FEZ Options History — December 2021

In December 2021, FEZ traded between $44.55 and $46.77. ATM implied volatility averaged 21.6%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.9% (HV 20d: 20.6%). Max pain ranged from $40.00 to $49.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 4.21.

Notable Days

  • 2021-12-13: Highest Volume — 18,564 contracts
  • 2021-12-15: Largest IV drop — 36.7% change
  • 2021-12-01: Highest IV Rank — 77.2%
  • 2021-12-03: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.91$44.55$46.77$45.09$46.71
Max Pain$43.27$40.00$49.00$49.00$43.00
ATM IV21.6%14.8%34.5%34.5%14.8%
Expected Move5.8%4.2%8.3%7.8%4.2%
HV 20d20.6%15.9%24.1%16.4%19.9%
HV 60d17.2%16.4%18.3%16.5%16.5%
IV Rank34.3%11.9%77.2%77.2%11.9%
IV Percentile77.0%30.6%99.6%99.6%30.6%
Term Structure0.4%-4.0%2.6%-4.0%1.9%
VWIV22.6%14.5%35.0%23.2%19.2%
Skew 25d8.5%5.7%13.7%11.7%5.7%
Skew 10d18.3%6.5%24.2%19.6%16.0%
Call IV 25d17.1%13.8%25.1%21.9%13.8%
Put IV 25d25.6%19.5%35.1%33.6%19.5%
Bid-Ask Spread %56.398.8293.6683.8934.48
Gamma HHI0.380.300.450.420.39
Net GEX-1.6M-3.7M3.9M-2.2M-1.9M
Net DEX38.7M18.4M62.9M57.4M18.5M
Net VEX-684.9K-743.2K-633.2K-723.2K-633.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.210.888.548.543.83
Total Volume10,587.5457,65218,56415,2447,873
Total OI101,924.86496,078111,13398,39199,492

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$45.09$49.0034.5%7.8%16.4%77.2%23.2%11.7%-4.0%-2.2M57.4M-723.2K8.5483.89N/AN/A1,59813,64636,28262,109
2021-12-02$45.35$49.0030.9%7.8%15.9%65.0%32.6%11.7%-3.4%-1.9M49.2M-716.4K3.5882.59N/AN/A1,6725,98036,58462,111
2021-12-03$44.58$49.0028.9%8.3%16.6%58.5%35.0%10.0%-3.0%-2.3M56.1M-743.2K5.4993.66N/AN/A1,6068,81336,66664,501
2021-12-06$45.38$40.0027.9%7.1%18.0%55.3%28.5%13.7%1.2%-2.5M47.4M-670.0K5.7752.30N/AN/A1,5949,19136,65265,955
2021-12-07$46.62$40.0020.5%5.6%21.0%30.6%20.1%8.3%1.8%-1.8M29.2M-712.7K4.6962.25N/AN/A1,9219,00936,70165,992
2021-12-08$46.71$40.0020.0%5.5%21.1%29.0%19.8%8.7%0.4%-1.2M26.5M-713.2K5.0820.25N/AN/A1,8179,22436,77566,013
2021-12-09$46.02$40.0022.9%5.9%21.1%38.8%19.9%8.8%0.5%-2.0M38.9M-694.1K4.9778.74N/AN/A1,8269,08136,84366,028
2021-12-10$46.20$43.0019.9%5.4%21.0%28.7%24.2%7.3%0.8%-2.1M39.4M-709.1K5.9981.77N/AN/A1,6629,95936,82966,892
2021-12-13$45.83$43.0024.5%5.4%21.1%43.9%19.5%7.9%2.6%-2.4M44.9M-660.6K0.8879.59N/AN/A9,9008,66436,86666,950
2021-12-14$45.42$43.0030.0%6.2%21.2%62.2%24.4%9.3%-0.0%586.7K45.8M-672.0K4.1025.65N/AN/A2,0758,49842,80368,010
2021-12-15$46.04$43.0019.0%5.4%22.0%25.8%19.4%7.6%1.0%3.6M28.4M-684.8K2.2561.25N/AN/A3,7858,52643,10668,027
2021-12-16$45.98$43.0019.1%5.5%22.0%26.0%19.7%7.6%0.7%3.9M32.4M-664.6K2.0378.17N/AN/A4,7589,64841,27968,076
2021-12-17$45.32$43.0021.2%6.1%22.3%33.1%22.3%7.8%0.5%-3.7M62.9M-683.4K1.7357.95N/AN/A4,9638,58138,95270,053
2021-12-20$44.55$43.0022.2%6.4%22.4%36.3%32.3%9.1%0.3%-3.5M62.3M-683.1K4.8840.50N/AN/A1,4777,20332,22963,849
2021-12-21$45.26$43.0020.8%6.0%23.3%31.8%23.8%8.8%0.4%-3.6M53.2M-675.9K3.8518.52N/AN/A1,6236,25432,25964,814
2021-12-22$45.91$43.0018.0%5.2%23.9%22.6%24.9%7.8%0.7%-2.8M42.3M-671.9K4.8560.30N/AN/A1,5167,34832,27764,900
2021-12-23$46.37$43.0017.3%5.0%24.1%20.3%14.5%7.4%1.3%-2.2M33.5M-676.7K3.5342.91N/AN/A1,9826,99832,36065,936
2021-12-27$46.68$43.0015.6%4.5%20.3%14.4%19.3%7.3%1.5%-1.6M25.0M-687.5K3.9145.09N/AN/A1,7997,02632,84966,050
2021-12-28$46.77$43.0015.8%4.5%20.2%15.0%17.6%7.0%1.2%-1.6M18.4M-665.8K4.728.82N/AN/A1,4556,87333,24666,051
2021-12-29$46.67$43.0015.3%4.4%20.0%13.7%18.6%7.2%1.4%-1.8M19.4M-672.2K4.1860.81N/AN/A1,4916,22633,35266,140
2021-12-30$46.60$43.0015.5%4.4%19.9%14.1%19.1%6.3%1.2%-1.9M19.7M-653.3K3.7471.11N/AN/A1,6416,14433,34066,148
2021-12-31$46.71$43.0014.8%4.2%19.9%11.9%19.2%5.7%1.9%-1.9M18.5M-633.2K3.8334.48N/AN/A1,6316,24233,32366,169