FEZ Options History — April 2020

In April 2020, FEZ traded between $27.74 and $31.82. ATM implied volatility averaged 38.5%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 25.4% (HV 20d: 63.9%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 13.24.

Notable Days

  • 2020-04-09: Highest Volume — 3,751 contracts
  • 2020-04-30: Largest IV spike — 16.8% change
  • 2020-04-01: Highest IV Rank — 60.0%
  • 2020-04-01: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.00$27.74$31.82$27.99$31.09
Max Pain$36.90$35.00$37.00$35.00$37.00
ATM IV38.5%26.4%54.2%54.2%30.8%
Expected Move11.1%7.7%16.5%16.5%9.3%
HV 20d63.9%41.1%90.1%89.9%41.1%
HV 60d57.7%54.6%59.5%54.6%59.5%
IV Rank38.7%22.5%60.0%60.0%28.4%
IV Percentile89.6%83.3%96.0%96.0%84.1%
Term Structure-0.6%-3.2%1.1%-2.7%0.1%
VWIV39.2%28.5%52.2%52.2%36.5%
Skew 25d13.4%8.7%16.9%16.9%10.8%
Skew 10d26.1%18.9%32.9%32.9%23.5%
Call IV 25d32.5%22.8%44.2%44.2%25.8%
Put IV 25d46.0%31.5%61.0%61.0%36.6%
Bid-Ask Spread %62.5537.7782.1980.7257.27
Gamma HHI0.110.090.140.090.13
Net GEX-1.4M-2.0M-977.7K-1.2M-2.0M
Net DEX76.4M65.2M90.9M90.9M75.0M
Net VEX-323.0K-402.6K-198.6K-245.5K-377.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.240.0791.730.160.75
Total Volume1,356.5241223,751544349
Total OI72,103.1967,06677,62173,02270,197

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$27.99$35.0054.2%16.5%89.9%60.0%52.2%16.9%-2.7%-1.2M90.9M-245.5K0.1680.72N/AN/A4707426,77346,249
2020-04-02$28.37$37.0046.5%13.9%90.1%49.5%51.5%16.6%-2.4%-1.3M86.4M-225.7K9.0074.03N/AN/A2118927,14044,002
2020-04-03$27.74$37.0046.0%13.0%90.1%48.9%41.7%13.5%-0.9%-1.3M88.5M-198.6K0.1878.28N/AN/A2,79251027,13344,101
2020-04-06$29.56$37.0039.2%10.8%89.7%39.7%41.9%15.0%-0.7%-1.2M79.2M-284.9K0.0778.65N/AN/A3,18523028,82644,371
2020-04-07$30.02$37.0042.9%11.3%89.6%44.7%39.9%13.7%-3.2%-1.1M73.1M-332.5K1.1982.19N/AN/A26431332,00144,507
2020-04-08$30.12$37.0040.4%11.5%88.1%41.4%44.4%13.5%-0.7%-1.0M72.2M-333.8K1.6979.67N/AN/A6210532,25244,734
2020-04-09$31.06$37.0039.2%11.0%76.2%39.8%40.8%13.5%-1.0%-977.7K65.3M-375.8K0.1867.77N/AN/A3,16858332,29344,751
2020-04-13$30.53$37.0036.7%10.4%75.5%36.4%44.0%12.9%0.4%-1.0M70.5M-337.3K1.2369.60N/AN/A16420230,19443,571
2020-04-14$31.15$37.0036.1%10.3%63.1%35.5%36.1%12.4%-0.4%-1.0M65.2M-357.3K39.6165.97N/AN/A742,93130,10443,680
2020-04-15$29.77$37.0038.4%11.0%64.6%38.7%36.3%13.9%-0.1%-1.2M79.4M-315.0K16.0357.40N/AN/A3759330,14546,422
2020-04-16$29.59$37.0038.5%11.0%53.9%38.7%36.8%14.3%1.1%-1.1M80.9M-306.2K49.5945.24N/AN/A291,43830,16746,760
2020-04-17$30.68$37.0035.7%10.1%54.0%35.0%35.8%13.6%0.6%-1.4M73.0M-347.4K13.4139.04N/AN/A1692,26630,16647,455
2020-04-20$30.32$37.0037.8%11.0%54.5%37.8%38.8%14.7%-0.7%-1.6M75.1M-337.9K0.2354.38N/AN/A80218425,05242,570
2020-04-21$29.60$37.0041.9%12.2%55.6%43.3%37.9%15.8%0.3%-1.4M79.2M-312.4K91.7341.39N/AN/A151,37625,14042,690
2020-04-22$29.88$37.0039.7%11.6%47.7%40.4%0.0%14.7%-0.6%-1.4M75.8M-324.9K18.6837.77N/AN/A751,40125,15441,912
2020-04-23$29.59$37.0039.4%11.4%44.3%40.0%36.0%13.3%-0.2%-1.4M78.8M-319.4K0.3564.39N/AN/A1214225,20543,262
2020-04-24$29.93$37.0034.9%10.4%43.8%33.9%35.9%12.2%-0.4%-1.5M77.5M-327.0K6.7655.96N/AN/A2681,81125,18943,229
2020-04-27$30.52$37.0031.9%9.5%43.1%29.9%28.5%11.3%-0.7%-1.7M76.0M-362.7K2.9463.61N/AN/A319124,16344,566
2020-04-28$30.70$37.0031.3%9.6%42.9%29.0%0.0%11.3%-0.2%-1.7M75.7M-358.1K8.3347.26N/AN/A7058324,18844,631
2020-04-29$31.82$37.0026.4%7.7%44.2%22.5%30.7%8.7%-0.2%-1.9M67.0M-402.6K15.8672.96N/AN/A831,31624,25444,968
2020-04-30$31.09$37.0030.8%9.3%41.1%28.4%36.5%10.8%0.1%-2.0M75.0M-377.8K0.7557.27N/AN/A19915024,25945,938