FIZZ Options History — January 2008

In January 2008, FIZZ traded between $3.55 and $4.05. ATM implied volatility averaged 59.6%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded below realized volatility by 9.8% (HV 20d: 69.4%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 4.73.

Notable Days

  • 2008-01-18: Highest Volume — 224 contracts
  • 2008-01-23: Largest IV spike — 7.4% change
  • 2008-01-23: Highest IV Rank — 25.1%
  • 2008-01-23: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.72$3.55$4.05$3.96$3.55
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV59.6%55.5%67.1%56.6%57.5%
Expected Move17.3%15.9%19.2%16.2%16.5%
HV 20d69.4%64.4%79.1%72.5%65.9%
HV 60d55.6%47.4%57.9%47.4%57.7%
IV Rank19.0%15.7%25.1%16.6%17.3%
IV Percentile67.8%51.4%89.7%58.2%56.5%
Term Structure0.2%-6.7%10.6%4.4%1.9%
VWIV57.8%57.8%57.8%57.8%57.8%
Skew 25d17.7%-12.4%33.8%20.0%28.2%
Skew 10d36.8%24.6%47.2%42.8%47.2%
Call IV 25d54.2%42.1%62.0%42.1%62.0%
Put IV 25d72.0%43.9%90.3%62.1%90.3%
Bid-Ask Spread %65.3131.45137.2096.4844.43
Gamma HHI0.740.410.950.800.56
Net GEX-5.8K-19.2K-1.3K-5.3K-2.2K
Net DEX205.0K95.8K330.1K183.5K161.9K
Net VEX-899-1.1K-737-902-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.730.0040.005.000.00
Total Volume56.095022404
Total OI1,899.9051,2762,1701,9261,802

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$3.96$5.0056.6%16.2%72.5%16.6%0.0%20.0%4.4%-5.3K183.5K-9020.0096.48N/AN/A006501,276
2008-01-03$3.64$5.0055.5%15.9%79.1%15.7%0.0%13.9%-0.6%-5.2K228.6K-7885.0091.82N/AN/A201006501,240
2008-01-04$3.63$0.0055.9%17.3%76.7%16.0%0.0%14.2%-0.1%-5.4K263.9K-8360.0049.44N/AN/A01086441,340
2008-01-07$3.85$0.0058.3%17.9%76.4%17.9%0.0%23.1%-3.2%-6.6K219.0K-9300.5753.46N/AN/A1486441,432
2008-01-08$3.60$0.0056.7%17.0%75.9%16.6%0.0%20.9%-0.1%-6.7K273.6K-8430.0068.38N/AN/A2006421,432
2008-01-09$3.87$0.0056.1%17.1%72.1%16.2%0.0%33.8%3.5%-7.5K236.6K-8990.0044.94N/AN/A006621,432
2008-01-10$4.05$0.0057.2%16.4%70.6%17.1%0.0%-12.4%2.6%-6.1K157.1K-9190.0072.78N/AN/A026621,432
2008-01-11$3.83$0.0060.6%17.4%70.0%19.8%0.0%28.2%-0.3%-8.2K239.4K-8930.0050.94N/AN/A006621,430
2008-01-14$3.67$0.0058.7%16.8%70.9%18.3%0.0%0.0%-0.1%-8.6K286.7K-78540.0041.08N/AN/A2806621,430
2008-01-15$3.61$0.0062.2%17.8%71.0%21.1%0.0%0.0%-4.0%-9.5K321.1K-7810.0031.45N/AN/A1406601,510
2008-01-16$3.71$0.0058.9%16.9%68.6%18.5%0.0%0.0%0.4%-10.2K283.9K-8010.0041.81N/AN/A006601,510
2008-01-17$3.60$0.0059.7%17.1%64.9%19.1%0.0%0.0%-0.9%-9.4K330.1K-7370.0043.21N/AN/A006601,510
2008-01-18$3.70$0.0060.6%17.4%66.1%19.8%0.0%0.0%-1.3%-19.2K308.6K-7590.0044.02N/AN/A02246601,510
2008-01-22$3.69$0.0062.5%17.9%66.0%21.3%0.0%0.0%2.7%-2.0K133.5K-8480.1946.05N/AN/A15630350926
2008-01-23$3.68$0.0067.1%19.2%64.4%25.1%0.0%0.0%0.2%-1.3K109.6K-9386.3044.78N/AN/A20126506924
2008-01-24$3.77$0.0064.6%18.5%65.3%23.1%0.0%0.0%0.3%-1.9K114.9K-1.0K0.0044.77N/AN/A8805261,050
2008-01-25$3.73$0.0062.6%18.0%65.2%21.4%0.0%0.0%-6.7%-1.5K95.8K-1.0K0.00107.07N/AN/A406101,050
2008-01-28$3.80$0.0059.8%17.1%64.7%19.2%0.0%0.0%-5.2%-1.5K102.5K-1.0K0.00117.96N/AN/A0506141,050
2008-01-29$3.65$0.0060.0%17.2%65.9%19.3%0.0%0.0%0.9%-1.7K119.2K-1.0K0.0099.44N/AN/A01006141,080
2008-01-30$3.60$0.0060.8%17.4%65.9%19.9%0.0%0.0%10.6%-1.9K135.6K-1.1K0.00137.20N/AN/A806141,180
2008-01-31$3.55$0.0057.5%16.5%65.9%17.3%57.8%0.0%1.9%-2.2K161.9K-1.0K0.0044.43N/AN/A406221,180