FEZ Options History — November 2023 In November 2023, FEZ traded between $41.47 and $45.89. ATM implied volatility averaged 15.2%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 1.4% (HV 20d: 16.6%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.65.
Notable Days 2023-11-14 : Highest Volume — 21,919 contracts2023-11-24 : Largest IV drop — 8.3% change2023-11-01 : Highest IV Rank — 24.8%2023-11-02 : Largest Expected Move — 5.3%Monthly Statistics Metric Avg Min Max Open Close Price $44.21 $41.47 $45.89 $41.47 $45.70 Max Pain $41.62 $40.00 $43.00 $43.00 $43.00 ATM IV 15.2% 13.2% 17.8% 17.8% 14.1% Expected Move 4.4% 3.7% 5.3% 5.2% 4.3% HV 20d 16.6% 14.7% 19.3% 17.4% 15.1% HV 60d 16.5% 15.7% 17.2% 15.7% 16.3% IV Rank 12.3% 2.6% 24.8% 24.8% 6.9% IV Percentile 8.9% 1.2% 25.8% 25.8% 4.0% Term Structure 0.2% -0.7% 1.5% 0.2% 0.0% VWIV 16.2% 12.5% 19.3% 19.1% 15.2% Skew 25d 3.6% 2.4% 4.8% 4.8% 3.0% Skew 10d 7.4% 5.7% 9.0% 9.0% 6.3% Call IV 25d 13.7% 12.3% 15.7% 15.7% 12.9% Put IV 25d 17.3% 14.8% 20.5% 20.5% 15.9% Bid-Ask Spread % 31.37 4.65 81.72 62.98 18.20 Gamma HHI 0.33 0.17 0.75 0.22 0.33 Net GEX 3.7M -2.1M 26.3M 573.0K 2.4M Net DEX -92.4M -141.9M 280.6K 280.6K -126.7M Net VEX -406.3K -616.2K -245.3K -616.2K -286.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.65 0.02 15.15 8.49 3.31 Total Volume 4,069.857 128 21,919 911 621 Total OI 123,910.095 92,607 154,734 142,602 95,195
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-11-01 $41.47 $43.00 17.8% 5.2% 17.4% 24.8% 19.1% 4.8% 0.2% 573.0K 280.6K -616.2K 8.49 62.98 N/A N/A 96 815 59,034 83,568 2023-11-02 $42.47 $40.00 16.8% 5.3% 19.3% 20.2% 17.2% 3.9% 0.5% 26.2M -68.8M -598.7K 0.02 34.70 N/A N/A 20,527 329 59,122 83,576 2023-11-03 $42.83 $40.00 16.6% 5.0% 18.7% 19.2% 19.0% 4.0% 0.4% -2.1M -47.5M -529.0K 0.02 65.07 N/A N/A 20,504 334 39,360 83,674 2023-11-06 $42.53 $40.00 16.9% 4.8% 18.4% 20.5% 16.5% 3.9% -0.2% -361.9K -42.8M -539.8K 2.79 25.41 N/A N/A 122 340 59,764 83,449 2023-11-07 $42.45 $40.00 16.4% 5.1% 17.4% 17.9% 18.6% 4.1% 1.5% -227.1K -42.8M -544.1K 2.95 48.95 N/A N/A 118 348 59,873 83,764 2023-11-08 $42.80 $41.00 15.8% 4.6% 17.6% 15.2% 0.0% 3.9% 0.2% 842.0K -53.6M -510.6K 0.21 35.52 N/A N/A 106 22 59,986 83,959 2023-11-09 $42.84 $41.00 16.0% 4.7% 16.9% 16.2% 17.0% 3.5% 0.4% 877.9K -56.5M -500.3K 15.15 31.84 N/A N/A 685 10,378 60,089 83,966 2023-11-10 $43.20 $41.00 15.8% 4.6% 15.9% 15.4% 16.0% 3.8% 0.2% -880.0K -64.0M -491.9K 3.96 12.78 N/A N/A 151 598 60,466 94,268 2023-11-13 $43.36 $41.00 16.1% 4.7% 15.5% 16.7% 16.6% 3.5% -0.1% 647.6K -68.0M -468.5K 2.68 44.65 N/A N/A 300 805 60,528 93,890 2023-11-14 $44.67 $42.00 14.9% 4.3% 18.4% 10.7% 19.3% 3.8% 1.4% 26.3M -141.9M -380.5K 0.05 26.85 N/A N/A 20,833 1,086 60,737 93,365 2023-11-15 $44.77 $42.00 15.0% 4.3% 16.6% 11.5% 18.0% 3.5% 0.2% 2.7M -111.8M -367.2K 0.91 23.62 N/A N/A 399 364 41,043 93,576 2023-11-16 $44.75 $42.00 15.0% 4.3% 16.4% 11.3% 15.3% 3.5% 1.0% 2.8M -113.4M -353.2K 2.09 20.51 N/A N/A 210 438 40,963 93,834 2023-11-17 $45.34 $42.00 14.6% 4.2% 16.1% 9.1% 14.3% 3.0% -0.5% 2.6M -124.5M -327.0K 0.23 26.60 N/A N/A 500 114 41,152 94,119 2023-11-20 $45.64 $42.00 14.3% 4.1% 16.1% 7.8% 16.9% 3.9% -0.3% 2.3M -122.8M -312.0K 3.89 4.65 N/A N/A 186 724 37,506 55,101 2023-11-21 $45.28 $42.00 14.1% 3.9% 16.8% 7.0% 14.2% 3.3% -0.1% 2.4M -116.4M -321.5K 1.14 32.94 N/A N/A 70 80 37,522 55,695 2023-11-22 $45.31 $42.00 14.4% 3.8% 16.3% 8.4% 12.5% 3.6% -0.2% 2.4M -119.3M -310.4K 0.34 37.75 N/A N/A 244 84 37,542 55,745 2023-11-24 $45.78 $42.00 13.2% 3.7% 15.9% 2.6% 14.2% 2.4% -0.7% 2.2M -132.7M -245.3K 0.87 81.72 N/A N/A 490 426 37,778 55,776 2023-11-27 $45.66 $42.00 13.8% 4.0% 15.1% 5.6% 13.9% 2.9% 0.0% 2.3M -127.4M -271.4K 0.44 4.85 N/A N/A 660 291 37,885 55,854 2023-11-28 $45.61 $43.00 13.8% 4.0% 14.7% 5.6% 14.6% 3.3% 0.3% 2.4M -127.4M -285.4K 1.50 9.84 N/A N/A 135 202 38,465 56,128 2023-11-29 $45.89 $43.00 14.0% 4.1% 14.7% 6.4% 14.3% 3.0% 0.0% 2.4M -132.2M -272.6K 4.55 9.30 N/A N/A 132 600 38,580 56,215 2023-11-30 $45.70 $43.00 14.1% 4.3% 15.1% 6.9% 15.2% 3.0% 0.0% 2.4M -126.7M -286.1K 3.31 18.20 N/A N/A 144 477 38,672 56,523
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