FEZ Options History — August 2021

In August 2021, FEZ traded between $46.77 and $48.30. ATM implied volatility averaged 14.4%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.1% (HV 20d: 13.3%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2021-08-27: Highest Volume — 6,365 contracts
  • 2021-08-17: Largest IV spike — 16.7% change
  • 2021-08-19: Highest IV Rank — 22.1%
  • 2021-08-19: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.60$46.77$48.30$47.16$47.94
Max Pain$46.98$45.00$48.00$46.00$47.50
ATM IV14.4%12.0%16.9%16.4%13.3%
Expected Move4.0%3.4%4.9%4.5%3.6%
HV 20d13.3%9.4%20.1%20.1%9.9%
HV 60d14.8%13.9%16.4%16.4%14.4%
IV Rank12.4%3.2%22.1%20.3%8.3%
IV Percentile16.6%0.8%41.3%32.1%7.1%
Term Structure0.3%-4.8%2.4%-0.1%0.7%
VWIV14.9%11.8%18.1%14.5%14.9%
Skew 25d6.6%4.4%9.6%6.3%6.2%
Skew 10d11.7%2.1%19.5%15.2%13.7%
Call IV 25d12.7%10.9%15.1%14.6%11.7%
Put IV 25d19.3%16.7%24.2%21.0%17.9%
Bid-Ask Spread %72.3414.5097.6518.2884.57
Gamma HHI0.450.120.710.510.21
Net GEX7.6M602.3K18.9M7.4M4.4M
Net DEX-42.5M-84.8M-14.1M-39.3M-33.0M
Net VEX-311.5K-381.1K-232.7K-372.8K-293.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.012.200.191.79
Total Volume869.409386,3659553
Total OI61,49546,71069,09565,41255,258

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$47.16$46.0016.4%4.5%20.1%20.3%14.5%6.3%-0.1%7.4M-39.3M-372.8K0.1918.28N/AN/A801532,31233,100
2021-08-03$47.44$46.0015.3%4.0%19.7%16.0%17.1%7.3%0.3%8.4M-45.4M-370.8K1.3644.48N/AN/A253432,31933,185
2021-08-04$47.50$46.0015.6%4.1%19.6%17.2%18.1%7.9%0.0%8.2M-49.5M-381.1K0.0123.37N/AN/A860932,33233,197
2021-08-05$47.67$45.0015.8%4.2%18.0%17.9%0.0%8.2%0.8%9.5M-53.4M-373.5K0.2314.50N/AN/A441032,34033,221
2021-08-06$47.53$45.0013.8%4.0%16.3%9.9%13.0%4.7%0.3%10.3M-51.4M-365.4K0.1925.13N/AN/A2274332,88533,222
2021-08-09$47.51$45.0013.6%3.9%16.2%9.2%14.9%7.1%-0.2%10.6M-48.8M-352.8K0.8278.63N/AN/A91975432,35232,943
2021-08-10$47.59$45.0013.3%3.7%15.9%8.0%15.3%6.1%-0.7%11.7M-50.8M-313.6K0.0689.05N/AN/A4492632,33733,018
2021-08-11$47.89$47.0012.9%3.8%15.9%6.6%14.7%5.4%0.6%12.7M-64.2M-279.9K0.9994.88N/AN/A83582633,24833,768
2021-08-12$48.06$47.0012.8%3.8%15.1%6.2%17.8%6.7%0.5%15.1M-71.9M-305.3K1.4194.47N/AN/A15021133,69233,766
2021-08-13$48.30$48.0012.0%3.9%14.6%3.2%14.7%5.0%1.6%14.5M-84.8M-312.1K2.2094.68N/AN/A449734,50634,589
2021-08-16$48.05$48.0013.6%3.9%10.2%9.2%14.8%6.7%0.6%18.9M-71.9M-296.0K0.0696.90N/AN/A101634,14434,712
2021-08-17$47.50$48.0015.8%4.6%10.8%18.0%14.5%7.0%-4.8%12.3M-46.4M-310.5K0.5392.26N/AN/A49026134,15834,776
2021-08-18$47.36$48.0015.7%4.5%9.4%17.5%16.8%6.1%-0.1%10.5M-44.8M-245.1K0.9992.22N/AN/A57356534,22834,780
2021-08-19$46.77$48.0016.9%4.9%10.5%22.1%15.4%9.6%2.4%2.2M-21.3M-331.6K0.9597.65N/AN/A1,05099734,08434,752
2021-08-20$47.02$48.0015.3%4.3%9.9%16.1%11.8%7.3%0.6%4.1M-29.0M-285.8K0.0996.24N/AN/A1,0969834,07634,755
2021-08-23$47.53$48.0014.9%4.0%10.6%14.4%14.1%9.6%1.0%845.0K-23.1M-232.7K0.9189.20N/AN/A73066418,04728,663
2021-08-24$47.57$48.0014.3%4.0%10.3%12.2%17.7%4.4%0.4%1.3M-21.5M-283.2K0.0285.79N/AN/A130219,03528,701
2021-08-25$47.59$47.5014.0%3.8%9.8%10.9%14.3%6.3%1.0%1.4M-24.0M-246.5K0.0917.24N/AN/A68619,66529,358
2021-08-26$47.34$47.5014.6%4.0%9.7%13.2%0.0%6.9%0.7%602.3K-14.1M-328.1K0.0984.54N/AN/A35319,79429,356
2021-08-27$47.91$47.5013.1%3.4%10.1%7.3%11.8%4.8%0.2%1.5M-23.0M-290.8K0.0289.97N/AN/A6,24112419,79829,360
2021-08-30$47.93$47.5013.8%3.5%10.1%10.1%12.5%6.5%0.3%1.3M-23.6M-281.6K0.0287.40N/AN/A172419,79329,265
2021-08-31$47.94$47.5013.3%3.6%9.9%8.3%14.9%6.2%0.7%4.4M-33.0M-293.6K1.7984.57N/AN/A193425,88929,369