FEZ Options History — December 2020

In December 2020, FEZ traded between $41.07 and $42.39. ATM implied volatility averaged 20.3%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.5% (HV 20d: 15.9%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 23.87.

Notable Days

  • 2020-12-11: Highest Volume — 13,508 contracts
  • 2020-12-21: Largest IV spike — 15.8% change
  • 2020-12-21: Highest IV Rank — 17.9%
  • 2020-12-22: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.63$41.07$42.39$41.23$41.59
Max Pain$37.91$37.00$39.00$39.00$39.00
ATM IV20.3%18.4%23.0%18.5%22.2%
Expected Move6.0%5.2%6.7%5.7%6.6%
HV 20d15.9%11.6%24.3%24.3%15.0%
HV 60d23.9%22.9%25.4%25.4%23.2%
IV Rank14.3%11.8%17.9%11.9%16.6%
IV Percentile26.1%21.0%39.3%22.6%32.5%
Term Structure0.0%-1.2%1.1%0.5%0.1%
VWIV22.5%17.3%29.5%20.8%22.9%
Skew 25d6.7%5.5%8.1%5.9%6.9%
Skew 10d15.9%11.6%21.3%12.4%15.1%
Call IV 25d17.7%16.0%20.0%16.0%19.0%
Put IV 25d24.5%21.9%27.9%21.9%25.9%
Bid-Ask Spread %21.2611.5227.5523.9615.35
Gamma HHI0.120.080.200.120.20
Net GEX-675.7K-3.0M2.2M-2.9M-1.7M
Net DEX-26.3M-54.9M2.8M-27.3M2.8M
Net VEX-498.4K-539.9K-470.9K-539.1K-502.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio23.870.06464.790.065.93
Total Volume2,290.59111913,5086572,708
Total OI132,340.13691,379157,341153,826101,989

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$41.23$39.0018.5%5.7%24.3%11.9%20.8%5.9%0.5%-2.9M-27.3M-539.1K0.0623.96N/AN/A6223525,645128,181
2020-12-02$41.39$39.0018.4%5.7%21.9%11.8%24.7%6.6%0.9%-3.0M-28.1M-539.9K4.7220.87N/AN/A10951425,773128,201
2020-12-03$41.34$37.0018.6%5.8%22.1%12.0%18.7%6.0%0.8%-2.8M-28.9M-532.7K2.4621.18N/AN/A20851225,860128,678
2020-12-04$41.64$37.0019.3%5.4%21.1%12.9%20.7%6.1%0.2%-2.1M-35.1M-518.3K3.2626.60N/AN/A5417625,891128,922
2020-12-07$41.44$37.0020.9%6.1%21.5%15.0%18.5%7.5%0.7%-2.6M-31.4M-513.7K0.1523.61N/AN/A2764225,846128,625
2020-12-08$41.55$37.0018.5%5.2%13.8%11.9%22.7%6.2%-0.3%-1.8M-35.7M-500.1K1.4121.83N/AN/A618625,983128,651
2020-12-09$41.39$37.0018.8%5.8%13.2%12.3%29.5%5.8%1.1%-1.8M-35.5M-491.5K2.7725.91N/AN/A8022226,023128,670
2020-12-10$41.57$37.0019.6%5.4%13.2%13.3%24.4%6.7%-0.7%-1.2M-38.6M-488.0K11.1813.24N/AN/A1719026,008128,788
2020-12-11$41.10$37.0021.7%6.2%12.6%16.2%22.3%8.1%-0.1%-2.5M-27.7M-512.5K464.7924.50N/AN/A2913,47926,019128,880
2020-12-14$41.24$37.0022.3%6.4%11.6%17.0%22.5%6.9%-0.4%-1.5M-32.4M-499.1K4.9824.78N/AN/A4120425,989124,308
2020-12-15$41.81$37.0019.3%5.5%12.3%12.9%17.3%7.9%-0.3%-1.1M-42.2M-470.9K0.2711.52N/AN/A6,4701,73125,949124,837
2020-12-16$42.05$37.0019.2%5.5%12.3%12.7%21.0%6.9%-0.4%380.5K-54.9M-479.2K1.3323.14N/AN/A39853132,333125,008
2020-12-17$42.39$37.0019.9%5.8%12.3%13.8%20.9%6.0%-1.2%1.0M-49.2M-476.0K0.2227.46N/AN/A1,17525329,546125,291
2020-12-18$42.09$37.0019.8%5.7%12.8%13.7%20.1%6.6%0.4%899.5K-45.6M-474.9K0.7822.60N/AN/A74658130,528125,225
2020-12-21$41.11$39.0023.0%6.7%15.8%17.9%24.1%7.9%-0.9%-126.8K144.0K-506.0K1.2625.87N/AN/A53467323,94867,431
2020-12-22$41.07$39.0022.9%6.7%15.8%17.5%25.1%7.5%-0.3%-40.7K30.5K-505.1K1.8814.00N/AN/A41077023,81667,650
2020-12-23$41.69$39.0021.2%6.3%16.0%15.3%25.7%6.9%0.0%860.3K-8.8M-489.3K0.0716.29N/AN/A2,10913923,72167,967
2020-12-24$41.73$39.0021.3%6.3%16.0%15.4%23.9%6.7%-0.2%1.2M-10.0M-494.5K0.9816.16N/AN/A605925,81168,093
2020-12-28$42.10$39.0020.4%6.1%16.1%14.2%21.9%5.5%0.4%1.9M-15.4M-475.7K0.5325.47N/AN/A1035525,73967,932
2020-12-29$42.20$39.0020.9%6.1%15.3%14.9%25.9%6.9%0.2%2.0M-17.2M-478.0K0.1127.55N/AN/A5,18159325,80267,952
2020-12-30$42.23$39.0020.7%6.0%13.9%14.6%21.3%6.6%-0.2%2.2M-17.7M-478.5K16.0615.77N/AN/A4787,67925,73268,242
2020-12-31$41.59$39.0022.2%6.6%15.0%16.6%22.9%6.9%0.1%-1.7M2.8M-502.2K5.9315.35N/AN/A3912,31726,14375,846