FEZ Options History — May 2020

In May 2020, FEZ traded between $29.37 and $33.40. ATM implied volatility averaged 29.1%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 5.4% (HV 20d: 34.5%). Max pain ranged from $30.00 to $37.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 17.59.

Notable Days

  • 2020-05-18: Highest Volume — 22,925 contracts
  • 2020-05-18: Largest IV drop — 18.8% change
  • 2020-05-04: Highest IV Rank — 33.8%
  • 2020-05-04: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.94$29.37$33.40$30.38$33.33
Max Pain$31.75$30.00$37.00$37.00$32.00
ATM IV29.1%25.8%34.8%33.5%27.6%
Expected Move8.4%7.4%9.8%9.8%7.9%
HV 20d34.5%26.5%42.2%42.2%33.8%
HV 60d60.3%59.5%61.5%59.5%61.0%
IV Rank26.1%21.7%33.8%32.1%24.1%
IV Percentile81.1%76.2%85.7%85.7%79.0%
Term Structure0.3%-0.9%1.8%-0.3%-0.9%
VWIV30.9%24.1%38.6%38.6%36.6%
Skew 25d10.7%8.8%13.9%12.0%9.5%
Skew 10d20.5%14.3%31.3%18.8%14.3%
Call IV 25d24.5%21.9%28.6%28.6%24.2%
Put IV 25d35.2%31.3%42.2%40.7%33.7%
Bid-Ask Spread %35.2312.6779.2979.2921.87
Gamma HHI0.160.110.210.130.18
Net GEX-2.0M-2.7M-1.3M-1.9M-1.3M
Net DEX73.2M30.8M93.3M80.6M31.0M
Net VEX-387.7K-495.9K-281.6K-348.5K-495.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio17.590.07146.0041.337.86
Total Volume2,942.23922,925635328
Total OI82,409.1567,336102,27970,411102,279

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$30.38$37.0033.5%9.8%42.2%32.1%38.6%12.0%-0.3%-1.9M80.6M-348.5K41.3379.29N/AN/A1562024,43345,978
2020-05-04$30.18$30.0034.8%9.8%41.2%33.8%37.3%13.9%1.3%-1.8M81.4M-346.5K24.6360.21N/AN/A571,40424,39845,068
2020-05-05$30.18$30.0033.1%9.3%34.8%31.6%32.0%12.2%-0.4%-2.0M83.4M-346.6K0.9521.25N/AN/A201924,42346,380
2020-05-06$29.82$30.0030.9%8.8%34.6%28.5%30.1%11.8%-0.2%-1.9M87.6M-321.1K1.9019.45N/AN/A17132524,42646,391
2020-05-07$30.34$30.0028.8%8.8%35.2%25.7%29.3%10.4%0.4%-2.2M84.1M-343.0K1.8145.47N/AN/A15427924,57746,680
2020-05-08$30.82$30.0026.0%7.6%33.8%21.9%29.7%8.8%0.4%-2.6M80.3M-359.6K7.0922.42N/AN/A2215624,68046,774
2020-05-11$30.65$30.0027.0%7.5%33.3%23.2%28.8%10.1%-0.5%-2.7M82.5M-340.7K0.2019.32N/AN/A2505024,63946,750
2020-05-12$30.24$30.0027.1%7.8%32.8%23.5%30.1%9.8%-0.2%-2.3M88.0M-318.2K3.4821.34N/AN/A238024,82946,783
2020-05-13$29.48$30.0031.1%9.3%29.9%28.8%35.2%12.2%1.8%-1.5M92.9M-281.6K4.6854.37N/AN/A1,1375,32224,84646,789
2020-05-14$29.41$34.0032.1%9.3%29.8%30.1%32.2%12.0%0.3%-1.3M88.5M-295.0K99.5574.28N/AN/A383,78325,87046,705
2020-05-15$29.37$34.0031.8%9.4%26.5%29.7%32.4%11.9%1.7%-1.5M93.3M-312.6K1.1718.74N/AN/A1,1341,33225,87850,076
2020-05-18$31.31$34.0025.8%7.4%35.1%21.7%30.5%10.2%0.6%-1.7M66.3M-374.9K3.4833.87N/AN/A5,12117,80421,96145,375
2020-05-19$30.88$32.0027.5%7.9%34.3%24.0%29.8%9.8%1.2%-2.7M79.3M-426.4K2.5824.31N/AN/A2,0395,25727,04162,801
2020-05-20$31.56$32.0027.2%7.8%34.9%23.6%26.1%9.5%0.3%-2.6M70.5M-468.4K0.4741.51N/AN/A3,0941,44729,05168,170
2020-05-21$31.22$32.0029.2%8.3%35.0%26.2%33.5%10.2%0.8%-2.4M74.4M-470.0K146.0025.16N/AN/A114632,12268,411
2020-05-22$31.15$32.0029.1%8.2%34.9%26.1%27.4%11.0%1.0%-2.5M76.7M-461.7K3.6336.08N/AN/A8330132,12268,588
2020-05-26$32.16$32.0027.5%7.7%36.0%24.0%25.9%10.4%-0.9%-1.7M54.9M-472.9K0.4612.67N/AN/A47622032,03468,592
2020-05-27$33.01$32.0025.8%7.4%36.9%21.7%28.7%9.3%-0.5%-1.4M36.4M-477.8K0.0717.94N/AN/A4,30028132,30068,638
2020-05-28$33.40$32.0025.9%7.4%35.1%21.8%24.1%9.6%-0.7%-1.4M30.8M-491.8K0.4255.06N/AN/A1,09546032,54568,780
2020-05-29$33.33$32.0027.6%7.9%33.8%24.1%36.6%9.5%-0.9%-1.3M31.0M-495.9K7.8621.87N/AN/A3729133,61368,666