FIZZ Options History — April 2008

In April 2008, FIZZ traded between $3.70 and $4.03. ATM implied volatility averaged 51.1%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 2.7% (HV 20d: 48.4%). Max pain ranged from $3.75 to $5.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2008-04-24: Highest Volume — 162 contracts
  • 2008-04-08: Largest IV spike — 55.3% change
  • 2008-04-08: Highest IV Rank — 32.1%
  • 2008-04-08: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.88$3.70$4.03$3.92$4.03
Max Pain$3.94$3.75$5.00$5.00$3.75
ATM IV51.1%41.0%75.8%52.9%51.9%
Expected Move14.5%11.8%20.0%15.2%14.9%
HV 20d48.4%40.8%55.0%42.6%49.7%
HV 60d42.8%39.8%46.8%46.5%41.7%
IV Rank12.1%4.0%32.1%13.6%12.8%
IV Percentile26.4%0.5%96.6%31.2%29.6%
Term Structure3.5%-11.9%24.5%-0.9%-11.0%
VWIV47.6%38.3%60.0%38.3%40.2%
Bid-Ask Spread %98.8148.63152.98110.04126.04
Gamma HHI0.650.420.850.730.65
Net GEX-2.3K-7.4K696-3.3K535
Net DEX47.4K-32.1K127.4K123.8K-32.1K
Net VEX-385-552-250-552-362
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume12.909016200
Total OI1,245.4555901,6861,686776

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$3.92$5.0052.9%15.2%42.6%13.6%0.0%0.0%-0.9%-3.3K123.8K-5520.00110.04N/AN/A006021,084
2008-04-02$3.83$5.0052.2%15.0%43.8%13.0%0.0%0.0%-0.2%-3.2K123.4K-5350.0055.90N/AN/A006021,084
2008-04-03$3.91$5.0042.4%12.1%44.1%5.0%0.0%0.0%21.0%-3.6K127.4K-5110.0048.63N/AN/A006021,084
2008-04-04$3.92$0.0055.9%15.3%40.8%16.0%0.0%0.0%-11.9%-3.7K125.6K-4360.00127.17N/AN/A806021,084
2008-04-07$4.01$0.0048.8%12.9%41.2%10.3%38.3%0.0%11.6%-34346.0K-2710.00105.14N/AN/A205941,084
2008-04-08$3.85$3.7575.8%20.0%44.2%32.1%0.0%0.0%4.1%-3.0K107.1K-5150.00117.81N/AN/A0105961,084
2008-04-09$3.70$3.7552.8%15.6%43.0%13.5%60.0%0.0%0.2%-3.2K98.3K-4600.00105.17N/AN/A20596878
2008-04-10$3.98$3.7548.3%13.8%49.1%9.8%0.0%0.0%11.6%-3.3K24.3K-3950.00109.25N/AN/A00598878
2008-04-11$3.81$3.7554.0%15.5%51.5%14.5%0.0%0.0%0.8%-3.2K62.2K-4500.00105.47N/AN/A00596878
2008-04-14$3.94$3.7555.9%16.0%52.6%16.0%0.0%0.0%-1.3%-3.9K26.9K-3540.0088.60N/AN/A00596874
2008-04-15$3.79$3.7557.3%16.4%54.8%17.1%0.0%0.0%-1.9%-4.1K67.6K-3990.00106.53N/AN/A00596874
2008-04-16$3.83$3.7550.6%14.5%54.8%11.7%0.0%0.0%4.8%-5.5K56.1K-3670.0097.32N/AN/A00596874
2008-04-17$3.80$3.7551.9%14.9%54.9%12.8%51.9%0.0%2.9%-7.4K64.2K-3520.0069.90N/AN/A028596874
2008-04-18$3.88$3.7541.0%11.8%55.0%4.0%0.0%0.0%-5.0%-2.1K-19.7K-2500.00123.54N/AN/A00596902
2008-04-21$3.83$3.7544.0%12.6%47.8%6.4%0.0%0.0%24.5%-83925.3K-2880.00110.55N/AN/A240180410
2008-04-22$3.72$3.7551.0%14.6%48.4%12.0%0.0%0.0%-0.9%-86129.7K-2840.0084.09N/AN/A00180410
2008-04-23$3.79$3.7554.8%15.7%49.0%15.1%0.0%0.0%1.1%-73825.1K-2990.0075.63N/AN/A00204410
2008-04-24$3.84$3.7541.8%12.0%48.6%4.6%0.0%0.0%5.7%-1.0K24.2K-2670.00100.74N/AN/A1620204410
2008-04-25$3.98$3.7549.6%14.2%50.2%10.9%0.0%0.0%4.8%696-15.6K-3430.00152.98N/AN/A00358410
2008-04-28$3.99$3.7545.8%13.1%49.7%7.8%40.2%0.0%7.8%335-25.0K-3770.0060.70N/AN/A480358410
2008-04-29$3.92$3.7545.5%13.0%49.6%7.6%0.0%0.0%9.3%350-21.6K-3940.0092.71N/AN/A00366410
2008-04-30$4.03$3.7551.9%14.9%49.7%12.8%0.0%0.0%-11.0%535-32.1K-3620.00126.04N/AN/A00366410