FEZ Options History — November 2021

In November 2021, FEZ traded between $44.80 and $48.97. ATM implied volatility averaged 17.6%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 6.2% (HV 20d: 11.4%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.82.

Notable Days

  • 2021-11-12: Highest Volume — 44,490 contracts
  • 2021-11-26: Largest IV spike — 145.9% change
  • 2021-11-26: Highest IV Rank — 100.0%
  • 2021-11-26: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.73$44.80$48.97$48.19$44.80
Max Pain$48.14$45.00$49.00$45.00$49.00
ATM IV17.6%12.4%41.4%14.8%30.6%
Expected Move4.7%3.4%7.5%4.0%7.1%
HV 20d11.4%9.3%16.6%12.2%16.1%
HV 60d15.0%14.5%16.4%14.6%16.4%
IV Rank32.2%8.7%100.0%16.3%64.0%
IV Percentile38.9%2.0%100.0%27.4%99.2%
Term Structure0.7%-2.6%2.7%0.6%-2.6%
VWIV15.2%10.6%25.8%14.5%25.8%
Skew 25d5.7%0.6%12.7%7.0%12.7%
Skew 10d12.2%1.4%26.8%8.9%24.8%
Call IV 25d14.2%10.0%22.7%10.0%20.8%
Put IV 25d20.0%14.5%34.1%17.1%33.4%
Bid-Ask Spread %80.7629.01101.5135.0281.88
Gamma HHI0.390.290.520.290.42
Net GEX-1.0M-3.6M2.4M-374.8K-2.5M
Net DEX33.3K-36.1M60.9M-9.8M60.9M
Net VEX-625.9K-789.4K-400.8K-522.9K-689.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.820.466.844.876.84
Total Volume19,861.0485,72144,49022,39215,665
Total OI92,61380,787107,05083,10698,260

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$48.19$45.0014.8%4.0%12.2%16.3%14.5%7.0%0.6%-374.8K-9.8M-522.9K4.8735.02N/AN/A3,81718,57519,69363,413
2021-11-02$48.28$45.0013.5%3.8%11.8%10.9%14.8%6.5%2.1%-844.2K-9.4M-548.2K4.7888.47N/AN/A3,87618,54319,51163,413
2021-11-03$48.80$45.0012.8%3.4%11.0%9.4%13.2%0.6%1.1%-3.6M-27.7M-400.8K4.98101.51N/AN/A3,72118,53319,63663,430
2021-11-04$48.63$46.0013.0%3.8%10.8%13.0%14.7%5.4%0.5%-2.4M-18.5M-519.6K5.1574.21N/AN/A3,59818,54419,53263,435
2021-11-05$48.97$46.0012.4%3.9%10.5%8.7%13.8%5.4%1.3%-2.5M-11.9M-500.6K2.8678.69N/AN/A6,95219,90117,54563,434
2021-11-08$48.94$49.0013.2%4.0%10.2%14.4%14.1%4.0%1.0%-2.3M-4.4M-483.7K4.0179.43N/AN/A4,80619,28116,60964,178
2021-11-09$48.92$49.0013.4%4.2%10.1%16.0%14.7%3.7%1.5%-1.9M-7.1M-424.9K3.9629.01N/AN/A4,88119,31916,65164,183
2021-11-10$48.20$49.0015.2%4.7%11.2%29.5%15.0%0.6%2.7%-2.6M10.3M-540.4K6.4386.46N/AN/A3,01119,36817,88465,451
2021-11-11$48.42$49.0016.1%4.6%10.0%35.5%14.8%4.6%0.9%-2.5M4.2M-513.4K6.3994.18N/AN/A3,02919,36717,83565,483
2021-11-12$48.49$49.0015.1%4.3%9.7%28.9%13.6%6.3%1.3%-2.0M1.4M-458.9K0.7790.57N/AN/A25,07319,41717,84765,486
2021-11-15$48.30$49.0014.9%4.3%9.5%27.2%12.4%3.1%1.2%1.6M-34.6M-772.5K1.3990.85N/AN/A14,25619,85239,82965,486
2021-11-16$48.32$49.0014.7%4.2%9.5%25.8%13.7%4.7%0.9%2.0M-32.2M-789.4K6.4389.04N/AN/A3,11420,02340,19465,978
2021-11-17$48.30$49.0014.6%4.2%9.5%24.8%14.1%5.0%1.3%1.8M-35.2M-733.7K6.7284.45N/AN/A3,00920,22440,21966,150
2021-11-18$48.37$49.0015.0%4.3%9.3%27.8%14.4%4.9%1.5%2.4M-36.1M-728.9K6.0686.01N/AN/A3,33620,22440,22066,438
2021-11-19$47.59$49.0015.3%4.4%10.9%30.0%15.4%4.3%1.0%200.6K-14.1M-785.7K1.2284.79N/AN/A3,5244,30440,59566,455
2021-11-22$47.25$49.0016.3%4.7%11.2%37.6%14.4%5.5%1.1%-481.2K10.5M-763.6K1.5983.36N/AN/A2,3673,75736,13661,720
2021-11-23$46.90$49.0017.1%4.9%11.2%43.3%10.6%7.1%0.6%-861.2K19.6M-753.8K1.6281.82N/AN/A2,3743,84136,17761,750
2021-11-24$46.56$49.0016.9%4.8%11.5%41.4%11.3%6.8%0.2%-1.2M28.2M-760.8K1.5979.45N/AN/A2,3563,75536,18861,923
2021-11-26$44.93$49.0041.4%7.5%16.4%100.0%21.4%11.3%-1.7%-1.6M53.5M-739.2K2.0296.16N/AN/A1,8923,82936,11462,081
2021-11-29$45.15$49.0032.7%6.7%16.6%71.1%21.5%10.9%-1.7%-2.3M53.1M-712.3K0.4680.69N/AN/A8,0823,68636,23762,074
2021-11-30$44.80$49.0030.6%7.1%16.1%64.0%25.8%12.7%-2.6%-2.5M60.9M-689.7K6.8481.88N/AN/A1,99813,66736,14962,111