FEZ Options History — October 2019 In October 2019, FEZ traded between $36.40 and $39.25. ATM implied volatility averaged 14.7%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.4% (HV 20d: 15.1%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 3.53.
Notable Days 2019-10-02 : Highest Volume — 10,312 contracts2019-10-02 : Largest IV spike — 24.3% change2019-10-02 : Highest IV Rank — 63.0%2019-10-02 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $38.16 $36.40 $39.25 $37.33 $39.12 Max Pain $37.96 $37.00 $39.00 $37.00 $39.00 ATM IV 14.7% 12.0% 19.4% 15.6% 12.7% Expected Move 4.1% 3.3% 5.7% 4.5% 3.5% HV 20d 15.1% 10.6% 16.9% 10.6% 12.3% HV 60d 15.0% 13.4% 16.0% 13.4% 14.2% IV Rank 29.9% 11.3% 63.0% 36.3% 16.3% IV Percentile 39.8% 10.3% 85.7% 50.8% 19.8% Term Structure 0.0% -1.3% 0.9% -0.1% 0.2% VWIV 16.0% 12.0% 28.0% 15.4% 12.0% Skew 25d 5.0% 3.7% 7.3% 6.7% 4.1% Skew 10d 11.0% 7.4% 17.7% 14.7% 9.5% Call IV 25d 12.7% 10.1% 16.6% 13.5% 10.8% Put IV 25d 17.7% 13.9% 23.6% 20.1% 14.9% Bid-Ask Spread % 12.43 4.45 39.54 25.54 7.16 Gamma HHI 0.16 0.10 0.24 0.11 0.21 Net GEX -4.5M -8.6M 3.4M -2.1M -8.6M Net DEX 11.8M -40.8M 81.5M 39.9M -19.4M Net VEX -861.9K -961.6K -805.2K -831.4K -837.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.53 0.06 38.20 1.44 0.10 Total Volume 4,314.957 270 10,312 3,014 5,268 Total OI 200,926.174 158,545 229,105 158,545 228,378
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-10-01 $37.33 $37.00 15.6% 4.5% 10.6% 36.3% 15.4% 6.7% -0.1% -2.1M 39.9M -831.4K 1.44 25.54 N/A N/A 1,237 1,777 59,094 99,451 2019-10-02 $36.40 $37.00 19.4% 5.7% 13.2% 63.0% 22.1% 7.0% -0.4% -4.6M 81.5M -841.2K 1.54 29.81 N/A N/A 4,062 6,250 60,306 101,040 2019-10-03 $36.57 $37.00 19.3% 5.1% 12.9% 62.6% 28.0% 7.3% -0.5% -4.7M 76.7M -858.0K 5.82 16.76 N/A N/A 971 5,656 64,009 106,705 2019-10-04 $36.90 $37.00 16.9% 4.8% 13.4% 45.3% 17.4% 6.5% -0.0% -3.9M 60.6M -858.3K 0.12 8.85 N/A N/A 5,407 627 64,820 111,937 2019-10-07 $36.99 $37.00 16.7% 4.8% 13.3% 44.4% 17.7% 5.3% -0.1% -3.7M 55.3M -817.9K 5.18 6.52 N/A N/A 373 1,933 62,849 111,835 2019-10-08 $36.58 $37.00 18.1% 4.8% 13.8% 54.4% 21.2% 5.7% -1.3% -5.0M 75.2M -834.9K 1.64 15.42 N/A N/A 694 1,138 63,143 112,506 2019-10-09 $37.00 $37.00 17.0% 4.8% 14.5% 46.0% 15.0% 5.4% -0.2% -3.6M 52.7M -834.4K 1.66 15.67 N/A N/A 160 265 63,978 113,287 2019-10-10 $37.31 $37.00 16.2% 4.9% 14.2% 40.7% 17.3% 5.3% 0.9% -2.8M 39.2M -813.8K 0.16 12.07 N/A N/A 5,297 843 64,000 113,535 2019-10-11 $38.24 $37.00 15.5% 4.4% 16.9% 35.4% 15.3% 4.6% -0.1% 1.8M -26.5M -815.0K 0.72 39.54 N/A N/A 4,269 3,074 68,215 114,096 2019-10-14 $38.09 $37.00 14.7% 4.2% 16.3% 29.9% 13.2% 5.1% -0.0% 1.4M -4.2M -823.8K 0.38 15.51 N/A N/A 2,951 1,111 68,306 115,679 2019-10-15 $38.64 $37.00 12.7% 3.6% 16.9% 16.0% 14.9% 4.8% 0.9% 3.4M -37.7M -805.2K 2.22 10.16 N/A N/A 2,928 6,491 69,349 116,775 2019-10-16 $38.67 $38.00 12.5% 3.6% 16.9% 14.7% 14.1% 4.4% 0.9% -8.6M 15.4M -961.6K 1.29 5.60 N/A N/A 1,638 2,119 71,932 151,947 2019-10-17 $38.77 $38.00 13.4% 3.8% 16.9% 20.5% 13.6% 5.0% 0.2% -6.9M 1.7M -954.3K 3.54 5.14 N/A N/A 790 2,797 72,803 152,057 2019-10-18 $38.85 $39.00 13.7% 3.9% 16.9% 22.9% 16.0% 5.2% 0.1% -6.0M -2.0M -955.4K 1.90 6.45 N/A N/A 1,735 3,295 73,362 154,047 2019-10-21 $39.00 $39.00 13.9% 4.0% 16.8% 24.6% 18.5% 4.3% -0.3% -6.5M -8.8M -924.6K 1.20 8.62 N/A N/A 245 294 71,496 148,945 2019-10-22 $38.81 $39.00 13.6% 3.9% 16.8% 22.2% 12.8% 4.6% -0.4% -8.1M 2.6M -910.2K 1.04 6.96 N/A N/A 3,024 3,135 71,659 149,126 2019-10-23 $39.02 $39.00 13.2% 3.7% 16.6% 19.1% 15.3% 4.0% -0.2% -6.3M -16.5M -898.3K 5.14 5.04 N/A N/A 206 1,059 73,410 150,667 2019-10-24 $39.07 $39.00 13.0% 3.6% 16.6% 18.0% 14.5% 3.9% -0.2% -5.9M -16.2M -884.1K 2.55 5.09 N/A N/A 76 194 73,436 151,513 2019-10-25 $39.00 $39.00 12.5% 3.4% 16.6% 14.3% 12.1% 3.8% 0.0% -3.4M -13.4M -866.9K 0.16 5.84 N/A N/A 2,039 336 73,475 151,440 2019-10-28 $39.10 $39.00 12.5% 3.5% 16.5% 14.6% 13.7% 3.7% 0.4% -6.3M -27.0M -832.8K 0.06 4.45 N/A N/A 6,685 427 74,380 148,381 2019-10-29 $39.07 $39.00 12.7% 3.5% 15.8% 15.8% 13.8% 4.0% 0.3% -7.1M -17.0M -845.7K 5.22 9.04 N/A N/A 337 1,758 80,423 148,682 2019-10-30 $39.25 $39.00 12.0% 3.3% 12.0% 11.3% 13.3% 3.8% 0.6% -5.6M -40.8M -819.0K 38.20 20.54 N/A N/A 109 4,164 74,563 150,265 2019-10-31 $39.12 $39.00 12.7% 3.5% 12.3% 16.3% 12.0% 4.1% 0.2% -8.6M -19.4M -837.3K 0.10 7.16 N/A N/A 4,777 491 74,587 153,791
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