FEZ Options History — May 2021

In May 2021, FEZ traded between $46.00 and $48.62. ATM implied volatility averaged 16.8%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 2.8% (HV 20d: 19.6%). Max pain ranged from $42.00 to $48.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2021-05-21: Highest Volume — 13,625 contracts
  • 2021-05-19: Largest IV spike — 15.6% change
  • 2021-05-19: Highest IV Rank — 31.4%
  • 2021-05-12: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.60$46.00$48.62$47.05$48.62
Max Pain$46.20$42.00$48.00$42.00$48.00
ATM IV16.8%14.3%20.4%15.3%15.1%
Expected Move4.8%4.1%6.1%4.3%4.1%
HV 20d19.6%14.4%21.6%14.4%20.2%
HV 60d15.7%13.6%16.9%13.6%15.9%
IV Rank16.3%5.8%31.4%10.0%9.2%
IV Percentile16.7%5.2%40.1%7.5%7.5%
Term Structure0.2%-0.9%1.5%0.3%-0.9%
VWIV16.7%11.0%24.3%15.6%16.5%
Skew 25d7.3%6.0%8.5%7.1%6.0%
Skew 10d17.5%12.5%24.9%17.9%14.7%
Call IV 25d14.2%12.2%17.5%12.4%12.3%
Put IV 25d21.5%18.3%25.8%19.5%18.3%
Bid-Ask Spread %59.0625.7497.4636.8550.62
Gamma HHI0.280.220.400.320.23
Net GEX11.4M5.3M18.9M6.9M17.2M
Net DEX-73.7M-109.6M-41.5M-68.2M-66.4M
Net VEX-335.5K-377.7K-270.0K-311.2K-351.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.011.170.090.04
Total Volume3,989.4510813,6253722,373
Total OI80,600.9568,07992,35775,58175,407

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$47.05$42.0015.3%4.3%14.4%10.0%15.6%7.1%0.3%6.9M-68.2M-311.2K0.0936.85N/AN/A3413129,28746,294
2021-05-04$46.00$42.0016.9%5.1%16.1%16.6%19.0%6.7%0.3%6.9M-41.5M-360.9K0.0384.83N/AN/A3,2949129,48146,316
2021-05-05$46.82$42.0015.5%4.4%17.2%11.0%14.1%6.3%0.2%9.7M-71.5M-337.3K0.0197.46N/AN/A6,2465332,55346,369
2021-05-06$47.25$45.0016.4%4.9%17.3%14.7%15.6%6.8%0.1%11.4M-91.1M-338.2K0.0171.66N/AN/A6,2614238,47146,400
2021-05-07$48.00$45.0014.3%4.5%18.1%5.8%18.6%6.2%0.2%12.2M-109.6M-322.0K0.3335.64N/AN/A45214737,78046,425
2021-05-10$47.56$45.0016.0%4.4%18.4%12.9%17.2%6.8%-0.8%12.7M-82.4M-342.2K0.7630.27N/AN/A1,25795635,49546,236
2021-05-11$46.90$46.0017.6%5.1%19.1%19.7%19.6%7.8%0.5%11.1M-58.9M-342.9K0.6088.79N/AN/A58535036,33347,212
2021-05-12$46.39$46.0019.7%6.1%19.6%28.4%24.3%8.5%1.5%8.1M-45.5M-355.0K0.0473.24N/AN/A7,91331536,67447,513
2021-05-13$46.99$46.0018.1%5.3%20.0%21.6%19.1%7.7%0.7%12.6M-63.3M-309.1K0.6532.41N/AN/A56136637,21347,712
2021-05-14$48.00$46.0016.0%4.8%20.8%12.9%16.7%7.3%0.8%14.0M-108.6M-289.7K0.4938.22N/AN/A1,07052237,73347,938
2021-05-17$47.82$47.0016.8%4.9%20.8%16.3%20.4%8.1%0.1%12.7M-87.7M-270.0K0.4148.47N/AN/A813335,06948,330
2021-05-18$47.90$48.0017.7%5.1%19.8%19.9%11.0%7.9%0.7%13.8M-90.2M-337.1K0.0481.31N/AN/A6272336,02949,275
2021-05-19$47.09$48.0020.4%5.9%20.6%31.4%17.1%8.3%0.8%11.9M-57.7M-353.8K0.0189.48N/AN/A6,6888336,43649,299
2021-05-20$47.98$48.0017.9%5.1%21.6%20.9%15.7%8.0%0.2%18.9M-106.5M-356.1K0.6263.41N/AN/A6,5974,05943,06649,291
2021-05-21$48.09$48.0017.6%5.0%21.3%19.8%13.9%7.3%0.3%5.3M-98.0M-359.2K0.0733.76N/AN/A12,71291337,46053,322
2021-05-24$48.50$48.0016.5%4.5%21.5%15.0%16.1%7.4%-0.4%8.8M-66.3M-377.7K0.5238.41N/AN/A32517036,16831,911
2021-05-25$48.50$48.0016.6%4.5%21.5%15.5%12.5%7.7%-0.1%10.6M-60.9M-329.1K0.0280.33N/AN/A13,30022936,29832,010
2021-05-26$48.26$48.0016.2%4.3%21.6%13.7%16.7%7.1%-0.8%10.2M-52.3M-339.9K0.5280.24N/AN/A713736,27432,074
2021-05-27$48.34$48.0015.4%4.2%21.6%10.7%13.8%6.9%-0.5%12.4M-47.3M-327.0K1.1725.74N/AN/A28433142,75732,108
2021-05-28$48.62$48.0015.1%4.1%20.2%9.2%16.5%6.0%-0.9%17.2M-66.4M-351.0K0.0450.62N/AN/A2,2898442,97632,431