FEZ Options History — January 2022

In January 2022, FEZ traded between $44.46 and $47.42. ATM implied volatility averaged 20.2%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.6% (HV 20d: 14.6%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 3.66.

Notable Days

  • 2022-01-31: Highest Volume — 17,170 contracts
  • 2022-01-24: Largest IV spike — 24.4% change
  • 2022-01-24: Highest IV Rank — 52.5%
  • 2022-01-24: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.13$44.46$47.42$47.06$45.26
Max Pain$45.70$43.00$47.00$43.00$47.00
ATM IV20.2%15.2%27.1%15.3%23.9%
Expected Move5.9%4.4%7.8%4.4%6.9%
HV 20d14.6%12.7%18.7%18.7%15.2%
HV 60d16.5%16.0%17.2%16.4%17.2%
IV Rank29.9%13.2%52.5%13.4%42.0%
IV Percentile75.4%37.7%96.8%38.5%94.0%
Term Structure-0.2%-2.3%1.2%1.2%-0.9%
VWIV20.5%17.5%23.3%19.8%21.2%
Skew 25d8.6%5.9%12.5%6.4%7.4%
Skew 10d17.6%9.1%24.9%15.8%18.6%
Call IV 25d16.8%11.7%23.0%13.1%20.0%
Put IV 25d25.4%18.1%35.5%19.5%27.4%
Bid-Ask Spread %48.049.1088.429.1088.42
Gamma HHI0.390.360.460.380.38
Net GEX-3.3M-7.6M-304.7K-1.2M-7.6M
Net DEX41.5M1.6M96.1M13.7M84.5M
Net VEX-620.4K-667.0K-551.6K-667.0K-606.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.662.167.053.107.05
Total Volume10,059.97,65517,1708,32417,170
Total OI100,332.5594,036109,44499,440105,053

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$47.06$43.0015.3%4.4%18.7%13.4%19.8%6.4%1.2%-1.2M13.7M-667.0K3.109.10N/AN/A2,0286,29633,32466,116
2022-01-04$47.26$43.0015.2%4.4%17.9%13.2%18.4%6.5%1.0%-787.6K7.8M-657.8K3.3012.00N/AN/A1,8776,18733,33566,262
2022-01-05$47.11$43.0016.2%4.6%15.3%16.4%19.8%5.9%0.8%-902.4K7.2M-635.0K3.3731.09N/AN/A1,8376,18333,57866,283
2022-01-06$46.78$45.0016.0%4.9%15.5%15.7%21.8%7.5%0.3%-1.7M15.3M-637.0K3.2669.11N/AN/A1,9656,40633,61366,285
2022-01-07$46.90$45.0016.0%5.0%14.5%15.7%21.2%8.1%1.0%-1.4M18.1M-657.9K3.1928.15N/AN/A2,0056,38833,71666,528
2022-01-10$46.42$45.0019.3%5.6%15.0%26.6%22.7%8.7%0.3%-2.6M29.5M-646.3K3.7951.98N/AN/A1,7576,66533,78866,631
2022-01-11$46.88$45.0016.1%4.9%15.0%16.0%21.3%8.2%0.5%-1.7M16.2M-633.9K3.3623.03N/AN/A2,0766,97733,77866,558
2022-01-12$47.42$45.0016.9%4.8%14.9%18.7%18.0%7.5%0.9%-304.7K1.6M-622.7K4.0544.77N/AN/A1,6356,61534,13066,834
2022-01-13$47.04$45.0017.6%5.0%14.7%21.1%19.0%7.3%0.4%-1.0M10.5M-627.1K4.1719.70N/AN/A1,5926,64534,04466,859
2022-01-14$47.00$45.0017.2%4.9%14.7%19.9%17.5%8.0%0.3%-1.4M17.9M-630.7K5.3729.31N/AN/A1,6638,93834,06766,903
2022-01-18$46.22$47.0020.4%5.9%15.0%30.5%18.5%9.0%1.0%-3.8M37.8M-619.2K2.1641.68N/AN/A3,5687,70534,05569,216
2022-01-19$46.47$47.0020.7%5.9%13.5%31.4%18.7%8.4%-0.7%-3.5M27.5M-591.3K2.8416.72N/AN/A3,4259,71535,34370,624
2022-01-20$46.23$47.0020.8%6.0%12.7%31.8%18.4%7.8%-0.1%-4.2M38.5M-627.6K3.6724.44N/AN/A2,6419,68236,08173,299
2022-01-21$45.61$47.0021.8%6.2%12.7%34.9%20.9%9.1%0.0%-4.6M58.8M-638.0K3.2680.85N/AN/A3,10910,14236,16173,283
2022-01-24$44.73$47.0027.1%7.8%13.8%52.5%23.0%12.5%-2.3%-5.4M85.1M-603.4K2.8577.39N/AN/A2,3376,66632,87361,549
2022-01-25$44.57$47.0025.9%7.4%13.4%48.5%23.3%11.4%-1.4%-5.9M87.6M-585.9K3.0074.94N/AN/A2,2016,59332,82461,212
2022-01-26$44.58$47.0025.9%7.4%13.4%48.5%22.1%10.7%-1.4%-6.0M85.4M-583.0K2.6980.35N/AN/A2,1615,80532,84961,268
2022-01-27$44.65$47.0025.9%7.4%13.4%48.5%22.0%11.0%-2.1%-6.1M90.0M-585.2K2.6574.18N/AN/A2,1005,55532,85861,298
2022-01-28$44.46$47.0026.8%7.7%13.5%51.7%22.2%10.7%-1.9%-6.7M96.1M-551.6K6.0183.61N/AN/A2,12512,76332,87361,300
2022-01-31$45.26$47.0023.9%6.9%15.2%42.0%21.2%7.4%-0.9%-7.6M84.5M-606.6K7.0588.42N/AN/A2,13415,03632,90972,144