FEZ Options History — March 2021

In March 2021, FEZ traded between $42.58 and $44.75. ATM implied volatility averaged 16.9%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.4% (HV 20d: 13.5%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 10.53.

Notable Days

  • 2021-03-05: Highest Volume — 7,026 contracts
  • 2021-03-18: Largest IV spike — 15.5% change
  • 2021-03-04: Highest IV Rank — 6.9%
  • 2021-03-03: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.92$42.58$44.75$43.24$44.53
Max Pain$42.13$42.00$43.00$42.00$42.00
ATM IV16.9%14.9%21.3%19.4%15.4%
Expected Move4.8%4.1%5.7%5.6%4.1%
HV 20d13.5%11.7%15.2%12.7%12.7%
HV 60d16.0%15.2%16.6%16.0%15.2%
IV Rank2.1%0.0%6.9%4.0%1.5%
IV Percentile4.2%0.0%27.4%13.1%0.8%
Term Structure-0.0%-0.8%1.1%-0.3%0.1%
VWIV18.2%13.4%24.9%24.9%18.4%
Skew 25d6.4%4.8%9.6%9.0%4.9%
Skew 10d16.7%10.4%23.3%21.5%15.6%
Call IV 25d14.5%12.5%17.5%15.4%13.6%
Put IV 25d20.9%18.4%26.6%24.4%18.5%
Bid-Ask Spread %51.2623.38101.6946.5550.06
Gamma HHI0.280.090.630.120.63
Net GEX4.9M-633.5K13.2M-6.6K13.2M
Net DEX-21.0M-46.7M6.8M-388.2K-32.8M
Net VEX-451.2K-506.4K-359.9K-497.4K-371.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.530.02205.500.090.13
Total Volume843.043167,026582162
Total OI69,36963,81574,81663,81566,403

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$43.24$42.0019.4%5.6%12.7%4.0%24.9%9.0%-0.3%-6.6K-388.2K-497.4K0.0946.55N/AN/A5364617,09946,716
2021-03-02$43.41$42.0018.0%5.3%12.1%2.0%18.6%7.3%-0.2%201.2K-3.0M-496.8K0.1235.22N/AN/A3213717,12046,695
2021-03-03$43.23$42.0019.4%5.7%11.7%4.1%20.8%7.6%-0.4%8.6K-1.0M-492.0K205.5057.33N/AN/A482217,39746,715
2021-03-04$42.58$43.0021.3%5.7%13.1%6.9%21.0%9.0%-0.7%-633.5K6.8M-506.4K1.5952.38N/AN/A14523017,39846,913
2021-03-05$42.82$43.0019.0%5.4%13.2%3.4%18.8%9.6%-0.2%-478.2K3.7M-489.4K0.0258.09N/AN/A6,88314317,39946,897
2021-03-08$43.11$43.0018.8%5.4%12.9%3.1%20.9%7.7%-0.0%2.0M-6.5M-502.1K0.5961.78N/AN/A22913524,20146,844
2021-03-09$43.69$42.0017.7%4.9%13.6%1.5%18.0%7.2%-0.5%3.7M-18.5M-482.0K1.7627.48N/AN/A8414824,41146,826
2021-03-10$44.12$42.0016.6%5.0%13.9%0.0%21.2%6.2%0.9%4.5M-27.5M-475.9K0.7558.16N/AN/A86564524,51046,961
2021-03-11$44.56$42.0016.3%4.5%13.9%0.0%17.0%5.3%-0.8%5.4M-38.8M-477.4K0.1754.23N/AN/A1953425,23747,592
2021-03-12$44.51$42.0015.7%4.5%13.7%0.0%20.0%6.9%-0.8%5.8M-36.6M-472.2K0.1323.38N/AN/A6368225,17947,617
2021-03-15$44.28$42.0016.8%4.9%13.9%1.7%18.6%5.7%-0.4%6.1M-34.4M-450.9K0.9854.23N/AN/A1,0291,00625,48147,543
2021-03-16$44.35$42.0016.2%4.7%13.7%0.7%21.4%6.4%-0.6%6.6M-34.3M-463.9K17.4870.07N/AN/A581,01426,37348,443
2021-03-17$44.75$42.0014.9%4.3%13.5%0.0%16.0%5.0%1.1%7.3M-46.7M-441.5K1.64101.69N/AN/A12220026,33947,744
2021-03-18$44.19$42.0017.2%4.9%14.3%3.5%16.7%5.5%0.7%6.7M-31.0M-459.2K1.6178.48N/AN/A7411926,31847,860
2021-03-19$44.32$42.0016.1%4.6%14.3%2.2%17.8%4.8%0.0%7.5M-33.2M-440.7K1.5436.98N/AN/A548326,35947,972
2021-03-22$44.25$42.0015.7%4.3%14.3%1.7%17.8%5.7%-0.1%7.7M-26.8M-441.4K0.9771.73N/AN/A73371324,49345,848
2021-03-23$43.66$42.0016.2%4.5%15.2%2.9%17.4%4.9%1.0%3.5M-12.7M-424.8K2.0048.38N/AN/A142824,12045,206
2021-03-24$43.64$42.0016.5%4.6%15.0%3.7%13.4%5.0%0.2%3.4M-14.0M-417.1K0.6058.14N/AN/A10624,12845,220
2021-03-25$43.84$42.0015.6%4.3%13.5%1.8%15.8%6.3%0.2%4.3M-14.1M-419.6K3.4138.19N/AN/A175824,12545,224
2021-03-26$44.25$42.0015.3%4.2%13.5%1.0%14.6%6.0%0.2%7.6M-24.1M-393.9K0.1842.22N/AN/A62311423,98245,095
2021-03-29$44.39$42.0015.6%4.4%12.9%1.7%16.1%5.5%0.3%8.4M-25.5M-402.0K0.4827.15N/AN/A1085220,79844,937
2021-03-30$44.50$42.0015.6%4.3%12.9%1.9%14.2%5.1%0.3%10.9M-30.9M-359.9K0.3927.03N/AN/A55521820,76044,989
2021-03-31$44.53$42.0015.4%4.1%12.7%1.5%18.4%4.9%0.1%13.2M-32.8M-371.3K0.1350.06N/AN/A1431921,29445,109