FEZ Options History — September 2021

In September 2021, FEZ traded between $45.35 and $48.55. ATM implied volatility averaged 17.3%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.9% (HV 20d: 13.4%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2021-09-17: Highest Volume — 4,775 contracts
  • 2021-09-20: Largest IV spike — 33.1% change
  • 2021-09-20: Highest IV Rank — 49.5%
  • 2021-09-20: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.31$45.35$48.55$48.43$45.35
Max Pain$47.93$47.00$49.00$47.50$47.00
ATM IV17.3%13.3%23.9%13.7%21.5%
Expected Move5.0%3.6%7.0%3.6%6.4%
HV 20d13.4%10.2%18.7%10.5%18.3%
HV 60d15.1%14.1%16.7%14.6%16.6%
IV Rank23.6%8.3%49.5%9.7%39.9%
IV Percentile46.6%7.1%86.9%10.7%82.9%
Term Structure0.8%-1.6%11.5%0.3%0.1%
VWIV17.9%13.4%23.1%14.2%19.9%
Skew 25d6.8%-0.4%10.6%6.0%10.6%
Skew 10d9.1%-1.5%19.2%16.5%5.4%
Call IV 25d15.0%11.4%19.8%11.9%17.3%
Put IV 25d21.9%15.5%29.2%17.8%27.9%
Bid-Ask Spread %74.5924.72110.5588.2530.52
Gamma HHI0.210.100.280.240.13
Net GEX3.2M616.4K6.2M5.9M861.2K
Net DEX-25.5M-43.8M-8.1M-41.5M-8.1M
Net VEX-261.1K-312.8K-161.1K-312.8K-288.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.015.030.713.52
Total Volume822.57154,775116357
Total OI52,810.57143,84457,54655,25148,308

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$48.43$47.5013.7%3.6%10.5%9.7%14.2%6.0%0.3%5.9M-41.5M-312.8K0.7188.25N/AN/A684825,87929,372
2021-09-02$48.55$47.0013.8%3.8%10.5%9.9%16.9%6.6%0.3%6.2M-43.8M-292.9K0.2172.34N/AN/A1823925,88829,396
2021-09-03$48.32$48.0013.3%4.3%10.6%8.3%18.0%6.9%0.8%5.0M-40.1M-261.9K5.0362.77N/AN/A6231225,90829,419
2021-09-07$48.33$48.0014.1%4.5%10.6%11.1%13.9%6.0%1.5%5.3M-39.8M-260.8K3.5871.51N/AN/A124326,14329,358
2021-09-08$47.83$49.0015.1%4.4%11.3%15.3%19.6%7.1%0.1%3.8M-26.9M-277.6K2.2872.45N/AN/A439826,18829,648
2021-09-09$47.72$49.0016.5%4.4%11.1%20.6%0.0%6.3%-1.6%3.4M-25.3M-291.7K0.9389.49N/AN/A141326,18329,678
2021-09-10$47.55$49.0016.4%4.5%11.0%20.0%15.8%-0.4%0.2%3.5M-27.1M-272.8K0.3388.66N/AN/A1,87562226,18929,763
2021-09-13$47.88$49.0015.9%4.6%11.2%18.3%0.0%6.6%11.5%4.2M-42.0M-161.1K0.0697.02N/AN/A7004226,17629,683
2021-09-14$47.78$49.0016.5%4.7%11.1%20.4%21.2%7.4%0.4%4.2M-30.7M-256.4K1.1776.80N/AN/A56666027,56429,768
2021-09-15$47.69$49.0015.4%4.4%10.3%16.3%20.1%7.5%1.6%4.0M-26.3M-254.7K1.0277.81N/AN/A68870227,63329,768
2021-09-16$47.74$49.0015.3%4.3%10.2%15.9%15.2%7.7%1.2%3.9M-26.4M-234.3K0.0784.28N/AN/A108827,63629,881
2021-09-17$46.97$49.0018.0%5.2%10.9%26.3%13.4%8.6%-1.0%2.4M-14.7M-238.1K0.0582.43N/AN/A4,54523027,62129,925
2021-09-20$45.72$48.0023.9%7.0%14.4%49.5%21.5%9.4%-1.6%616.4K-11.8M-258.9K0.9993.66N/AN/A878619,17326,233
2021-09-21$46.57$47.0020.6%6.0%15.4%36.4%23.1%6.9%-0.3%1.7M-15.4M-296.0K1.3366.94N/AN/A212823,65826,443
2021-09-22$47.14$47.0017.9%5.5%16.1%25.9%18.3%4.3%0.3%2.7M-23.1M-242.7K0.07110.55N/AN/A2281623,71926,470
2021-09-23$47.66$47.0016.6%5.0%16.6%20.9%18.2%2.1%1.7%3.6M-23.8M-273.3K0.2348.66N/AN/A1112623,73426,499
2021-09-24$47.25$47.0018.2%5.1%16.8%27.2%16.7%6.2%1.2%2.0M-18.4M-274.3K0.0183.96N/AN/A4,1225423,75226,513
2021-09-27$47.24$47.0018.1%5.1%16.2%26.9%17.8%8.8%0.3%1.7M-20.3M-227.3K1.5071.83N/AN/A2317,45526,389
2021-09-28$45.97$47.0021.3%6.3%18.7%39.1%18.5%9.5%-0.3%1.5M-13.9M-272.5K0.2524.72N/AN/A3188021,56426,439
2021-09-29$45.80$47.0020.6%6.0%18.7%36.7%19.9%9.1%0.5%1.3M-15.1M-235.5K0.2571.71N/AN/A441121,56326,443
2021-09-30$45.35$47.0021.5%6.4%18.3%39.9%0.0%10.6%0.1%861.2K-8.1M-288.1K3.5230.52N/AN/A7927821,80126,507