FEZ Options History — October 2021

In October 2021, FEZ traded between $45.12 and $47.84. ATM implied volatility averaged 16.5%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.4% (HV 20d: 17.9%). Max pain ranged from $41.00 to $46.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 23.60.

Notable Days

  • 2021-10-05: Highest Volume — 33,247 contracts
  • 2021-10-07: Largest IV drop — 14.2% change
  • 2021-10-04: Highest IV Rank — 43.9%
  • 2021-10-04: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.48$45.12$47.84$45.58$47.75
Max Pain$44.69$41.00$46.50$46.50$45.00
ATM IV16.5%13.1%22.5%20.4%14.6%
Expected Move4.6%3.6%6.2%6.0%4.0%
HV 20d17.9%12.8%21.8%18.4%12.8%
HV 60d15.0%14.5%16.2%16.2%14.5%
IV Rank20.6%7.4%43.9%35.9%15.1%
IV Percentile40.9%5.2%86.5%75.0%24.6%
Term Structure0.3%-1.0%2.1%0.5%0.5%
VWIV16.9%13.5%24.1%14.3%15.5%
Skew 25d6.4%1.6%10.0%9.9%2.4%
Skew 10d10.5%1.5%21.7%4.4%3.3%
Call IV 25d14.4%11.3%20.6%16.2%14.8%
Put IV 25d20.8%16.7%27.4%26.1%17.2%
Bid-Ask Spread %37.1010.9493.0536.8893.05
Gamma HHI0.270.120.450.140.29
Net GEX691.1K-3.7M5.3M791.8K5.3M
Net DEX16.4M-12.3M58.5M-10.9M-6.4M
Net VEX-542.2K-698.9K-252.0K-260.9K-584.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio23.600.02448.280.033.77
Total Volume11,276.71414333,2472,61224,472
Total OI80,348.1948,35692,24048,35685,477

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$45.58$46.5020.4%6.0%18.4%35.9%14.3%9.9%0.5%791.8K-10.9M-260.9K0.0336.88N/AN/A2,5397321,84126,515
2021-10-04$45.12$41.0022.5%6.2%18.6%43.9%21.7%9.0%-0.4%601.5K-9.1M-252.0K1.2138.71N/AN/A47557721,79926,604
2021-10-05$45.64$41.0019.7%5.3%19.3%33.2%22.7%9.9%-0.3%1.4M-12.3M-268.5K448.2824.59N/AN/A7433,17324,30526,667
2021-10-06$45.18$45.0020.8%5.9%19.3%37.2%23.2%10.0%-0.6%789.0K-7.2M-290.5K2.2625.31N/AN/A5691,28424,75427,216
2021-10-07$45.77$45.0017.8%5.1%20.1%25.7%15.3%8.1%-0.1%-2.8M52.8M-679.8K0.9774.12N/AN/A10810524,73360,286
2021-10-08$45.59$45.0017.8%4.9%20.1%25.6%24.1%8.2%-0.1%-3.5M53.3M-657.0K0.0218.25N/AN/A4,2677425,26661,545
2021-10-11$45.38$45.0017.8%5.4%19.8%25.7%17.1%8.8%0.9%-3.7M58.0M-661.4K0.0319.95N/AN/A4011123,98861,511
2021-10-12$45.26$45.0017.5%5.4%19.8%24.3%19.7%9.0%1.4%-2.7M58.5M-698.9K0.7923.18N/AN/A1,00579128,29361,579
2021-10-13$45.95$45.0018.3%4.8%20.8%27.4%16.8%1.6%-0.1%-2.0M44.8M-657.8K0.7666.52N/AN/A88266628,05961,585
2021-10-14$46.70$45.0016.3%4.3%21.8%19.9%16.2%6.2%-1.0%12.8K26.3M-644.1K3.0415.41N/AN/A9829828,70762,363
2021-10-15$47.05$45.0014.1%4.2%21.2%11.4%14.0%4.3%0.4%737.2K16.1M-638.0K1.5310.94N/AN/A8312729,31562,925
2021-10-18$46.75$45.0015.7%4.5%18.8%17.3%14.5%6.4%0.3%340.4K26.1M-644.8K0.9720.76N/AN/A69767324,72462,414
2021-10-19$46.94$45.0014.1%4.1%17.7%11.3%14.3%6.3%0.1%908.7K17.2M-605.5K0.2719.43N/AN/A1133024,73362,446
2021-10-20$47.12$45.0014.3%4.1%17.2%12.2%14.9%5.6%-0.5%1.0M16.0M-620.9K4.2022.84N/AN/A4,50918,93725,50263,132
2021-10-21$46.96$45.0014.0%4.0%16.8%10.8%15.9%6.4%0.2%1.1M18.8M-600.1K4.2464.09N/AN/A4,47719,00125,51263,152
2021-10-22$47.33$45.0013.1%3.6%16.8%7.4%14.6%6.4%2.1%1.8M5.8M-522.7K4.1132.41N/AN/A4,67119,18425,51163,227
2021-10-25$47.19$45.0014.8%4.1%16.8%13.8%13.5%1.9%0.7%2.8M8.8M-523.6K4.9133.65N/AN/A3,90519,16222,08563,257
2021-10-26$47.48$45.0015.7%3.8%13.5%17.6%16.7%4.0%0.1%3.8M668.5K-513.8K4.9040.58N/AN/A3,89019,06622,11063,292
2021-10-27$47.47$45.0013.8%4.0%13.4%10.0%14.2%3.3%1.1%3.8M-1.2M-508.1K4.9167.29N/AN/A3,88719,08422,11463,325
2021-10-28$47.84$45.0013.1%3.8%12.8%7.5%15.7%6.2%1.4%4.0M-11.7M-552.1K4.4631.19N/AN/A4,27819,09522,11863,325
2021-10-29$47.75$45.0014.6%4.0%12.8%15.1%15.5%2.4%0.5%5.3M-6.4M-584.8K3.7793.05N/AN/A5,12819,34422,15563,322