FIZZ Options History — October 2007

In October 2007, FIZZ traded between $4.14 and $4.75. ATM implied volatility averaged 50.4%. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 8.1% (HV 20d: 42.3%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 2.27.

Notable Days

  • 2007-10-09: Highest Volume — 380 contracts
  • 2007-10-30: Largest IV spike — 34.6% change
  • 2007-10-22: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.45$4.14$4.75$4.63$4.16
Max Pain$3.75$3.75$3.75$3.75$3.75
ATM IV50.4%36.1%61.9%52.9%60.2%
Expected Move14.8%12.0%17.7%15.2%17.3%
HV 20d42.3%29.7%55.3%55.3%29.7%
HV 60d44.4%40.5%49.4%49.4%40.5%
Term Structure2.0%-6.6%14.4%-2.2%2.6%
VWIV47.9%38.3%60.3%54.2%38.3%
Skew 25d4.9%-6.1%26.8%-3.2%4.5%
Skew 10d11.3%-8.2%22.5%-1.1%17.3%
Call IV 25d48.8%40.4%57.8%54.1%50.5%
Put IV 25d53.7%46.5%67.2%50.8%55.0%
Bid-Ask Spread %50.4431.4183.2153.0459.79
Gamma HHI0.470.400.600.430.46
Net GEX-1.3K-3.9K2.5K1.3K-3.8K
Net DEX25.2K-121.4K179.1K-90.1K179.1K
Net VEX-1.2K-1.3K-1.1K-1.1K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.0020.000.000.00
Total Volume33.5650380820
Total OI1,968.5221,4342,3622,0061,572

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$4.63$3.7552.9%15.2%55.3%0.0%54.2%-3.2%-2.2%1.3K-90.1K-1.1K0.0053.04N/AN/A8201,242764
2007-10-02$4.57$3.7556.4%16.2%55.0%0.0%0.0%-5.6%-6.6%2.1K-85.7K-1.1K0.0051.44N/AN/A2001,260764
2007-10-03$4.63$3.7545.4%13.0%55.1%0.0%0.0%-6.1%-2.2%2.5K-121.4K-1.1K2.5031.41N/AN/A20501,278764
2007-10-04$4.64$3.7546.0%13.2%55.0%0.0%0.0%-5.3%-0.7%1.2K-94.5K-1.1K0.0036.31N/AN/A001,298814
2007-10-05$4.70$3.7546.1%14.8%41.9%0.0%42.6%-0.5%-0.9%2.2K-114.4K-1.2K0.0063.87N/AN/A1001,298814
2007-10-08$4.75$3.7549.5%14.6%40.0%0.0%0.0%4.4%-0.8%2.1K-121.2K-1.1K0.0063.78N/AN/A001,308814
2007-10-09$4.67$3.7536.1%14.7%38.5%0.0%0.0%11.9%-1.3%2.2K-103.7K-1.1K3.7564.23N/AN/A803001,308814
2007-10-10$4.56$3.7543.0%14.8%39.8%0.0%0.0%8.5%-1.8%-566-10.3K-1.3K0.0053.40N/AN/A001,2521,078
2007-10-11$4.58$3.7551.5%14.8%39.8%0.0%0.0%11.6%-2.2%-456-9.3K-1.3K0.0083.21N/AN/A001,2521,078
2007-10-12$4.63$3.7552.8%15.1%40.0%0.0%0.0%26.8%-1.9%78-9.6K-1.3K0.0033.78N/AN/A2401,2521,078
2007-10-15$4.57$3.7551.4%14.7%38.8%0.0%0.0%3.9%-1.8%-966-2.6K-1.3K0.0038.11N/AN/A001,2601,078
2007-10-16$4.56$3.7548.7%13.9%37.9%0.0%0.0%5.0%1.1%-848-2.6K-1.3K0.0032.21N/AN/A001,2601,078
2007-10-17$4.55$3.7551.0%14.6%37.8%0.0%0.0%-2.0%-3.1%-3.5K10.5K-1.3K1.0031.51N/AN/A221,2601,060
2007-10-18$4.54$3.7549.3%14.1%37.8%0.0%50.4%5.1%-0.5%-3.5K11.4K-1.3K20.0041.42N/AN/A2401,2621,060
2007-10-19$4.25$3.7548.9%14.0%45.4%0.0%41.5%7.5%12.0%-3.7K59.5K-1.2K0.0079.64N/AN/A201,2621,100
2007-10-22$4.17$3.7561.9%17.7%45.6%0.0%60.3%10.4%-4.3%-3.7K156.2K-1.2K0.0040.95N/AN/A6203841,050
2007-10-23$4.21$3.7550.2%14.4%45.6%0.0%0.0%6.1%12.0%-3.5K146.4K-1.2K0.0050.79N/AN/A204461,050
2007-10-24$4.15$3.7557.2%16.4%45.6%0.0%0.0%4.3%-3.1%-3.6K157.3K-1.2K0.0034.40N/AN/A004481,050
2007-10-25$4.21$3.7549.5%14.2%43.8%0.0%0.0%4.5%14.2%-3.6K158.7K-1.2K0.0048.60N/AN/A004481,050
2007-10-26$4.26$3.7552.8%15.1%44.0%0.0%0.0%8.1%14.4%-3.5K151.0K-1.2K0.0049.52N/AN/A204481,050
2007-10-29$4.22$3.7541.8%12.0%29.9%0.0%38.3%6.1%12.5%-3.6K149.5K-1.2K0.0067.15N/AN/A0724481,050
2007-10-30$4.14$3.7556.3%16.1%30.3%0.0%0.0%6.8%9.5%-3.9K166.3K-1.2K0.0051.48N/AN/A004501,122
2007-10-31$4.16$3.7560.2%17.3%29.7%0.0%0.0%4.5%2.6%-3.8K179.1K-1.2K0.0059.79N/AN/A004501,122