FEZ Options History — February 2020

In February 2020, FEZ traded between $35.61 and $40.78. ATM implied volatility averaged 16.3%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.2% (HV 20d: 16.6%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 8.02.

Notable Days

  • 2020-02-21: Highest Volume — 25,196 contracts
  • 2020-02-24: Largest IV spike — 46.1% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.45$35.61$40.78$39.28$35.61
Max Pain$39.89$39.00$40.00$39.00$40.00
ATM IV16.3%10.5%38.8%14.5%38.8%
Expected Move4.9%3.0%12.9%4.3%12.9%
HV 20d16.6%12.4%23.1%12.4%23.1%
HV 60d12.3%10.3%16.4%10.3%16.4%
IV Rank44.9%8.2%100.0%45.2%100.0%
IV Percentile52.4%4.8%100.0%68.7%100.0%
Term Structure-0.4%-4.4%1.1%0.1%-4.4%
VWIV17.7%11.9%36.7%18.6%36.1%
Skew 25d6.3%3.8%19.6%4.8%19.6%
Skew 10d12.9%8.2%37.3%10.1%37.3%
Call IV 25d13.8%9.7%31.4%12.7%31.4%
Put IV 25d20.1%13.5%51.0%17.5%51.0%
Bid-Ask Spread %12.343.8642.0712.3042.07
Gamma HHI0.350.130.600.300.22
Net GEX2.5M-10.7M19.4M-7.4M-5.0M
Net DEX22.6M-41.2M120.6M48.0M120.6M
Net VEX-452.3K-486.8K-412.8K-456.7K-467.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.020.0141.8540.104.98
Total Volume5,693.63229425,1963,4119,443
Total OI86,254.94764,167105,35670,85975,589

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$39.28$39.0014.5%4.3%12.4%45.2%18.6%4.8%0.1%-7.4M48.0M-456.7K40.1012.30N/AN/A833,32814,36456,495
2020-02-04$39.99$39.0013.0%3.6%14.2%31.3%12.6%4.4%0.2%-6.5M28.9M-436.4K0.953.86N/AN/A4,9964,73014,42759,241
2020-02-05$40.44$40.0012.5%3.5%14.8%26.7%12.4%4.3%0.1%-4.7M11.4M-454.0K0.054.48N/AN/A7,87340119,22763,709
2020-02-06$40.61$40.0012.2%3.3%14.6%23.9%13.0%3.8%0.2%1.2M-12.6M-463.5K1.177.12N/AN/A8921,04126,98663,899
2020-02-07$40.33$40.0012.4%3.8%14.8%25.3%12.0%4.5%0.0%497.4K2.3M-486.8K0.0118.14N/AN/A5,6065927,80764,636
2020-02-10$40.33$40.0011.8%3.7%14.7%19.5%15.4%4.8%1.1%6.2M-9.1M-486.3K1.009.52N/AN/A21621632,94264,056
2020-02-11$40.56$40.0011.9%3.1%14.9%21.3%12.6%4.2%-1.1%7.3M-24.8M-467.5K5.295.24N/AN/A1,1876,28333,02264,126
2020-02-12$40.78$40.0010.8%3.1%15.0%10.2%12.8%3.9%-0.1%8.7M-41.2M-450.6K0.095.35N/AN/A3,47330333,99864,326
2020-02-13$40.47$40.0012.3%3.8%15.2%25.1%15.1%4.2%0.9%11.7M-26.2M-466.4K0.115.54N/AN/A4,04544837,30964,390
2020-02-14$40.43$40.0012.1%3.7%15.1%22.5%11.9%4.2%1.0%17.7M-27.6M-466.0K0.0410.45N/AN/A7,62126940,80764,549
2020-02-18$40.31$40.0013.2%3.8%15.1%32.8%14.5%4.6%-1.1%12.9M-8.2M-427.4K0.425.12N/AN/A1,07444835,06458,790
2020-02-19$40.53$40.0010.5%3.0%15.0%8.2%12.8%4.2%0.9%19.4M-28.4M-418.6K0.914.91N/AN/A15414035,31059,165
2020-02-20$40.25$40.0013.1%3.8%15.1%32.2%13.2%4.6%-0.5%14.3M688.8K-412.8K41.8513.16N/AN/A743,09735,42959,331
2020-02-21$39.95$40.0013.8%4.0%15.3%38.4%15.7%5.2%-0.7%-10.7M37.1M-414.2K0.8723.16N/AN/A13,44511,75135,45060,898
2020-02-24$38.35$40.0020.1%6.0%21.0%98.4%22.0%7.4%-0.5%-3.9M71.7M-445.8K6.0416.52N/AN/A2931,77016,90447,263
2020-02-25$37.40$40.0023.8%6.9%21.4%100.0%25.3%8.5%-1.1%-3.9M87.4M-441.9K29.1913.20N/AN/A2477,21016,98848,588
2020-02-26$37.36$40.0022.8%6.9%20.9%93.1%23.0%9.3%-0.8%-5.0M95.8M-468.4K0.3314.44N/AN/A1,31143517,12954,283
2020-02-27$36.55$40.0030.4%9.3%21.8%100.0%36.7%13.2%-1.7%-4.3M103.5M-463.8K18.9919.92N/AN/A2114,00618,22254,125
2020-02-28$35.61$40.0038.8%12.9%23.1%100.0%36.1%19.6%-4.4%-5.0M120.6M-467.4K4.9842.07N/AN/A1,5807,86318,25757,332