FEZ Options History — December 2022

In December 2022, FEZ traded between $38.50 and $40.64. ATM implied volatility averaged 23.6%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.2% (HV 20d: 21.4%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 54.70.

Notable Days

  • 2022-12-15: Highest Volume — 30,916 contracts
  • 2022-12-15: Largest IV spike — 11.8% change
  • 2022-12-09: Highest IV Rank — 19.6%
  • 2022-12-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.40$38.50$40.64$40.28$38.78
Max Pain$36.95$35.00$38.00$35.00$38.00
ATM IV23.6%21.9%25.1%22.4%23.4%
Expected Move6.8%6.3%7.3%7.3%6.7%
HV 20d21.4%14.0%29.7%29.7%20.1%
HV 60d30.2%26.7%33.9%33.9%26.8%
IV Rank16.9%13.5%19.6%14.5%16.5%
IV Percentile18.9%10.3%26.6%14.7%16.3%
Term Structure0.2%-1.3%1.8%0.3%1.3%
VWIV25.6%22.5%28.2%27.4%23.8%
Skew 25d5.4%4.2%7.1%5.3%5.0%
Skew 10d12.7%6.6%19.3%9.2%6.6%
Call IV 25d21.5%19.7%22.9%21.6%21.4%
Put IV 25d26.9%25.1%29.2%26.9%26.4%
Bid-Ask Spread %50.0626.4576.4369.2147.47
Gamma HHI0.190.130.470.130.19
Net GEX8.1M-3.5M19.7M15.9M-3.3M
Net DEX-264.6M-545.3M-17.4M-468.8M-49.5M
Net VEX-1.6M-1.7M-1.3M-1.3M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio54.701.06276.861.131.62
Total Volume8,080.61957830,9168,908726
Total OI434,496.143322,351574,205472,324333,838

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$40.28$35.0022.4%7.3%29.7%14.5%27.4%5.3%0.3%15.9M-468.8M-1.3M1.1369.21N/AN/A4,1764,732213,987258,337
2022-12-02$40.25$35.0023.1%7.1%29.1%15.8%26.4%4.2%-1.3%16.6M-475.5M-1.4M1.3176.43N/AN/A4,2165,543218,037262,387
2022-12-05$39.75$36.0024.4%6.8%26.1%18.3%26.9%6.5%1.0%15.7M-431.1M-1.5M10.5149.36N/AN/A51536222,173266,304
2022-12-06$39.58$36.0025.0%6.7%26.2%19.4%27.9%4.9%0.5%14.9M-407.1M-1.5M149.9766.80N/AN/A314,649222,191266,404
2022-12-07$39.67$36.0024.6%6.8%26.2%18.6%28.2%5.2%0.5%15.1M-417.0M-1.5M1.4839.09N/AN/A9,19413,618222,223267,548
2022-12-08$39.78$36.0023.3%6.7%25.3%16.3%27.3%5.1%1.2%16.6M-447.9M-1.6M127.9959.71N/AN/A759,599231,235275,921
2022-12-09$39.73$36.0025.1%6.8%17.0%19.6%24.1%5.1%-0.6%17.6M-449.5M-1.6M71.4054.92N/AN/A24017,137231,225276,624
2022-12-12$39.81$36.0025.0%7.0%14.0%19.5%26.5%6.3%-1.0%16.1M-437.1M-1.6M16.3533.26N/AN/A63510,382231,263292,258
2022-12-13$40.64$36.0023.7%6.5%15.4%17.0%26.3%5.3%-1.2%17.9M-545.3M-1.5M7.7834.80N/AN/A2,55319,863231,812299,559
2022-12-14$40.48$37.0022.1%6.7%15.5%13.9%26.6%4.8%0.6%15.3M-513.8M-1.5M148.3172.36N/AN/A162,373233,482315,083
2022-12-15$39.11$37.0024.7%7.0%20.3%18.9%27.1%6.6%-0.4%15.7M-315.9M-1.6M35.5046.60N/AN/A84730,069233,198316,493
2022-12-16$38.78$38.0022.9%6.5%20.6%15.5%25.4%7.1%-0.3%19.7M-192.6M-1.7M22.1846.30N/AN/A3988,826233,592340,613
2022-12-19$38.50$38.0024.0%6.9%20.6%17.6%24.6%6.0%-0.0%-3.0M-17.4M-1.7M9.1552.07N/AN/A108988118,463203,888
2022-12-20$38.72$38.0023.6%6.8%20.3%16.9%26.2%5.4%-0.4%-2.7M-38.8M-1.7M64.9326.45N/AN/A301,948118,539204,173
2022-12-21$39.28$38.0021.9%6.3%20.5%13.5%24.1%5.4%0.4%-2.1M-92.1M-1.6M276.8638.95N/AN/A3710,244118,562204,830
2022-12-22$38.72$38.0024.1%6.9%20.9%17.8%23.8%5.6%0.0%-3.5M-31.2M-1.7M5.9348.61N/AN/A125741118,588213,152
2022-12-23$38.77$38.0022.9%6.6%20.7%15.5%23.0%5.4%0.1%-3.4M-38.9M-1.7M1.0643.70N/AN/A462489118,643212,987
2022-12-27$38.98$38.0023.4%6.7%20.0%16.5%22.5%4.6%1.1%-2.9M-66.9M-1.6M1.1544.24N/AN/A270311118,923212,738
2022-12-28$38.50$38.0024.1%7.1%20.4%17.8%24.6%5.5%1.0%-3.5M-25.5M-1.6M190.8053.32N/AN/A152,862118,698212,691
2022-12-29$39.27$38.0022.3%6.5%19.9%14.3%24.5%4.7%1.8%-2.9M-95.8M-1.5M3.3147.54N/AN/A134444118,687215,070
2022-12-30$38.78$38.0023.4%6.7%20.1%16.5%23.8%5.0%1.3%-3.3M-49.5M-1.5M1.6247.47N/AN/A277449118,739215,099