Options/FEZ

FEZState Street SPDR EURO STOXX 50 ETF

Options Analysis Report

AUM $4.4B|ARCX

● 2026-09-11$69.04

BEARISH

Analysis: 2026-09-10 EOD data

1Y +14.2%YTD +5.6%7D -2.3%

Options Vol

828

30D

Implied Move

±5.9%

IV Rank

FEZ Options Overview

IV is low with bearish flow. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

Loading score history...

FEZ Gamma Walls

Loading gamma walls...

FEZ Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where FEZ sits on protection cost vs. fragility today.

Protection is priced in the fair band (5.71) — options are pricing vol 161% above what the stock has actually been realizing, and downside puts carry 0.5 IV points LESS than at-the-money, measured against this name's own rolling 21-trading-day realized moves (483 overlapping windows). Fragility reads resilient (3.5): its realized-vol regime is contracting, and it is trading 0% below its hedge wall on a wall graded HIGH for reliability.

Protection cost

5.71/ 10fair

Basis: cross_sectional

Fragility

3.50/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

6.8

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks5/9 checks passed

IV Rank

≤35%

IV Rank 19.0% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 2.32x — IV premium over HV

Sector Relative≤50%

Sector percentile 33% — below sector median

Term Structure

<1.1x

Front/Back 1.16x — backwardation

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 20.2% — normal range

Spread-Adjusted Value

<80%

Effective IV 51.5% (ATM 20.2% + spread 15.7% + bias) — good value

Execution Efficiency

<3.0%

Total drag 20.66% (spread 15.67% + slippage 4.99%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 3.26 (vega 5.110 / spread 15.67%) — spread drag

Sentiment

Bullish or bearish?

3.9

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBullish - Strong signal (Conviction: +12%, Raw: +20%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +12% (bullish) — Raw: +20%

OI Skew Magnitude

≥15%

|OI skew| 21.6% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -89.9%, OI skew -21.6% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 12%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -23%, ATM: -30%, OTM: +74% — strong bearish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 99% — very bearish vs sector

Activity

Unusual activity?

2.7

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed

Volume Surge

≥1.5x

Volume 0.4x avg — normal

Turnover Rate

≥15%

Vol/OI 0.9% — normal turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change +1.6% (5d) — stable

Sector Relative≥60%

Sector activity percentile 25% — below sector avg

Trade Quality

≥30%

Large trade volume 30% — institutional presence

Execution Urgency

≥60%

Aggressive execution 48% — patient

Flow Conviction

≥30

Conviction +12 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.3

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 15.7% — wide

Adequate OI

≥10,000

OI 95,170 — deep

Active Volume

≥500

Volume 828/day — adequate

Reasonable Cost

≤$0.50

$0.78 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 49% — neutral vs sector

Order Book Depth

≥100 contracts

Depth 249.3 contracts (bid:151.1 ask:98.2) — adequate

Execution Quality

<1.0%

Avg slippage 4.99% — poor

Timing

Is now a good time?

6.2

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +16.0% — backwardation

IV Percentile Clarity

<30 or >70

IV percentile 19% — buyer opportunity

Event Detection

≥10pts kink

IV kink 2.0pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 112.56 — favors income trades

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

caution advised: No earnings detected; FOMC in 5d; CPI in 0d (HIGH)

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +12% @ 56% consistency — unclear

Smart Money Timing

≥40 composite score

Score 60 (ITM 20% + inst 30%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls5.2

bullishIV cheap, bearish flow

Long Puts6.7

bearishIV cheap, bearish flow

Premium Sellers

Cash-Secured Put3.9

bullishIV too cheap, bearish flow

Covered Call4.7

bearishIV too cheap, bearish flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Sep 7, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

More on FEZ

FEZ gamma walls FEZ option chain FEZ max pain FEZ expected move FEZ IV rank FEZ put/call ratio FEZ options flow