FEZ Options History — January 2020

In January 2020, FEZ traded between $39.01 and $41.22. ATM implied volatility averaged 12.0%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.5% (HV 20d: 10.5%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 5.77.

Notable Days

  • 2020-01-24: Highest Volume — 14,438 contracts
  • 2020-01-27: Largest IV spike — 24.9% change
  • 2020-01-31: Highest IV Rank — 60.9%
  • 2020-01-31: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.47$39.01$41.22$41.22$39.01
Max Pain$39.10$39.00$40.00$40.00$39.00
ATM IV12.0%9.8%16.1%11.2%16.1%
Expected Move3.5%2.9%4.9%3.1%4.9%
HV 20d10.5%9.0%12.5%9.9%12.5%
HV 60d8.8%8.0%10.2%9.9%10.2%
IV Rank21.7%1.4%60.9%11.8%60.9%
IV Percentile24.9%0.4%81.7%7.9%81.7%
Term Structure0.0%-0.8%0.4%0.3%-0.1%
VWIV12.9%10.5%16.7%10.5%15.6%
Skew 25d4.1%3.0%5.7%3.7%5.7%
Skew 10d8.7%6.4%11.3%7.7%11.3%
Call IV 25d10.4%8.5%13.8%9.5%13.8%
Put IV 25d14.5%11.5%19.5%13.1%19.5%
Bid-Ask Spread %5.953.4213.868.467.40
Gamma HHI0.570.100.990.740.28
Net GEX34.9M-9.2M385.1M23.6M-6.9M
Net DEX-24.1M-112.1M60.6M-112.1M60.6M
Net VEX-430.4K-473.5K-378.4K-440.8K-468.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.770.0245.952.030.87
Total Volume3,911.1943114,4381,2773,974
Total OI110,08356,741145,153139,87171,455

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$41.22$40.0011.2%3.1%9.9%11.8%10.5%3.7%0.3%23.6M-112.1M-440.8K2.038.46N/AN/A42285557,33982,532
2020-01-03$40.74$40.0012.8%3.7%10.6%24.4%11.2%4.2%0.0%21.9M-67.2M-473.5K0.094.89N/AN/A3,14929157,59083,217
2020-01-06$40.80$39.0012.2%3.5%10.6%23.8%13.4%5.0%0.0%25.1M-75.2M-449.8K0.675.32N/AN/A64142958,07182,777
2020-01-07$40.59$39.0013.0%3.5%10.8%31.5%15.7%4.6%-0.0%24.1M-53.0M-437.1K0.054.03N/AN/A10,74248757,83883,107
2020-01-08$40.89$39.0011.7%3.4%10.6%19.4%11.5%4.3%0.2%28.9M-81.5M-420.1K2.938.39N/AN/A8702,55356,64883,193
2020-01-09$40.91$39.0011.3%3.3%10.6%15.5%0.0%3.9%0.2%31.3M-80.0M-440.1K4.547.08N/AN/A5582,53456,22685,498
2020-01-10$40.76$39.0010.8%3.2%10.4%10.3%11.7%4.0%0.2%34.7M-61.6M-463.2K1.894.85N/AN/A1,9013,59156,76288,021
2020-01-13$40.85$39.0010.7%3.1%10.0%9.3%14.1%3.4%-0.2%43.3M-62.1M-441.9K0.354.02N/AN/A1,08938454,54189,763
2020-01-14$40.78$39.0010.4%3.1%9.9%7.1%16.7%3.5%0.1%44.2M-47.9M-431.0K2.104.10N/AN/A9271,94654,33990,126
2020-01-15$40.68$39.0011.4%3.0%9.2%16.0%11.3%3.5%-0.8%36.8M-29.8M-416.7K0.023.42N/AN/A1,0581754,33189,800
2020-01-16$40.89$39.009.9%2.9%9.1%1.8%11.3%3.1%0.4%85.5M-48.4M-406.0K1.038.49N/AN/A29330355,19589,810
2020-01-17$41.01$39.009.8%2.9%9.0%1.4%10.5%3.0%0.1%385.1M-95.8M-382.7K0.174.36N/AN/A6,1621,07455,26489,889
2020-01-21$40.70$39.0011.5%3.3%9.5%17.1%10.7%3.4%0.0%-1.7M9.8M-378.4K0.773.76N/AN/A24318812,36644,375
2020-01-22$40.51$39.0011.3%3.2%9.6%14.9%11.9%3.7%-0.1%-1.9M13.0M-382.9K8.694.23N/AN/A3022,62312,42444,520
2020-01-23$40.38$39.0011.3%3.2%9.7%15.5%13.2%3.9%0.0%-2.6M18.7M-389.2K1.304.10N/AN/A54370812,64546,051
2020-01-24$40.27$39.0011.9%3.4%9.7%20.6%11.0%4.1%-0.0%-2.8M19.5M-391.4K29.085.05N/AN/A48013,95812,67146,287
2020-01-27$39.41$39.0014.8%4.4%12.1%48.6%14.3%5.3%-0.2%-8.6M55.6M-460.6K3.574.76N/AN/A4921,75613,06159,487
2020-01-28$39.81$39.0013.0%3.8%12.5%31.2%14.5%4.6%0.4%-8.4M44.2M-451.4K0.254.72N/AN/A1,31332613,43760,560
2020-01-29$39.90$39.0012.6%3.7%12.2%27.8%13.4%4.2%0.2%-8.4M40.6M-443.8K14.7513.86N/AN/A1131,66713,53260,898
2020-01-30$39.75$39.0014.6%4.2%12.2%46.5%14.8%4.9%-0.0%-9.2M47.0M-469.6K45.959.59N/AN/A23810,93513,59962,498
2020-01-31$39.01$39.0016.1%4.9%12.5%60.9%15.6%5.7%-0.1%-6.9M60.6M-468.3K0.877.40N/AN/A2,1301,84413,83357,622