FIZZ Options History — August 2007

In August 2007, FIZZ traded between $4.67 and $5.26. ATM implied volatility averaged 55.1%. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 10.1% (HV 20d: 45.0%). Max pain ranged from $3.75 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.61.

Notable Days

  • 2007-08-08: Highest Volume — 422 contracts
  • 2007-08-15: Largest IV spike — 25.5% change
  • 2007-08-01: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.97$4.67$5.26$4.89$5.26
Max Pain$3.91$3.75$5.00$5.00$3.75
ATM IV55.1%46.8%65.4%64.0%47.9%
Expected Move15.6%13.7%18.3%18.3%13.7%
HV 20d45.0%36.0%56.4%51.0%37.1%
HV 60d43.4%42.4%45.0%43.2%42.8%
Term Structure0.4%-10.4%8.5%-10.4%8.5%
VWIV55.2%50.9%64.0%64.0%52.7%
Skew 25d2.5%-6.5%8.7%1.1%3.1%
Skew 10d11.4%-1.1%22.5%13.5%6.3%
Call IV 25d52.2%48.2%56.2%53.1%48.2%
Put IV 25d54.7%47.9%61.0%54.3%51.3%
Bid-Ask Spread %69.3923.1088.4123.1061.78
Gamma HHI0.430.360.490.450.46
Net GEX4.5K2.2K5.6K5.5K5.0K
Net DEX-220.4K-345.1K-94.7K-184.1K-345.1K
Net VEX-1.1K-1.2K-861-1.2K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.004.000.574.00
Total Volume66.34804221100
Total OI2,012.0871,4442,3082,1921,800

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$4.89$5.0064.0%18.3%51.0%0.0%64.0%1.1%-10.4%5.5K-184.1K-1.2K0.5723.10N/AN/A70401,658534
2007-08-02$4.91$5.0053.7%15.4%50.8%0.0%0.0%4.7%-0.5%4.2K-176.7K-1.2K0.0035.64N/AN/A2001,664574
2007-08-03$4.67$5.0050.1%14.4%52.8%0.0%0.0%3.0%-3.7%4.4K-94.7K-1.1K0.5339.86N/AN/A30161,724574
2007-08-06$4.95$3.7560.3%16.1%56.4%0.0%56.2%4.9%-1.5%5.0K-193.4K-1.2K0.0087.68N/AN/A6201,734574
2007-08-07$4.87$3.7559.9%16.3%56.4%0.0%0.0%3.5%-1.4%4.4K-160.3K-1.1K0.0085.76N/AN/A001,724574
2007-08-08$4.92$3.7560.1%16.0%52.8%0.0%55.9%8.7%0.4%4.5K-179.8K-1.1K0.0085.47N/AN/A42201,724574
2007-08-09$4.85$3.7556.6%15.9%50.1%0.0%0.0%5.3%-0.0%3.9K-139.8K-1.1K0.0084.33N/AN/A2001,710574
2007-08-10$4.88$3.7557.7%16.4%50.6%0.0%0.0%6.0%-1.1%4.1K-172.4K-1.1K0.0085.12N/AN/A10401,730574
2007-08-13$4.88$3.7546.8%15.9%49.6%0.0%0.0%3.1%2.2%2.9K-139.7K-1.0K0.0086.49N/AN/A001,714574
2007-08-14$4.83$3.7552.1%15.8%49.0%0.0%0.0%1.9%1.8%3.0K-116.1K-9720.0086.20N/AN/A0201,714574
2007-08-15$4.80$3.7565.4%15.7%36.0%0.0%54.7%5.5%2.0%2.8K-150.8K-9460.0084.47N/AN/A2001,714560
2007-08-16$4.88$3.7555.4%15.9%36.1%0.0%0.0%6.6%1.9%2.9K-141.2K-9550.0088.41N/AN/A10401,734560
2007-08-17$4.99$3.7549.9%14.3%36.7%0.0%50.9%5.5%6.9%2.2K-214.8K-9440.1480.63N/AN/A140201,726560
2007-08-20$4.86$3.7555.3%15.9%36.4%0.0%55.3%3.5%1.4%5.3K-225.8K-8610.1763.63N/AN/A60101,184260
2007-08-21$4.83$3.7554.8%15.7%36.2%0.0%0.0%5.1%-0.1%5.6K-225.0K-8891.9588.08N/AN/A40781,236268
2007-08-22$5.17$3.7555.4%15.9%43.7%0.0%55.4%0.1%-0.4%5.6K-322.8K-1.1K0.9465.27N/AN/A62581,276346
2007-08-23$5.10$3.7553.8%15.4%43.7%0.0%53.8%-1.8%0.4%5.5K-309.5K-1.1K2.0064.10N/AN/A241,316388
2007-08-24$5.14$3.7553.0%15.2%43.5%0.0%53.0%0.1%1.3%5.6K-323.6K-1.1K0.0062.55N/AN/A401,318388
2007-08-27$5.13$3.7554.0%15.5%41.8%0.0%0.0%-6.5%-1.3%5.5K-324.7K-1.0K0.0035.33N/AN/A001,316388
2007-08-28$5.07$3.7554.6%15.6%41.8%0.0%52.7%-3.5%1.4%5.5K-291.9K-1.0K0.0064.22N/AN/A1001,316388
2007-08-29$5.17$3.7552.6%15.1%41.6%0.0%0.0%-2.5%1.1%5.4K-324.6K-1.0K4.0068.66N/AN/A10401,312388
2007-08-30$5.17$3.7553.8%15.4%41.6%0.0%0.0%-0.6%0.1%5.4K-312.7K-1.0K0.0069.07N/AN/A0601,312428
2007-08-31$5.26$3.7547.9%13.7%37.1%0.0%0.0%3.1%8.5%5.0K-345.1K-1.1K0.0061.78N/AN/A001,312488