FEZ Options History — March 2020 In March 2020, FEZ traded between $24.77 and $37.49. ATM implied volatility averaged 54.2%, placing in the 76.3% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 7.8% (HV 20d: 62.0%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 6.59.
Notable Days 2020-03-05 : Highest Volume — 11,570 contracts2020-03-09 : Largest IV spike — 41.1% change2020-03-09 : Highest IV Rank — 100.0%2020-03-16 : Largest Expected Move — 23.6%Monthly Statistics Metric Avg Min Max Open Close Price $30.38 $24.77 $37.49 $36.50 $29.37 Max Pain $36.86 $36.00 $40.00 $40.00 $36.00 ATM IV 54.2% 23.0% 84.0% 31.5% 48.5% Expected Move 15.7% 7.3% 23.6% 10.1% 14.2% HV 20d 62.0% 24.6% 90.8% 24.9% 90.2% HV 60d 38.6% 17.1% 53.9% 17.3% 53.9% IV Rank 76.3% 45.5% 100.0% 74.9% 52.2% IV Percentile 98.2% 93.7% 100.0% 99.6% 93.7% Term Structure -1.7% -10.1% 5.8% -1.6% 0.0% VWIV 58.2% 25.6% 99.9% 29.0% 45.3% Skew 25d 20.4% 9.9% 37.4% 14.6% 16.5% Skew 10d 38.8% 19.2% 70.2% 24.7% 36.2% Call IV 25d 43.7% 18.8% 74.7% 24.2% 38.2% Put IV 25d 64.0% 28.7% 97.8% 38.9% 54.7% Bid-Ask Spread % 74.28 16.61 98.11 16.61 82.81 Gamma HHI 0.14 0.09 0.72 0.17 0.10 Net GEX -3.1M -24.2M -903.8K -4.2M -1.3M Net DEX 108.4M 82.5M 134.7M 100.7M 88.4M Net VEX -351.1K -559.1K -194.5K -492.4K -277.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 6.59 0.22 45.49 0.50 0.28 Total Volume 3,039.818 151 11,570 2,916 197 Total OI 81,297.727 72,629 96,076 74,975 72,998
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-03-02 $36.50 $40.00 31.5% 10.1% 24.9% 74.9% 29.0% 14.6% -1.6% -4.2M 100.7M -492.4K 0.50 16.61 N/A N/A 1,950 966 19,377 55,598 2020-03-03 $36.42 $40.00 29.5% 9.7% 24.6% 68.1% 33.9% 12.8% -0.9% -4.3M 102.2M -488.4K 2.04 70.97 N/A N/A 529 1,077 19,565 55,810 2020-03-04 $37.49 $40.00 23.0% 7.3% 26.2% 45.5% 25.6% 9.9% -0.9% -4.8M 82.5M -492.8K 0.83 65.00 N/A N/A 5,436 4,491 20,059 55,428 2020-03-05 $36.20 $40.00 31.5% 8.7% 27.9% 74.8% 29.4% 14.1% -1.1% -5.4M 100.8M -538.4K 1.77 16.69 N/A N/A 4,172 7,398 25,201 59,654 2020-03-06 $35.53 $37.00 37.8% 9.8% 28.0% 96.4% 36.2% 16.3% -1.6% -24.2M 119.1M -559.1K 13.25 30.03 N/A N/A 255 3,380 29,181 66,895 2020-03-09 $32.64 $37.00 53.3% 14.1% 39.4% 100.0% 41.0% 25.1% -4.5% -2.2M 113.7M -454.6K 0.77 76.90 N/A N/A 1,196 925 24,180 53,727 2020-03-10 $33.17 $37.00 48.8% 13.1% 40.4% 89.7% 46.5% 22.3% -2.7% -2.2M 110.0M -476.6K 45.49 79.74 N/A N/A 193 8,779 25,040 53,947 2020-03-11 $31.55 $36.00 57.0% 14.9% 42.4% 100.0% 65.4% 19.6% -8.4% -2.1M 118.7M -430.6K 0.75 86.91 N/A N/A 1,275 951 25,195 59,678 2020-03-12 $27.89 $36.00 72.5% 20.8% 57.2% 100.0% 92.2% 22.8% -2.6% -1.5M 127.8M -301.0K 1.62 71.10 N/A N/A 1,159 1,875 26,381 59,931 2020-03-13 $29.01 $36.00 62.7% 17.5% 60.7% 84.5% 65.0% 37.4% 2.0% -1.9M 129.6M -327.3K 11.50 98.11 N/A N/A 153 1,760 27,428 62,211 2020-03-16 $26.02 $36.00 84.0% 23.6% 68.6% 100.0% 77.3% 23.1% -3.3% -1.2M 128.9M -268.9K 6.24 86.99 N/A N/A 359 2,241 26,940 62,787 2020-03-17 $27.15 $36.00 70.5% 20.0% 72.1% 81.9% 86.1% 25.7% 2.2% -1.5M 128.8M -289.1K 18.46 83.82 N/A N/A 83 1,532 27,009 62,658 2020-03-18 $24.77 $36.00 81.6% 23.4% 75.7% 96.8% 99.9% 27.3% -2.1% -1.0M 133.5M -208.4K 23.86 74.53 N/A N/A 136 3,245 27,022 64,008 2020-03-19 $25.66 $36.00 70.6% 20.2% 78.5% 81.9% 58.6% 21.2% -2.6% -1.3M 130.2M -238.5K 0.22 89.10 N/A N/A 3,032 664 27,134 61,922 2020-03-20 $25.82 $36.00 62.8% 18.0% 79.0% 71.5% 69.5% 20.0% 5.8% -903.8K 134.7M -209.9K 1.01 95.41 N/A N/A 1,210 1,225 30,036 62,033 2020-03-23 $25.88 $36.00 59.9% 18.0% 79.1% 67.6% 69.4% 29.7% -10.1% -919.7K 98.3M -194.5K 2.10 89.17 N/A N/A 379 794 26,231 47,583 2020-03-24 $28.14 $36.00 51.7% 16.8% 87.1% 56.5% 61.5% 25.2% 3.7% -1.2M 95.3M -246.9K 7.15 82.07 N/A N/A 262 1,873 26,462 47,301 2020-03-25 $29.62 $36.00 51.2% 16.5% 90.1% 55.8% 58.4% 13.8% 0.9% -1.3M 85.4M -303.4K 3.85 88.80 N/A N/A 108 416 26,612 46,017 2020-03-26 $30.27 $36.00 52.4% 15.4% 90.8% 57.5% 57.7% 13.7% -3.8% -1.3M 84.6M -308.7K 1.13 83.50 N/A N/A 261 296 26,726 46,322 2020-03-27 $29.43 $36.00 58.4% 17.8% 90.8% 65.6% 68.1% 18.1% -1.3% -1.2M 85.5M -302.3K 0.84 83.70 N/A N/A 267 225 26,816 46,529 2020-03-30 $29.76 $36.00 52.6% 16.2% 90.3% 57.7% 63.6% 18.6% -3.5% -1.3M 85.0M -314.0K 1.22 82.21 N/A N/A 68 83 26,531 46,387 2020-03-31 $29.37 $36.00 48.5% 14.2% 90.2% 52.2% 45.3% 16.5% 0.0% -1.3M 88.4M -277.5K 0.28 82.81 N/A N/A 154 43 26,643 46,355
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