FEZ Options History — November 2019

In November 2019, FEZ traded between $39.40 and $39.92. ATM implied volatility averaged 11.8%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 5.0% (HV 20d: 6.8%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.00.

Notable Days

  • 2019-11-12: Highest Volume — 25,196 contracts
  • 2019-11-25: Largest IV drop — 13.0% change
  • 2019-11-20: Highest IV Rank — 20.2%
  • 2019-11-20: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.71$39.40$39.92$39.40$39.67
Max Pain$38.05$38.00$39.00$39.00$38.00
ATM IV11.8%10.2%13.3%11.4%11.7%
Expected Move3.4%3.0%3.8%3.0%3.7%
HV 20d6.8%4.6%12.2%12.2%5.0%
HV 60d12.1%10.9%14.2%14.2%10.9%
IV Rank9.5%0.0%20.2%6.7%9.9%
IV Percentile11.1%0.0%36.5%5.2%9.5%
Term Structure0.1%-1.0%1.1%0.4%-0.1%
VWIV14.2%12.2%19.4%12.2%12.8%
Skew 25d3.8%3.3%4.3%3.9%3.5%
Skew 10d8.0%6.3%10.1%9.8%7.0%
Call IV 25d10.2%9.0%11.4%10.0%10.1%
Put IV 25d14.0%12.8%15.7%13.8%13.5%
Bid-Ask Spread %13.915.1127.265.118.87
Gamma HHI0.390.190.640.190.61
Net GEX11.8M-3.2M31.8M-3.2M17.8M
Net DEX-86.1M-120.5M-54.2M-54.2M-69.5M
Net VEX-796.2K-843.6K-757.1K-828.0K-757.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.000.0420.880.560.74
Total Volume5,606.8526225,1961,8612,475
Total OI221,689.75169,714264,724234,267191,680

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$39.40$39.0011.4%3.0%12.2%6.7%12.2%3.9%0.4%-3.2M-54.2M-828.0K0.565.11N/AN/A1,19266980,063154,204
2019-11-04$39.62$38.0012.1%3.6%12.2%11.5%14.1%3.8%0.8%1.4M-78.2M-793.2K0.6311.45N/AN/A10,9186,83180,956151,533
2019-11-05$39.61$38.0012.0%3.6%11.0%10.8%14.0%3.5%1.0%1.1M-88.3M-843.6K0.3410.01N/AN/A1,69257790,929158,228
2019-11-06$39.67$38.0012.1%3.6%10.7%11.5%13.9%4.0%1.0%2.9M-92.9M-838.3K0.7119.98N/AN/A5,3913,84491,238158,669
2019-11-07$39.75$38.0012.0%3.6%10.5%10.8%15.1%3.5%1.1%7.2M-110.0M-838.3K2.0627.26N/AN/A3,8087,83696,405160,440
2019-11-08$39.75$38.0012.0%3.5%6.9%11.0%12.7%3.8%1.0%6.2M-101.3M-823.7K0.0421.03N/AN/A4,45316594,773165,988
2019-11-11$39.75$38.0012.3%3.5%6.6%13.5%14.9%4.2%-0.4%11.8M-111.8M-820.4K0.8924.93N/AN/A1,2471,105100,426164,162
2019-11-12$39.72$38.0012.1%3.3%4.8%11.7%12.4%3.6%-0.6%11.9M-108.4M-819.3K10.0214.20N/AN/A2,28622,910101,640163,084
2019-11-13$39.66$38.0012.2%3.3%4.9%12.4%19.4%3.9%-1.0%16.0M-105.4M-794.1K20.885.96N/AN/A1382,881103,745152,844
2019-11-14$39.64$38.0011.6%3.2%4.9%8.5%13.3%3.7%-0.7%11.1M-102.1M-786.6K0.159.18N/AN/A22735103,825155,634
2019-11-15$39.86$38.0010.8%3.2%5.2%2.2%14.9%3.7%0.4%31.8M-120.5M-776.8K0.7424.29N/AN/A209155103,645155,631
2019-11-18$39.92$38.0011.4%3.3%5.1%6.6%13.4%3.9%-0.4%12.4M-75.0M-757.4K0.0619.65N/AN/A1,91912477,56792,147
2019-11-19$39.88$38.0011.9%3.4%4.6%10.4%17.6%3.9%-0.4%12.1M-74.5M-766.8K0.175.88N/AN/A4,52175979,45692,174
2019-11-20$39.61$38.0013.3%3.8%5.2%20.2%15.0%4.3%-0.5%9.9M-58.5M-780.9K0.108.94N/AN/A5,51852683,61692,350
2019-11-21$39.68$38.0012.9%3.7%5.2%17.6%14.4%4.3%-0.4%12.9M-67.2M-790.9K0.0517.24N/AN/A3,13716888,43092,889
2019-11-22$39.64$38.0012.2%3.5%5.2%12.5%15.7%4.0%-0.4%14.4M-63.7M-769.5K0.0717.80N/AN/A10,01966092,54092,915
2019-11-25$39.76$38.0010.6%3.1%5.2%1.2%12.2%3.9%0.3%18.5M-78.8M-796.2K0.0511.26N/AN/A1,7178499,09089,748
2019-11-26$39.81$38.0010.2%3.1%5.2%0.0%12.7%3.8%0.1%19.6M-82.5M-783.1K0.246.15N/AN/A31174100,75189,784
2019-11-27$39.78$38.0010.4%3.1%5.0%1.0%13.7%3.3%-0.2%19.5M-79.7M-760.8K1.488.94N/AN/A627929100,77789,819
2019-11-29$39.67$38.0011.7%3.7%5.0%9.9%12.8%3.5%-0.1%17.8M-69.5M-757.1K0.748.87N/AN/A1,4231,052101,10490,576