FEZ Options History — July 2020

In July 2020, FEZ traded between $35.61 and $38.22. ATM implied volatility averaged 25.5%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.8% (HV 20d: 21.8%). Max pain ranged from $35.50 to $36.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2020-07-10: Highest Volume — 29,779 contracts
  • 2020-07-31: Largest IV spike — 8.9% change
  • 2020-07-13: Highest IV Rank — 25.2%
  • 2020-07-01: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.18$35.61$38.22$35.61$36.44
Max Pain$35.95$35.50$36.00$35.50$36.00
ATM IV25.5%22.9%28.4%27.9%27.4%
Expected Move7.3%6.5%8.1%8.1%8.0%
HV 20d21.8%15.9%31.6%31.0%19.9%
HV 60d31.2%28.8%33.9%33.8%29.7%
IV Rank21.3%17.8%25.2%24.5%23.9%
IV Percentile65.2%58.3%73.8%73.8%70.6%
Term Structure-0.1%-2.4%1.0%-0.1%-0.6%
VWIV25.8%20.8%29.7%29.7%27.5%
Skew 25d8.3%6.9%10.2%9.0%9.0%
Skew 10d16.6%13.8%22.5%19.6%17.9%
Call IV 25d22.1%19.8%25.0%24.1%23.6%
Put IV 25d30.4%27.4%33.8%33.0%32.6%
Bid-Ask Spread %42.5913.9383.8253.1813.93
Gamma HHI0.250.120.440.200.41
Net GEX7.6M2.5M10.5M2.8M7.9M
Net DEX-60.4M-110.9M12.1M12.1M-31.8M
Net VEX-595.3K-689.6K-496.5K-507.1K-588.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.021.141.140.94
Total Volume4,254.54544829,7795491,391
Total OI115,007.90993,776134,74296,446120,826

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$35.61$35.5027.9%8.1%31.0%24.5%29.7%9.0%-0.1%2.8M12.1M-507.1K1.1453.18N/AN/A25729243,37553,071
2020-07-02$36.22$35.5026.3%7.7%31.6%22.4%29.4%7.1%-0.0%2.5M-14.3M-501.1K0.0519.92N/AN/A5,43426343,39453,227
2020-07-06$36.89$36.0025.6%7.4%30.6%21.4%28.9%7.9%-0.4%2.9M-19.4M-496.5K0.8477.53N/AN/A7,3736,21842,97050,806
2020-07-07$36.34$36.0026.0%7.8%30.8%22.0%24.4%8.2%0.8%3.0M-6.9M-502.4K0.0265.54N/AN/A3,4328144,96451,265
2020-07-08$36.53$36.0026.0%7.3%30.5%22.0%23.1%7.8%0.2%4.0M-17.2M-514.2K0.0224.01N/AN/A1,3522649,89451,252
2020-07-09$36.08$36.0028.0%8.1%30.7%24.6%25.4%8.3%-0.1%4.1M-2.0M-500.9K0.4422.40N/AN/A55324251,02451,257
2020-07-10$36.55$36.0026.9%7.5%19.4%23.2%26.7%9.9%-0.0%10.2M-22.3M-507.7K0.0521.40N/AN/A28,2721,50751,50351,273
2020-07-13$36.55$36.0028.4%7.7%19.0%25.2%26.2%8.8%-0.3%6.2M-43.1M-642.5K0.3168.26N/AN/A2,48878072,04049,747
2020-07-14$37.09$36.0027.1%7.8%19.4%23.4%28.4%10.2%-0.0%7.3M-60.7M-649.5K0.5476.42N/AN/A1,06157272,49550,310
2020-07-15$37.65$36.0026.7%7.2%19.4%22.9%27.2%8.1%-2.4%8.2M-83.5M-655.0K0.4025.10N/AN/A15,0306,00473,66051,178
2020-07-16$37.50$36.0025.9%7.6%19.5%21.8%27.1%8.8%0.6%10.1M-98.3M-689.6K0.2283.82N/AN/A3688083,57551,098
2020-07-17$37.68$36.0024.7%6.8%19.3%20.2%24.8%6.9%-1.4%10.3M-106.8M-675.5K0.5870.89N/AN/A39723183,62351,119
2020-07-20$37.92$36.0022.9%6.5%19.3%17.8%26.9%7.6%1.0%10.2M-99.7M-657.1K0.5625.31N/AN/A34519476,34642,768
2020-07-21$38.11$36.0023.7%6.8%19.3%18.8%26.5%7.5%-0.3%10.3M-106.8M-648.8K0.5619.85N/AN/A1,09861676,31742,853
2020-07-22$38.22$36.0023.4%6.7%18.9%18.5%25.8%7.6%0.4%10.5M-110.9M-639.2K0.2874.61N/AN/A98427577,10543,802
2020-07-23$37.83$36.0023.6%6.8%16.5%18.8%23.0%8.0%-0.4%9.7M-92.3M-628.9K0.4737.71N/AN/A55226177,60843,866
2020-07-24$37.52$36.0024.6%7.0%16.9%20.0%24.4%8.6%0.5%9.4M-81.7M-624.6K0.5721.91N/AN/A1,9561,11978,02343,853
2020-07-27$37.99$36.0023.4%6.7%15.9%18.4%20.8%8.3%-0.1%9.3M-92.0M-623.9K0.2324.26N/AN/A43710274,84544,249
2020-07-28$37.74$36.0024.4%6.9%16.0%19.9%24.0%7.7%0.6%9.0M-79.1M-608.6K0.1925.21N/AN/A3907375,22644,330
2020-07-29$38.14$36.0023.2%6.6%16.2%18.2%22.3%7.9%0.2%9.9M-99.3M-611.8K0.0869.32N/AN/A6345375,38544,371
2020-07-30$37.36$36.0025.2%7.3%18.4%20.9%26.1%8.4%0.1%9.9M-72.5M-622.0K0.2416.44N/AN/A65015775,89744,384
2020-07-31$36.44$36.0027.4%8.0%19.9%23.9%27.5%9.0%-0.6%7.9M-31.8M-588.8K0.9413.93N/AN/A71667576,35344,473