FIZZ Options History — July 2010

In July 2010, FIZZ traded between $6.14 and $7.17. ATM implied volatility averaged 36.5%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.7% (HV 20d: 33.8%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2010-07-12: Highest Volume — 554 contracts
  • 2010-07-08: Largest IV spike — 92.8% change
  • 2010-07-09: Highest IV Rank — 34.7%
  • 2010-07-01: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.81$6.14$7.17$6.14$7.11
Max Pain$6.25$6.25$6.25$6.25$6.25
ATM IV36.5%25.0%78.0%39.6%30.3%
Expected Move8.3%7.0%11.4%11.4%8.7%
HV 20d33.8%27.6%38.6%33.7%27.6%
HV 60d29.5%27.4%30.7%28.0%30.4%
IV Rank9.6%2.6%34.7%11.5%5.8%
IV Percentile32.5%1.6%91.3%60.7%22.2%
Term Structure4.8%-14.6%52.5%52.5%-1.6%
VWIV24.5%14.7%38.9%17.3%18.5%
Skew 25d3.3%-11.9%13.5%-11.9%3.3%
Skew 10d6.4%-2.5%20.6%0.9%3.9%
Call IV 25d24.0%14.4%40.4%40.4%22.2%
Put IV 25d27.3%22.9%44.5%28.5%25.5%
Bid-Ask Spread %115.3256.28194.34138.35149.80
Gamma HHI0.770.660.870.690.81
Net GEX9.3K2.3K14.5K2.3K12.5K
Net DEX-219.7K-341.4K-44.1K-44.1K-325.0K
Net VEX-1.1K-1.8K-172-250-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.0010.002.000.00
Total Volume67.5240554300
Total OI909.0482981,3383081,280

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$6.14$6.2539.6%11.4%33.7%11.5%0.0%-11.9%52.5%2.3K-44.1K-2502.00138.35N/AN/A102022484
2010-07-02$6.16$6.2528.4%8.1%31.9%4.6%0.0%2.2%-0.1%4.5K-49.8K-2270.00194.34N/AN/A0023464
2010-07-06$6.20$6.2533.2%8.8%31.3%7.6%0.0%5.1%2.2%4.3K-57.4K-2230.0084.54N/AN/A0023464
2010-07-07$6.38$6.2532.3%7.1%32.4%7.0%0.0%11.8%3.7%5.5K-72.8K-2060.00122.50N/AN/A0023464
2010-07-08$6.50$6.2562.3%7.3%32.7%25.2%0.0%1.5%-1.2%4.1K-84.3K-2120.00104.10N/AN/A0023464
2010-07-09$6.57$6.2578.0%7.0%32.1%34.7%0.0%3.6%1.7%4.0K-92.6K-2150.0076.59N/AN/A20023464
2010-07-12$6.78$6.2566.2%7.3%33.4%27.6%17.3%4.0%-6.7%3.5K-114.7K-1720.0080.32N/AN/A554023464
2010-07-13$7.09$6.2536.2%8.3%36.1%9.4%32.9%8.3%-8.8%12.3K-290.1K-1.0K0.00122.32N/AN/A174076864
2010-07-14$7.08$6.2549.0%10.3%36.1%17.2%38.9%6.3%-5.0%14.5K-338.6K-1.2K0.00133.35N/AN/A68094264
2010-07-15$7.00$6.2530.7%8.8%36.6%6.0%0.0%4.7%-0.0%12.3K-306.3K-1.2K10.00151.47N/AN/A242401,01064
2010-07-16$6.80$6.2535.5%10.2%38.6%8.9%14.7%7.8%-14.6%7.4K-246.1K-1.5K0.00145.86N/AN/A5001,034304
2010-07-19$6.94$6.2527.9%8.0%37.9%4.4%0.0%2.7%8.3%8.8K-215.0K-1.5K0.00119.79N/AN/A2100830262
2010-07-20$6.96$6.2526.3%7.5%37.5%3.3%0.0%13.5%21.4%11.5K-261.0K-1.8K0.00114.83N/AN/A601,040262
2010-07-21$6.86$6.2531.1%8.9%38.1%6.3%0.0%5.2%3.9%12.1K-243.8K-1.8K0.0091.67N/AN/A001,040262
2010-07-22$6.98$6.2525.7%7.4%37.9%3.0%0.0%2.8%7.0%12.4K-272.2K-1.8K0.00116.33N/AN/A001,040262
2010-07-23$7.05$6.2525.2%7.2%37.5%2.7%0.0%2.6%9.3%11.8K-297.0K-1.8K0.0056.28N/AN/A001,040262
2010-07-26$7.05$6.2525.0%7.2%31.8%2.6%0.0%-6.0%17.8%12.4K-307.0K-1.8K0.0079.69N/AN/A001,040262
2010-07-27$7.17$6.2527.1%7.8%32.0%3.9%18.5%-4.8%11.3%13.5K-341.4K-1.7K0.00101.63N/AN/A4201,040262
2010-07-28$7.11$6.2529.9%8.6%27.7%5.5%0.0%1.1%0.1%12.8K-331.7K-1.8K0.00155.50N/AN/A001,018262
2010-07-29$7.09$6.2526.7%7.7%27.7%3.6%0.0%5.6%0.5%12.8K-322.3K-1.7K0.0082.48N/AN/A001,018262
2010-07-30$7.11$6.2530.3%8.7%27.6%5.8%0.0%3.3%-1.6%12.5K-325.0K-1.8K0.00149.80N/AN/A001,018262