FEZ Options History — August 2020

In August 2020, FEZ traded between $37.28 and $38.82. ATM implied volatility averaged 22.5%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.1% (HV 20d: 19.4%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.98.

Notable Days

  • 2020-08-10: Highest Volume — 24,255 contracts
  • 2020-08-27: Largest IV spike — 8.6% change
  • 2020-08-05: Highest IV Rank — 20.1%
  • 2020-08-03: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.07$37.28$38.82$37.28$38.25
Max Pain$37.24$35.00$39.00$36.00$38.00
ATM IV22.5%20.2%24.6%24.5%24.4%
Expected Move6.5%5.5%7.2%7.2%7.1%
HV 20d19.4%15.5%20.8%20.5%15.5%
HV 60d26.4%22.7%29.8%29.8%22.7%
IV Rank17.3%14.1%20.1%20.0%19.8%
IV Percentile54.2%49.2%60.3%59.9%58.7%
Term Structure0.1%-0.8%1.9%-0.3%-0.2%
VWIV22.8%13.1%28.5%26.0%25.9%
Skew 25d7.6%6.4%8.6%7.6%8.3%
Skew 10d18.0%13.4%22.6%22.6%16.7%
Call IV 25d19.2%16.8%21.7%21.7%20.7%
Put IV 25d26.8%24.5%29.3%29.3%29.0%
Bid-Ask Spread %24.9310.8472.5617.8872.56
Gamma HHI0.260.090.440.380.29
Net GEX5.3M-982.1K11.7M10.1M3.2M
Net DEX-37.2M-85.9M2.2M-66.4M-20.1M
Net VEX-502.8K-588.4K-434.1K-588.4K-517.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.0213.820.530.95
Total Volume3,057.09518124,255742876
Total OI99,036.52469,609121,319119,94887,396

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$37.28$36.0024.5%7.2%20.5%20.0%26.0%7.6%-0.3%10.1M-66.4M-588.4K0.5317.88N/AN/A48425876,06643,882
2020-08-04$37.49$36.0023.7%6.8%19.7%18.9%13.1%7.4%-0.7%10.6M-73.6M-578.7K0.3918.86N/AN/A2359176,51244,092
2020-08-05$37.70$36.0024.6%7.0%19.7%20.1%25.9%7.0%-0.3%10.9M-85.9M-580.9K4.9915.58N/AN/A8944476,53644,064
2020-08-06$37.74$37.0023.8%6.5%19.0%19.0%25.2%7.3%-0.3%11.0M-84.5M-571.8K8.7036.45N/AN/A5648776,54844,344
2020-08-07$37.48$37.0022.5%6.9%18.9%17.3%0.0%7.8%-0.3%11.7M-71.7M-560.2K0.0532.88N/AN/A6,10932776,52844,791
2020-08-10$37.50$37.0022.2%6.8%18.9%16.8%21.2%7.8%1.3%10.2M-62.8M-531.8K0.0249.03N/AN/A23,75949671,16244,523
2020-08-11$37.88$37.0022.1%6.6%18.5%16.8%24.1%7.1%0.8%4.0M-20.6M-482.8K1.1947.44N/AN/A53463449,18544,993
2020-08-12$38.74$37.0021.7%6.0%19.4%16.1%22.3%6.6%-0.8%6.3M-42.7M-479.4K1.2916.83N/AN/A39550849,37745,454
2020-08-13$38.45$38.0022.4%6.6%19.6%17.1%25.3%7.2%1.1%5.4M-32.6M-482.0K1.8215.33N/AN/A46183749,39745,880
2020-08-14$38.01$38.0023.3%6.7%20.0%18.3%28.4%8.0%0.2%3.7M-17.3M-476.7K0.3417.04N/AN/A1,40448249,70046,757
2020-08-17$38.25$38.0022.9%6.6%20.0%17.7%17.6%7.9%0.2%4.5M-26.3M-465.2K3.5215.22N/AN/A4014150,10646,687
2020-08-18$38.31$38.0022.2%6.4%20.0%16.9%28.5%7.5%-0.1%4.5M-26.3M-457.7K0.9119.76N/AN/A75768950,07546,803
2020-08-19$38.20$35.0022.0%6.3%20.0%16.5%25.2%7.5%1.1%3.4M-23.0M-453.4K1.2210.84N/AN/A9812050,26247,327
2020-08-20$38.01$35.0021.2%6.0%19.7%15.5%21.0%8.2%0.7%1.9M-15.6M-446.3K13.8216.19N/AN/A781,07850,27147,410
2020-08-21$37.55$39.0021.2%5.9%20.0%15.5%22.9%7.7%1.9%-982.1K2.2M-449.6K0.2917.15N/AN/A72821149,07848,226
2020-08-24$38.31$38.0021.6%6.0%20.8%16.0%20.0%7.7%0.3%-700.2K-2.7M-434.1K0.0229.97N/AN/A10,67925726,23943,370
2020-08-25$38.55$38.0021.6%6.2%20.7%16.0%20.7%6.4%-0.5%2.4M-23.4M-473.6K0.5515.16N/AN/A2,6011,43736,74643,357
2020-08-26$38.82$38.0020.2%5.5%20.5%14.1%20.5%7.9%-0.8%3.0M-32.4M-490.3K0.1014.70N/AN/A1,26312538,96344,627
2020-08-27$38.41$38.0021.9%6.2%19.4%16.5%20.1%7.6%-0.4%2.7M-23.7M-508.6K0.2822.86N/AN/A2,93982140,11844,737
2020-08-28$38.62$38.0023.0%6.6%16.7%17.9%22.5%8.6%0.0%3.4M-31.1M-529.1K0.6721.71N/AN/A70147042,69645,482
2020-08-31$38.25$38.0024.4%7.1%15.5%19.8%25.9%8.3%-0.2%3.2M-20.1M-517.6K0.9572.56N/AN/A44942742,24645,150