FEZ Options History — November 2020

In November 2020, FEZ traded between $34.15 and $40.93. ATM implied volatility averaged 22.1%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 9.0% (HV 20d: 31.1%). Max pain ranged from $35.50 to $39.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 4.37.

Notable Days

  • 2020-11-09: Highest Volume — 54,497 contracts
  • 2020-11-30: Largest IV spike — 17.7% change
  • 2020-11-02: Highest IV Rank — 30.7%
  • 2020-11-02: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.93$34.15$40.93$34.15$40.43
Max Pain$37.88$35.50$39.00$35.50$39.00
ATM IV22.1%17.4%32.5%32.5%20.5%
Expected Move6.5%5.1%10.3%10.3%6.2%
HV 20d31.1%23.9%35.1%25.1%24.3%
HV 60d25.3%22.3%26.4%22.3%25.1%
IV Rank16.7%10.4%30.7%30.7%14.6%
IV Percentile35.6%23.0%81.7%81.7%25.4%
Term Structure-0.2%-1.3%0.5%-1.3%0.2%
VWIV25.9%20.0%34.6%34.6%23.7%
Skew 25d6.6%4.7%10.1%9.9%6.7%
Skew 10d16.3%9.7%27.3%22.5%17.3%
Call IV 25d19.6%15.7%27.6%27.6%18.4%
Put IV 25d26.1%21.2%37.5%37.5%25.1%
Bid-Ask Spread %25.0911.8973.0218.1118.32
Gamma HHI0.170.120.240.190.16
Net GEX-5.4M-8.7M-980.8K-8.0M-5.0M
Net DEX-13.7M-84.7M174.4M174.4M-1.9M
Net VEX-719.2K-858.8K-573.0K-838.1K-628.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.370.0823.381.001.85
Total Volume4,874.217754,4972,244177
Total OI194,677.9153,722236,525171,433153,722

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$34.15$35.5032.5%10.3%25.1%30.7%34.6%9.9%-1.3%-8.0M174.4M-838.1K1.0018.11N/AN/A1,1201,12448,122123,311
2020-11-03$35.45$35.5028.6%9.5%28.9%25.4%33.1%10.1%-0.5%-8.3M115.1M-858.8K1.0032.19N/AN/A1,1181,12348,122123,311
2020-11-04$35.85$35.5024.6%7.8%29.0%20.0%31.9%8.0%-0.2%-8.7M89.3M-837.1K5.0073.02N/AN/A10653050,193125,376
2020-11-05$36.74$37.0024.7%6.9%30.4%20.2%27.5%6.8%-0.3%-7.5M38.7M-817.3K3.3333.72N/AN/A12240650,215125,784
2020-11-06$37.10$37.0024.0%6.9%30.4%19.3%29.4%7.6%0.2%-7.3M22.7M-795.1K13.7034.61N/AN/A1291,76750,238125,873
2020-11-09$38.98$37.0022.4%6.3%35.1%17.0%28.5%5.2%-0.4%-2.2M-65.4M-647.1K23.3832.80N/AN/A2,23552,26248,787127,213
2020-11-10$39.60$37.0022.6%6.4%35.1%17.3%26.9%5.4%-0.1%-4.5M-64.7M-720.8K3.4725.14N/AN/A5902,04850,367166,610
2020-11-11$39.61$37.0020.7%5.9%35.0%14.8%24.1%5.5%-0.2%-4.1M-69.8M-695.7K4.3230.66N/AN/A6432,77950,480168,783
2020-11-12$39.02$37.0022.9%6.7%34.6%17.7%24.9%6.3%0.5%-6.5M-35.3M-791.8K4.7318.55N/AN/A2,58912,24350,890171,223
2020-11-13$39.65$39.0021.2%6.0%34.8%15.5%25.5%6.1%-0.5%-5.1M-60.7M-765.4K4.1517.59N/AN/A1,2555,21053,255183,166
2020-11-16$39.85$39.0020.9%6.0%34.6%15.0%24.8%6.6%-0.1%-4.2M-73.0M-734.4K2.9523.61N/AN/A24572354,208180,250
2020-11-17$39.99$39.0020.6%5.9%34.6%14.7%27.7%5.8%-0.8%-3.9M-84.7M-690.6K4.3512.85N/AN/A13056654,231180,505
2020-11-18$39.86$39.0020.7%5.9%34.1%14.9%22.7%5.6%-0.3%-4.5M-76.9M-703.0K4.0331.22N/AN/A4141,66954,281180,727
2020-11-19$40.00$39.0020.5%5.9%34.0%14.6%22.8%7.5%-0.2%-5.0M-79.8M-701.3K1.3222.58N/AN/A68690353,992181,410
2020-11-20$39.98$39.0019.2%5.5%34.0%12.8%21.4%6.8%-0.1%-980.8K-82.4M-689.1K0.7311.89N/AN/A28921054,417182,108
2020-11-23$40.02$39.0019.7%5.8%30.6%13.4%22.4%5.9%0.0%-8.0M12.2M-669.3K0.7918.13N/AN/A24119124,588130,806
2020-11-24$40.56$39.0019.1%5.4%29.7%12.7%22.8%5.5%-0.3%-5.7M-3.5M-630.6K4.6316.88N/AN/A5123624,675130,878
2020-11-25$40.74$39.0018.7%5.4%24.0%12.2%20.0%4.7%0.1%-4.5M-11.9M-597.5K2.4814.36N/AN/A5212924,689130,971
2020-11-27$40.93$39.0017.4%5.1%23.9%10.4%23.2%5.7%-0.4%-4.1M-17.0M-573.0K0.0815.63N/AN/A1,0839024,705131,076
2020-11-30$40.43$39.0020.5%6.2%24.3%14.6%23.7%6.7%0.2%-5.0M-1.9M-628.7K1.8518.32N/AN/A6211525,622128,100