FEZ Options History — September 2023

In September 2023, FEZ traded between $41.39 and $44.22. ATM implied volatility averaged 17.2%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.7% (HV 20d: 14.6%). Max pain ranged from $43.00 to $44.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 43.83.

Notable Days

  • 2023-09-15: Highest Volume — 60,954 contracts
  • 2023-09-21: Largest IV spike — 13.1% change
  • 2023-09-27: Highest IV Rank — 26.1%
  • 2023-09-26: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.01$41.39$44.22$44.22$42.00
Max Pain$43.98$43.00$44.50$44.50$43.00
ATM IV17.2%15.0%19.4%17.1%18.1%
Expected Move4.9%4.4%5.6%4.5%5.1%
HV 20d14.6%11.9%15.8%15.8%13.3%
HV 60d17.1%15.8%18.0%18.0%15.8%
IV Rank17.8%9.0%26.1%17.4%22.1%
IV Percentile20.8%5.2%42.5%16.3%29.0%
Term Structure-0.1%-1.0%1.2%0.5%0.4%
VWIV17.4%15.3%20.2%15.9%16.1%
Skew 25d4.5%2.0%6.2%3.2%5.1%
Skew 10d10.7%6.7%25.1%13.6%9.7%
Call IV 25d15.2%13.7%17.0%14.7%15.6%
Put IV 25d19.7%16.4%23.0%17.9%20.7%
Bid-Ask Spread %53.1115.5079.0671.4054.13
Gamma HHI0.430.190.750.450.21
Net GEX-15.9M-37.8M-5.0M-25.5M-5.0M
Net DEX22.3M-13.3M67.8M33.8M5.9M
Net VEX-587.2K-684.9K-526.5K-620.9K-665.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio43.830.01612.3310.003.76
Total Volume7,613.423660,9546054,034
Total OI142,929.55105,176180,542126,500180,542

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$44.22$44.5017.1%4.5%15.8%17.4%15.9%3.2%0.5%-25.5M33.8M-620.9K10.0071.40N/AN/A5555027,45399,047
2023-09-05$43.81$44.0018.4%5.0%15.5%22.3%18.0%4.5%-0.4%-30.0M60.7M-597.0K24.8065.80N/AN/A69317,18726,77393,695
2023-09-06$43.50$44.0016.9%5.4%15.2%16.5%17.2%4.8%-0.8%-15.4M29.9M-591.3K612.3369.15N/AN/A4225,71827,24177,935
2023-09-07$43.22$44.0018.1%5.3%15.1%21.2%19.6%4.3%-0.8%-18.7M57.2M-596.7K6.2374.37N/AN/A11269827,26383,777
2023-09-08$43.34$44.0017.8%4.9%14.7%19.8%16.6%4.7%0.0%-21.4M51.2M-576.0K0.6549.87N/AN/A1,11472527,17084,043
2023-09-11$43.84$44.0015.7%4.8%15.2%11.9%17.4%5.4%1.2%-21.7M14.0M-543.0K26.0774.39N/AN/A601,56428,24683,789
2023-09-12$43.55$44.0016.9%4.7%15.3%16.2%19.1%4.7%-0.4%-24.3M32.8M-546.8K49.9768.67N/AN/A1276,34628,30684,828
2023-09-13$43.22$44.0016.6%4.9%14.6%15.4%16.6%2.8%-0.5%-30.3M67.8M-585.7K46.1079.06N/AN/A673,08928,43190,851
2023-09-14$43.75$44.0015.0%4.4%15.4%9.0%17.1%2.0%-1.0%-34.2M13.0M-552.4K2.9333.27N/AN/A6017628,48988,832
2023-09-15$43.66$44.0015.7%4.4%14.6%11.6%16.5%2.7%-0.7%-37.8M-6.3M-526.5K0.0141.35N/AN/A60,09585928,54888,880
2023-09-18$43.22$44.0016.1%4.6%14.9%13.2%15.3%4.4%0.0%-5.5M-11.6M-548.7K40.3717.12N/AN/A783,14987,50967,319
2023-09-19$43.31$44.0015.4%4.4%14.7%10.6%16.1%4.5%0.1%-5.7M-11.2M-559.5K7.3737.34N/AN/A8461997,57469,955
2023-09-20$43.33$44.0015.9%4.5%14.7%12.4%16.2%4.1%0.0%-5.5M-13.3M-553.6K6.6762.74N/AN/A7852097,62470,436
2023-09-21$42.67$44.0017.9%5.1%15.2%20.4%17.8%5.1%0.0%-6.5M11.1M-592.9K20.9860.73N/AN/A631,32297,70170,798
2023-09-22$42.59$44.0017.3%5.0%14.0%18.0%19.6%4.4%-0.1%-6.5M10.4M-573.6K2.0159.81N/AN/A31663697,69671,002
2023-09-25$42.14$44.0018.5%5.3%13.8%22.7%15.5%5.3%0.3%-7.0M23.8M-579.7K1.9915.50N/AN/A8861,76097,66871,452
2023-09-26$41.53$44.0019.4%5.6%13.6%26.0%18.0%6.2%0.3%-6.8M39.8M-591.0K0.4566.54N/AN/A10,1314,58498,18971,433
2023-09-27$41.39$44.0019.4%5.6%11.9%26.1%20.2%6.0%0.3%-5.0M29.1M-684.9K11.9833.40N/AN/A1271,521108,30971,063
2023-09-28$41.95$44.0018.5%5.3%13.5%22.5%18.2%5.7%0.4%-5.0M6.8M-659.5K1.9027.55N/AN/A1,0421,981108,34270,382
2023-09-29$42.00$43.0018.1%5.1%13.3%22.1%16.1%5.1%0.4%-5.0M5.9M-665.2K3.7654.13N/AN/A8483,186108,67471,868