FEZ Options History — September 2020

In September 2020, FEZ traded between $35.69 and $38.90. ATM implied volatility averaged 24.5%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.3% (HV 20d: 21.2%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 12.57.

Notable Days

  • 2020-09-21: Highest Volume — 9,578 contracts
  • 2020-09-03: Largest IV spike — 22.7% change
  • 2020-09-23: Highest IV Rank — 24.8%
  • 2020-09-23: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.43$35.69$38.90$38.08$36.35
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV24.5%20.9%28.1%25.3%25.4%
Expected Move7.0%5.9%8.2%7.2%7.3%
HV 20d21.2%15.6%24.7%15.6%24.7%
HV 60d20.3%18.7%23.4%22.6%20.2%
IV Rank19.9%15.1%24.8%21.0%21.2%
IV Percentile57.3%43.3%73.4%61.5%58.3%
Term Structure0.0%-1.2%2.3%-0.3%1.9%
VWIV26.3%21.2%31.0%28.1%31.0%
Skew 25d7.5%5.4%10.7%8.2%7.2%
Skew 10d15.5%10.0%21.0%17.0%14.7%
Call IV 25d21.4%18.4%23.8%22.0%22.6%
Put IV 25d28.9%24.2%33.4%30.1%29.8%
Bid-Ask Spread %29.2713.4478.8078.8021.06
Gamma HHI0.210.100.400.280.11
Net GEX1.5M-3.5M6.4M3.0M-3.5M
Net DEX8.9M-36.3M58.7M-15.7M49.4M
Net VEX-504.0K-536.5K-466.0K-511.6K-518.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.570.21110.042.1214.45
Total Volume1,895.9053409,5781,109340
Total OI93,347.14381,05999,99687,91795,220

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$38.08$38.0025.3%7.2%15.6%21.0%28.1%8.2%-0.3%3.0M-15.7M-511.6K2.1278.80N/AN/A35675342,48745,430
2020-09-02$38.90$38.0022.7%6.5%17.1%17.6%25.0%7.2%-0.1%3.8M-36.3M-527.1K0.9772.46N/AN/A37936642,62046,541
2020-09-03$37.95$38.0027.9%7.6%19.5%24.5%28.5%9.6%-1.2%2.6M-11.7M-530.7K1.6330.14N/AN/A2,2733,69942,70746,812
2020-09-04$38.09$38.0025.2%7.3%19.4%20.9%25.3%10.7%-0.9%2.9M-12.8M-536.5K0.4535.92N/AN/A50522745,05051,092
2020-09-08$37.55$38.0025.7%7.0%20.1%21.6%22.3%9.4%-0.9%1.8M1.8M-518.9K0.2130.41N/AN/A54611344,76050,520
2020-09-09$38.42$38.0023.1%7.0%21.4%18.0%21.2%7.5%1.7%4.2M-25.5M-507.9K0.9725.82N/AN/A25925044,84250,508
2020-09-10$37.97$38.0023.8%6.9%20.2%19.0%24.7%7.4%0.1%3.1M-9.5M-499.2K3.0029.35N/AN/A17351944,83150,603
2020-09-11$38.22$38.0022.7%6.5%20.2%17.5%23.4%5.4%0.2%4.2M-16.8M-491.8K0.5230.46N/AN/A59731044,94951,045
2020-09-14$38.35$38.0022.1%6.4%19.8%16.7%29.3%6.0%-0.7%4.9M-20.7M-466.0K9.0018.74N/AN/A1981,78244,49450,782
2020-09-15$38.44$38.0021.5%6.2%19.7%15.9%22.6%5.6%-0.5%6.0M-21.8M-479.0K15.7631.89N/AN/A931,46644,59352,437
2020-09-16$38.32$38.0021.5%6.2%19.8%15.9%23.8%5.6%-0.8%5.4M-12.5M-484.5K4.8814.84N/AN/A2791,36244,61953,977
2020-09-17$38.35$38.0021.2%6.1%19.7%15.4%24.6%6.1%-1.2%6.0M-11.9M-491.7K16.1320.51N/AN/A3962944,84454,694
2020-09-18$37.94$38.0020.9%5.9%20.0%15.1%22.7%5.7%0.3%6.4M2.2M-483.1K0.7215.03N/AN/A35825744,82555,171
2020-09-21$36.38$38.0025.6%7.4%24.7%21.4%30.3%8.2%-0.2%-1.6M33.7M-479.4K11.6217.55N/AN/A7598,81930,72750,332
2020-09-22$36.24$38.0026.4%7.5%23.3%22.5%25.4%8.2%0.3%-2.5M41.9M-487.8K13.2026.28N/AN/A5977931,24054,834
2020-09-23$35.75$38.0028.1%8.2%23.4%24.8%28.9%7.9%-0.6%-3.2M54.4M-495.7K4.9923.91N/AN/A6733431,28359,352
2020-09-24$35.88$38.0027.1%7.9%23.2%23.4%28.8%9.2%-0.0%-3.3M53.7M-496.7K110.0426.45N/AN/A454,95231,34359,562
2020-09-25$35.69$38.0026.6%7.6%23.1%22.8%30.3%7.6%-0.5%-3.5M58.7M-514.6K10.6513.44N/AN/A2582,74931,34761,519
2020-09-28$36.51$38.0025.3%7.5%24.7%21.0%26.8%7.4%2.3%-3.0M43.3M-530.4K4.8325.96N/AN/A2251,08730,66762,379
2020-09-29$36.62$38.0025.8%7.6%24.7%21.7%28.8%7.0%2.3%-3.1M42.8M-533.0K37.8325.57N/AN/A401,51330,85664,396
2020-09-30$36.35$38.0025.4%7.3%24.7%21.2%31.0%7.2%1.9%-3.5M49.4M-518.5K14.4521.06N/AN/A2231830,84264,378