FEZ Options History — June 2021 In June 2021, FEZ traded between $46.80 and $49.30. ATM implied volatility averaged 13.7%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.7% (HV 20d: 13.1%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.36.
Notable Days 2021-06-29 : Highest Volume — 10,873 contracts2021-06-18 : Largest IV spike — 16.9% change2021-06-23 : Highest IV Rank — 17.5%2021-06-01 : Largest Expected Move — 4.6%Monthly Statistics Metric Avg Min Max Open Close Price $48.33 $46.80 $49.30 $48.84 $46.80 Max Pain $48.59 $48.00 $50.00 $48.00 $48.00 ATM IV 13.7% 11.2% 16.1% 16.1% 14.6% Expected Move 3.9% 3.3% 4.6% 4.6% 4.0% HV 20d 13.1% 9.6% 19.7% 19.7% 12.0% HV 60d 15.7% 15.1% 16.2% 15.9% 15.5% IV Rank 7.7% 0.0% 17.5% 13.3% 13.0% IV Percentile 6.2% 0.0% 18.3% 13.9% 11.5% Term Structure 0.3% -0.9% 1.5% -0.9% 0.3% VWIV 14.7% 11.2% 19.8% 18.2% 16.5% Skew 25d 5.3% 2.9% 6.7% 6.6% 6.4% Skew 10d 13.6% 8.6% 18.8% 15.8% 18.8% Call IV 25d 12.1% 10.0% 13.7% 13.7% 12.9% Put IV 25d 17.4% 13.4% 20.3% 20.3% 19.3% Bid-Ask Spread % 47.58 17.06 93.43 81.54 17.06 Gamma HHI 0.27 0.09 0.66 0.28 0.09 Net GEX 9.6M 401.0K 23.8M 12.7M 1.3M Net DEX -45.4M -86.2M -8.1M -74.6M -8.1M Net VEX -295.8K -355.6K -227.7K -355.6K -329.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.36 0.01 1.34 0.46 0.01 Total Volume 1,837.182 37 10,873 347 5,111 Total OI 65,946 47,028 78,842 74,652 49,145
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-06-01 $48.84 $48.00 16.1% 4.6% 19.7% 13.3% 18.2% 6.6% -0.9% 12.7M -74.6M -355.6K 0.46 81.54 N/A N/A 238 109 42,305 32,347 2021-06-02 $48.91 $48.00 14.6% 4.2% 17.4% 7.4% 14.7% 6.1% -0.3% 14.0M -72.4M -344.9K 0.20 18.54 N/A N/A 288 59 42,430 32,383 2021-06-03 $48.55 $50.00 14.8% 4.0% 16.9% 7.9% 15.9% 6.4% -0.4% 9.8M -49.9M -297.8K 1.34 22.07 N/A N/A 38 51 42,631 32,433 2021-06-04 $48.89 $50.00 12.9% 3.8% 16.8% 0.2% 18.8% 5.8% 0.2% 12.4M -59.3M -301.5K 0.24 48.86 N/A N/A 430 104 42,608 32,468 2021-06-07 $49.05 $49.00 13.6% 3.9% 16.0% 2.9% 13.6% 5.2% 0.1% 16.4M -68.7M -305.2K 0.92 36.48 N/A N/A 621 574 42,486 32,452 2021-06-08 $49.02 $49.00 13.6% 3.9% 15.5% 3.1% 0.0% 5.2% 0.1% 16.6M -68.9M -292.1K 0.65 59.93 N/A N/A 116 75 43,081 33,016 2021-06-09 $48.91 $49.00 13.2% 4.0% 14.5% 1.5% 18.4% 5.0% 0.7% 16.4M -68.0M -315.2K 0.18 43.00 N/A N/A 115 21 43,163 33,077 2021-06-10 $48.94 $49.00 12.7% 3.7% 13.7% 0.0% 14.2% 4.8% -0.1% 14.8M -63.2M -285.1K 0.34 62.19 N/A N/A 268 92 43,079 33,089 2021-06-11 $49.07 $49.00 11.2% 3.4% 13.2% 0.0% 12.1% 3.4% 0.5% 16.7M -68.0M -265.4K 0.29 73.55 N/A N/A 458 132 43,118 33,172 2021-06-14 $49.22 $49.00 12.1% 3.5% 11.1% 3.6% 12.4% 3.0% 0.8% 19.2M -74.6M -247.1K 0.10 29.88 N/A N/A 675 66 43,247 33,140 2021-06-15 $49.30 $49.00 12.3% 3.6% 10.9% 4.4% 12.5% 3.6% 0.3% 23.8M -86.2M -242.2K 0.68 24.63 N/A N/A 22 15 43,534 33,181 2021-06-16 $48.89 $49.00 13.2% 3.8% 11.5% 7.6% 11.9% 4.4% 0.6% 15.4M -60.1M -253.1K 0.38 93.43 N/A N/A 567 216 43,469 33,191 2021-06-17 $48.62 $49.00 11.8% 3.3% 9.6% 2.1% 13.5% 2.9% 0.7% 11.0M -46.5M -227.7K 0.16 63.97 N/A N/A 646 102 43,834 33,351 2021-06-18 $47.61 $48.00 13.7% 3.7% 10.5% 9.8% 15.3% 5.0% 1.5% 401.0K -14.2M -243.5K 0.05 88.33 N/A N/A 3,643 199 44,601 34,241 2021-06-21 $47.58 $48.00 15.1% 4.3% 10.5% 15.1% 15.1% 6.7% 0.5% 948.9K -14.7M -318.9K 0.14 62.49 N/A N/A 987 142 16,456 30,572 2021-06-22 $47.73 $48.00 15.0% 4.2% 10.0% 14.7% 12.0% 6.2% 0.6% 1.5M -18.9M -330.4K 0.12 41.07 N/A N/A 250 31 17,401 30,666 2021-06-23 $47.14 $48.00 15.7% 4.5% 10.8% 17.5% 14.7% 6.4% -0.1% 1.5M -13.7M -330.5K 0.72 47.72 N/A N/A 6,168 4,441 17,589 30,645 2021-06-24 $47.72 $48.00 14.9% 4.1% 11.8% 14.4% 19.8% 6.5% 0.5% 1.3M -19.4M -285.5K 0.18 24.03 N/A N/A 139 25 17,012 30,681 2021-06-25 $47.70 $48.00 13.6% 3.8% 11.8% 9.4% 11.2% 5.4% 1.1% 1.3M -17.5M -318.8K 0.02 27.99 N/A N/A 1,695 40 17,136 30,694 2021-06-28 $47.34 $48.00 13.9% 3.8% 11.7% 10.5% 13.5% 6.3% 0.3% 1.6M -15.6M -295.1K 0.06 22.93 N/A N/A 545 31 17,985 30,609 2021-06-29 $47.34 $48.00 13.8% 3.8% 11.5% 10.0% 14.4% 6.3% 0.2% 1.7M -15.3M -322.9K 0.69 57.11 N/A N/A 6,447 4,426 18,460 30,634 2021-06-30 $46.80 $48.00 14.6% 4.0% 12.0% 13.0% 16.5% 6.4% 0.3% 1.3M -8.1M -329.1K 0.01 17.06 N/A N/A 5,058 53 18,492 30,653
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