FEZ Options History — October 2020

In October 2020, FEZ traded between $33.47 and $37.90. ATM implied volatility averaged 27.0%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 6.0% (HV 20d: 21.0%). Max pain ranged from $35.50 to $38.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 13.48.

Notable Days

  • 2020-10-21: Highest Volume — 37,415 contracts
  • 2020-10-28: Largest IV spike — 18.9% change
  • 2020-10-28: Highest IV Rank — 36.7%
  • 2020-10-28: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.36$33.47$37.90$36.34$33.47
Max Pain$37.66$35.50$38.00$38.00$35.50
ATM IV27.0%21.7%36.9%25.3%33.3%
Expected Move7.8%6.1%11.2%7.0%10.3%
HV 20d21.0%17.0%24.6%23.1%24.6%
HV 60d20.5%19.9%21.9%20.2%21.9%
IV Rank23.3%16.2%36.7%21.0%31.8%
IV Percentile62.8%40.5%87.3%57.9%83.3%
Term Structure-0.3%-1.4%2.4%1.9%-0.6%
VWIV28.2%17.6%42.9%28.7%40.5%
Skew 25d8.5%5.9%11.3%6.5%11.0%
Skew 10d19.0%11.9%37.9%11.9%19.4%
Call IV 25d23.1%19.2%31.2%22.1%29.0%
Put IV 25d31.7%25.1%42.4%28.6%39.9%
Bid-Ask Spread %23.9813.5672.9324.7863.02
Gamma HHI0.140.100.240.110.19
Net GEX-4.2M-9.3M-829.8K-3.5M-7.1M
Net DEX68.4M9.4M204.5M48.2M202.5M
Net VEX-583.6K-837.5K-450.0K-515.8K-792.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.480.0382.6566.007.41
Total Volume4,925.63617637,4151,7427,113
Total OI110,498.18282,786169,18195,490169,181

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$36.34$38.0025.3%7.0%23.1%21.0%28.7%6.5%1.9%-3.5M48.2M-515.8K66.0024.78N/AN/A261,71630,85264,638
2020-10-02$36.41$38.0025.6%7.2%21.8%21.4%25.9%8.2%2.4%-3.4M47.3M-533.0K4.0722.08N/AN/A4116730,85066,296
2020-10-05$37.00$38.0025.4%7.4%22.6%21.1%25.8%8.7%0.2%-2.8M34.6M-515.6K0.2018.86N/AN/A4258730,61365,628
2020-10-06$36.64$38.0026.7%7.3%22.3%22.9%25.6%8.2%-1.0%-3.2M40.4M-509.9K4.5019.66N/AN/A3214430,91765,672
2020-10-07$37.00$38.0025.4%7.2%20.9%21.1%25.9%8.0%-0.4%-2.8M33.1M-507.3K33.2318.71N/AN/A2686430,94365,727
2020-10-08$37.25$38.0024.4%7.0%20.8%19.7%38.5%6.8%-0.5%-2.3M26.3M-495.3K5.7219.26N/AN/A2916630,96165,882
2020-10-09$37.59$38.0022.6%6.2%20.9%17.3%20.2%6.9%0.3%-1.6M18.8M-482.2K1.4530.23N/AN/A14821530,96765,984
2020-10-12$37.90$38.0021.7%6.1%21.1%16.2%24.6%5.9%-0.3%-829.8K9.4M-458.5K10.1017.94N/AN/A2302,32330,83365,602
2020-10-13$37.41$38.0022.6%6.7%21.5%17.4%17.6%7.6%0.8%-1.9M23.1M-467.3K2.4813.56N/AN/A9323130,97666,123
2020-10-14$37.24$38.0023.7%6.7%21.5%18.9%19.6%6.5%-0.0%-2.5M27.2M-458.2K2.2417.94N/AN/A12026931,01966,331
2020-10-15$36.52$38.0025.3%6.9%22.5%21.0%28.8%9.2%-1.3%-4.2M43.5M-456.8K40.7622.20N/AN/A743,01631,12966,557
2020-10-16$36.93$38.0024.6%7.0%22.7%20.0%30.7%7.0%-0.3%-2.4M32.8M-458.2K1.6817.82N/AN/A23940131,17965,068
2020-10-19$36.73$38.0026.7%7.6%17.0%22.9%21.5%8.0%-0.6%-2.0M32.6M-450.0K3.6717.55N/AN/A25192127,59155,195
2020-10-20$37.11$38.0026.8%7.6%17.3%23.0%27.8%9.7%-0.6%-1.6M27.7M-461.9K0.4315.32N/AN/A25511027,76056,056
2020-10-21$36.61$38.0028.3%8.1%17.3%25.1%30.1%9.3%-0.7%-2.0M35.8M-465.1K10.4615.85N/AN/A3,26634,14927,93256,148
2020-10-22$36.55$38.0027.5%7.9%17.3%24.0%29.3%9.6%-0.7%-5.5M75.6M-772.2K4.0016.09N/AN/A4,02916,12631,13290,239
2020-10-23$36.91$37.0026.2%7.6%17.4%22.2%24.3%9.3%-1.0%-7.3M78.0M-837.5K0.8915.81N/AN/A26323335,158106,330
2020-10-26$35.62$37.0030.3%8.9%20.2%27.7%32.9%10.5%-0.7%-8.4M123.9M-822.3K2.5514.09N/AN/A15940534,866106,053
2020-10-27$35.09$37.0031.1%9.2%20.7%28.7%24.9%9.5%-0.8%-8.6M143.5M-802.2K82.6516.39N/AN/A1068,76134,912106,385
2020-10-28$33.72$37.0036.9%11.2%24.6%36.7%42.9%11.3%-1.4%-8.4M195.5M-790.2K11.9472.93N/AN/A6177,36734,880114,499
2020-10-29$33.78$37.0033.5%10.3%24.6%32.0%34.4%10.4%-1.1%-9.3M204.5M-787.1K0.0337.45N/AN/A12,72143035,382120,514
2020-10-30$33.47$35.5033.3%10.3%24.6%31.8%40.5%11.0%-0.6%-7.1M202.5M-792.7K7.4163.02N/AN/A8466,26748,058121,123