FEZ Options History — November 2022

In November 2022, FEZ traded between $33.57 and $40.06. ATM implied volatility averaged 27.1%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 3.4% (HV 20d: 30.5%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 5.57.

Notable Days

  • 2022-11-07: Highest Volume — 81,300 contracts
  • 2022-11-15: Largest IV spike — 11.9% change
  • 2022-11-02: Highest IV Rank — 31.6%
  • 2022-11-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.56$33.57$40.06$34.57$40.06
Max Pain$34.71$34.00$35.00$35.00$35.00
ATM IV27.1%24.3%30.0%29.2%24.3%
Expected Move7.9%6.8%8.9%8.9%7.4%
HV 20d30.5%26.8%33.4%27.2%31.3%
HV 60d34.7%33.8%35.9%34.0%34.1%
IV Rank24.6%18.2%31.6%30.7%18.2%
IV Percentile41.3%21.8%63.5%57.1%21.8%
Term Structure0.5%-1.4%9.7%-0.3%-1.2%
VWIV30.3%25.2%35.1%33.7%25.2%
Skew 25d6.1%4.0%9.3%5.9%4.0%
Skew 10d14.1%-6.7%34.8%32.6%8.4%
Call IV 25d24.4%21.3%27.1%26.4%22.4%
Put IV 25d30.5%26.4%35.2%32.2%26.4%
Bid-Ask Spread %66.6118.1181.0170.2376.50
Gamma HHI0.150.130.220.170.13
Net GEX8.1M-12.1M16.6M-8.3M15.5M
Net DEX-292.8M-487.6M132.8M35.3M-451.9M
Net VEX-1.4M-1.6M-1.3M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.570.2848.481.254.38
Total Volume42,455.0951,68981,30025,5681,689
Total OI516,235430,920678,694440,578472,330

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$34.57$35.0029.2%8.9%27.2%30.7%33.7%5.9%-0.3%-8.3M35.3M-1.4M1.2570.23N/AN/A11,34614,222126,126314,452
2022-11-02$33.90$35.0029.7%8.8%28.1%31.6%30.5%9.3%9.7%-10.1M93.4M-1.4M0.4476.57N/AN/A11,0864,850135,691308,795
2022-11-03$33.57$34.0028.2%8.2%26.8%28.9%29.3%6.0%0.4%-12.1M132.8M-1.3M2.0481.01N/AN/A3,0916,316135,706309,122
2022-11-04$35.23$34.0028.3%8.4%29.3%29.0%33.3%6.1%-0.5%-3.5M-51.9M-1.3M1.5174.29N/AN/A17,08325,788135,665309,933
2022-11-07$35.65$34.0028.0%8.2%29.3%28.5%34.0%5.7%0.6%1.0M-127.9M-1.4M1.4380.38N/AN/A33,47947,821153,152320,622
2022-11-08$36.03$34.0027.9%8.4%28.3%27.3%27.9%6.4%1.5%1.3M-162.3M-1.6M0.4277.17N/AN/A38,69316,325169,980372,282
2022-11-09$35.54$34.0029.3%8.7%29.2%29.5%28.7%6.0%0.8%-655.2K-115.5M-1.6M0.2875.35N/AN/A39,21710,864191,599368,316
2022-11-10$37.58$34.0027.4%8.0%33.4%24.3%29.4%5.3%0.7%9.2M-340.2M-1.5M1.2879.56N/AN/A25,96633,221193,146371,577
2022-11-11$38.67$35.0026.7%7.8%32.9%23.0%34.3%5.6%0.9%14.5M-482.1M-1.5M4.8679.10N/AN/A5,50626,765216,479388,966
2022-11-14$38.51$35.0026.8%7.8%32.2%23.2%34.6%5.8%0.9%14.4M-469.7M-1.5M2.9679.36N/AN/A5,07415,010216,857397,729
2022-11-15$38.63$35.0030.0%8.7%32.2%29.3%25.2%9.0%-1.2%12.8M-461.0M-1.5M0.2979.85N/AN/A60,49217,749216,940401,968
2022-11-16$38.70$35.0027.5%7.9%31.3%24.6%30.7%6.2%0.3%16.2M-479.7M-1.5M8.0671.10N/AN/A3,11925,136243,851406,542
2022-11-17$38.70$35.0027.2%7.7%31.4%24.0%33.0%5.9%2.2%16.6M-466.7M-1.6M9.1965.92N/AN/A7,95773,148244,141415,557
2022-11-18$38.94$35.0026.5%7.5%31.1%22.4%34.1%6.2%0.8%14.6M-487.6M-1.6M7.3162.13N/AN/A9,03566,061244,412434,282
2022-11-21$38.53$35.0027.1%7.7%31.8%23.5%35.1%6.1%-1.1%13.4M-323.7M-1.5M6.8453.58N/AN/A7,81753,435210,951220,235
2022-11-22$39.00$35.0025.6%7.2%31.2%20.6%27.6%6.1%-0.7%14.8M-376.2M-1.5M2.3351.10N/AN/A15,80136,808211,048219,872
2022-11-23$39.35$35.0024.6%6.8%31.2%18.7%26.9%5.6%-1.0%16.1M-413.3M-1.4M3.6418.11N/AN/A7,57427,549208,104229,996
2022-11-25$39.60$35.0024.6%7.1%30.6%18.6%26.4%6.2%-1.4%16.1M-440.0M-1.3M9.2850.94N/AN/A6646,165208,086229,629
2022-11-28$38.95$35.0025.8%7.7%31.7%21.0%29.1%5.0%0.4%14.3M-375.9M-1.3M48.4820.16N/AN/A25812,507207,771234,187
2022-11-29$39.13$35.0025.2%7.9%30.7%19.8%26.4%4.9%-0.6%14.5M-384.6M-1.3M0.8076.37N/AN/A37,08329,787207,990236,848
2022-11-30$40.06$35.0024.3%7.4%31.3%18.2%25.2%4.0%-1.2%15.5M-451.9M-1.4M4.3876.50N/AN/A3141,375214,005258,325