FIZZ Options History — October 2008

In October 2008, FIZZ traded between $3.48 and $4.71. ATM implied volatility averaged 124.7%, placing in the 62.8% IV rank vs the trailing year. The 30-day expected move averaged 33.0%. IV traded above realized volatility by 1.7% (HV 20d: 123.1%). Max pain ranged from $3.75 to $3.75. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 6.00.

Notable Days

  • 2008-10-14: Highest Volume — 300 contracts
  • 2008-10-03: Largest IV spike — 74.0% change
  • 2008-10-03: Highest IV Rank — 100.0%
  • 2008-10-29: Largest Expected Move — 46.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.00$3.48$4.71$4.71$4.58
Max Pain$3.75$3.75$3.75$3.75$3.75
ATM IV124.7%57.8%186.1%57.8%155.2%
Expected Move33.0%16.6%46.6%16.6%44.5%
HV 20d123.1%91.6%142.0%91.6%136.8%
HV 60d87.1%69.5%105.0%69.5%105.0%
IV Rank62.8%28.0%100.0%28.0%79.7%
IV Percentile96.0%64.7%100.0%64.7%98.4%
Term Structure-10.8%-51.3%168.1%-8.1%-30.6%
VWIV111.4%79.9%188.3%84.6%150.1%
Bid-Ask Spread %154.19109.86183.37111.16182.15
Gamma HHI0.580.460.880.740.47
Net GEX-569-4.3K4.3K4.3K-543
Net DEX-16.8K-138.9K72.5K-138.9K-55.0K
Net VEX-507-655-251-506-619
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.000.0035.0035.000.50
Total Volume41.8260300060
Total OI1,154.6961,0221,6461,0221,206

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$4.71$3.7557.8%16.6%91.6%28.0%0.0%0.0%-8.1%4.3K-138.9K-5060.00111.16N/AN/A00664358
2008-10-02$4.04$3.7575.0%21.5%107.5%48.2%84.6%0.0%-23.5%983-38.7K-4740.00109.86N/AN/A046664358
2008-10-03$4.36$3.75130.6%37.4%110.7%100.0%0.0%0.0%-34.5%1.0K-93.1K-5710.00150.70N/AN/A00664384
2008-10-06$4.05$3.75186.1%35.1%110.3%100.0%0.0%0.0%-29.3%960-57.6K-5160.00183.37N/AN/A00664384
2008-10-07$3.75$3.7594.9%37.1%112.9%40.1%0.0%0.0%-18.9%-1.8K-4.2K-4090.00149.64N/AN/A00664384
2008-10-08$3.71$3.7596.0%27.5%112.5%40.8%188.3%0.0%168.1%-2.2K-6.1K-39735.00178.60N/AN/A270664384
2008-10-09$3.55$3.75139.8%40.1%112.6%69.6%0.0%0.0%-21.5%-67950.5K-3730.00173.58N/AN/A80662454
2008-10-10$3.92$3.75161.8%0.0%118.9%84.1%0.0%0.0%0.0%-4.3K-36.2K-4220.00180.28N/AN/A00662454
2008-10-13$4.12$3.75175.7%34.5%117.8%93.2%0.0%0.0%33.1%-354-41.8K-3960.00134.06N/AN/A0100662454
2008-10-14$3.76$3.75131.0%24.2%121.5%63.8%80.1%0.0%-23.3%-23815.6K-4016.50111.49N/AN/A40260662554
2008-10-15$3.59$3.75134.4%24.9%122.2%66.1%86.6%0.0%-10.0%-2.2K71.0K-5090.00112.85N/AN/A014702814
2008-10-16$4.25$3.75100.9%28.9%134.0%44.1%79.9%0.0%-26.5%-961-11.2K-5410.00177.88N/AN/A1300702814
2008-10-17$4.00$3.7599.0%28.4%132.8%42.8%96.3%0.0%-13.2%-825-42.0K-5880.00151.81N/AN/A070832814
2008-10-20$4.10$3.7584.6%24.3%129.9%33.4%0.0%0.0%-29.2%-1.5K-7.9K-6110.00170.57N/AN/A200456610
2008-10-21$4.20$3.75115.1%33.0%127.8%53.4%0.0%0.0%43.7%-865-22.9K-6550.00161.36N/AN/A00476610
2008-10-22$3.85$3.75127.4%36.5%127.4%61.5%0.0%0.0%-41.2%-6116.3K-6040.00132.55N/AN/A00476610
2008-10-23$3.90$3.75104.6%30.0%127.4%46.5%0.0%0.0%-15.4%-1.1K13.2K-5940.00160.90N/AN/A00476610
2008-10-24$3.69$3.75135.6%38.9%127.6%66.9%125.6%0.0%6.1%-1.4K34.8K-5750.00168.07N/AN/A20476610
2008-10-27$3.48$3.75155.2%44.5%127.7%79.7%0.0%0.0%-51.3%-85472.5K-4750.00140.11N/AN/A00476610
2008-10-28$4.18$3.75124.6%35.7%141.2%59.6%0.0%0.0%-44.9%1.3K-89.3K-2510.00158.63N/AN/A00476610
2008-10-29$3.83$3.75162.7%46.6%142.0%84.7%0.0%0.0%-44.0%-67612.1K-5616.00181.18N/AN/A20120476610
2008-10-30$4.29$3.75121.2%34.7%137.5%57.4%0.0%0.0%-23.3%-544-16.8K-6060.00165.50N/AN/A00476730
2008-10-31$4.58$3.75155.2%44.5%136.8%79.7%150.1%0.0%-30.6%-543-55.0K-6190.50182.15N/AN/A4020476730