FEZ Options History — June 2020

In June 2020, FEZ traded between $34.00 and $37.49. ATM implied volatility averaged 29.3%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 6.8% (HV 20d: 36.1%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.36.

Notable Days

  • 2020-06-23: Highest Volume — 21,148 contracts
  • 2020-06-11: Largest IV spike — 26.6% change
  • 2020-06-11: Highest IV Rank — 33.8%
  • 2020-06-11: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.66$34.00$37.49$34.00$35.53
Max Pain$33.73$32.00$36.00$32.00$36.00
ATM IV29.3%25.2%34.8%26.4%29.2%
Expected Move8.4%7.0%10.1%7.9%8.5%
HV 20d36.1%32.6%42.5%32.7%34.9%
HV 60d45.5%36.0%60.7%60.7%36.0%
IV Rank26.4%20.9%33.8%22.5%26.2%
IV Percentile78.6%72.6%85.7%76.6%75.8%
Term Structure-0.5%-1.6%1.1%-0.8%-0.1%
VWIV31.4%22.6%41.2%30.2%29.5%
Skew 25d10.0%7.4%12.7%9.7%10.6%
Skew 10d17.1%11.1%26.8%15.1%17.9%
Call IV 25d25.2%22.0%30.9%22.4%24.2%
Put IV 25d35.3%29.6%42.5%32.2%34.8%
Bid-Ask Spread %36.4213.7071.3949.8659.54
Gamma HHI0.120.090.170.170.14
Net GEX-63.6K-1.5M1.7M-1.1M1.6M
Net DEX69.7K-47.8M32.7M17.2M19.8M
Net VEX-499.0K-532.8K-475.3K-491.4K-511.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.360.0323.080.080.03
Total Volume4,745.04510921,1481092,407
Total OI101,903.27376,606114,858101,92894,154

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$34.00$32.0026.4%7.9%32.7%22.5%30.2%9.7%-0.8%-1.1M17.2M-491.4K0.0849.86N/AN/A101833,55868,370
2020-06-02$34.56$32.0027.1%8.2%32.6%23.4%34.2%8.8%-1.0%-837.0K4.4M-482.0K0.2433.09N/AN/A3,39880533,66168,381
2020-06-03$36.12$32.0026.9%8.5%35.1%23.1%31.7%8.3%-1.4%-724.9K-18.9M-492.8K0.2313.70N/AN/A7,1241,64333,92768,300
2020-06-04$36.06$32.0025.7%7.0%34.4%21.5%28.8%8.5%-1.0%31.4K-18.6M-489.5K1.4832.99N/AN/A3,9755,87535,37569,477
2020-06-05$37.11$32.0026.3%7.1%35.0%22.3%22.6%7.4%-1.5%-15.4K-37.4M-481.5K0.1429.04N/AN/A2,89041535,65169,594
2020-06-08$37.49$32.0025.2%7.1%35.0%20.9%25.5%7.6%0.1%494.6K-47.8M-475.3K0.6628.62N/AN/A2,1281,39637,78469,705
2020-06-09$36.99$32.0026.8%7.5%35.5%23.0%27.5%8.5%-0.3%158.2K-29.8M-502.6K0.2343.95N/AN/A71116537,03170,266
2020-06-10$36.70$32.0027.5%7.5%35.1%24.0%40.8%8.4%-1.4%196.8K-26.5M-496.4K8.7161.17N/AN/A4984,33637,69370,464
2020-06-11$34.38$33.0034.8%10.1%42.5%33.8%41.2%11.6%0.1%-870.8K19.9M-505.7K4.7943.61N/AN/A1,1015,27437,66070,989
2020-06-12$34.85$32.0033.3%9.3%42.3%31.7%30.1%12.3%-0.7%-750.0K11.9M-504.6K0.1363.87N/AN/A1,52020037,85170,234
2020-06-15$35.14$32.0031.5%9.0%42.2%29.3%27.8%10.4%-0.9%-43.8K2.5M-481.0K1.0965.70N/AN/A71578037,61970,310
2020-06-16$35.66$32.0029.5%8.4%37.0%26.7%35.3%10.3%-1.0%42.6K-9.0M-481.7K0.9171.39N/AN/A4,5314,10738,15570,388
2020-06-17$35.86$35.0030.2%8.6%36.2%27.5%33.6%9.9%-1.6%-465.7K-12.6M-493.0K1.3228.80N/AN/A11415139,12874,766
2020-06-18$35.66$35.0029.1%8.3%36.0%26.1%30.5%10.7%0.3%-12.1K-9.6M-484.2K1.9519.30N/AN/A38775439,15074,885
2020-06-19$35.56$35.0027.9%7.9%35.7%24.5%25.7%8.8%0.5%-1.5M-6.4M-477.3K0.0814.99N/AN/A3,47428939,28975,569
2020-06-22$35.68$36.0029.2%8.4%35.5%26.2%27.9%10.7%0.3%-674.7K27.8M-500.9K0.8844.17N/AN/A5,6174,96828,96447,642
2020-06-23$36.14$36.0029.0%8.4%34.4%26.0%28.2%10.3%-0.1%-161.1K15.3M-528.2K0.6313.77N/AN/A13,0028,14634,23852,517
2020-06-24$35.22$36.0033.4%9.6%35.2%31.9%37.4%12.7%-0.5%-436.1K32.7M-531.6K0.3425.68N/AN/A5,6921,94037,14152,735
2020-06-25$35.49$36.0031.4%8.8%35.1%29.1%37.9%11.8%-1.0%1.3M17.3M-532.8K2.5524.44N/AN/A4411241,82551,901
2020-06-26$34.98$36.0032.7%9.0%35.6%30.9%30.5%11.2%1.1%648.4K31.6M-518.6K2.3519.74N/AN/A31273341,81451,936
2020-06-29$35.43$36.0031.3%9.2%35.3%29.1%32.7%11.9%0.2%1.7M17.8M-514.0K23.0813.87N/AN/A1062,44741,09950,676
2020-06-30$35.53$36.0029.2%8.5%34.9%26.2%29.5%10.6%-0.1%1.6M19.8M-511.8K0.0359.54N/AN/A2,3367141,05753,097