FIZZ Options History — August 2010

In August 2010, FIZZ traded between $6.24 and $7.17. ATM implied volatility averaged 38.8%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 1.1% (HV 20d: 37.7%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2010-08-20: Highest Volume — 726 contracts
  • 2010-08-10: Largest IV spike — 91.6% change
  • 2010-08-10: Highest IV Rank — 17.4%
  • 2010-08-23: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.61$6.24$7.17$6.93$7.17
Max Pain$6.25$6.25$6.25$6.25$6.25
ATM IV38.8%25.8%49.4%30.2%37.1%
Expected Move10.7%8.1%13.4%8.7%10.6%
HV 20d37.7%26.8%49.8%29.9%49.8%
HV 60d33.6%29.1%37.7%30.7%37.7%
IV Rank10.9%3.1%17.4%5.7%9.9%
IV Percentile58.8%5.2%88.9%21.4%52.8%
Term Structure-1.5%-22.2%45.5%-2.5%0.9%
VWIV44.3%32.6%59.6%49.0%50.0%
Skew 25d8.8%-0.5%47.0%1.7%47.0%
Skew 10d14.4%-0.9%54.3%1.4%54.3%
Call IV 25d29.2%21.5%36.3%21.5%33.3%
Put IV 25d38.0%23.2%80.3%23.2%80.3%
Bid-Ask Spread %119.8439.59144.53111.54114.83
Gamma HHI0.730.500.970.820.58
Net GEX3.4K-8.9K12.5K11.6K-8.9K
Net DEX-77.5K-271.5K195.1K-271.5K-46.4K
Net VEX-1.6K-2.2K-973-1.7K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.005.000.005.00
Total Volume65.63607262012
Total OI1,341.0911,0241,6341,2801,634

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$6.93$6.2530.2%8.7%29.9%5.7%0.0%1.7%-2.5%11.6K-271.5K-1.7K0.00111.54N/AN/A2001,018262
2010-08-03$6.81$6.2539.1%11.2%31.0%11.2%49.0%8.4%-17.7%10.7K-223.0K-1.7K2.50115.67N/AN/A8201,038262
2010-08-04$6.95$6.2534.3%9.8%30.3%8.2%42.7%6.7%-1.8%11.8K-263.1K-1.7K0.2089.86N/AN/A1021,046262
2010-08-05$6.79$6.2543.3%12.4%31.3%13.7%59.6%-0.5%-22.2%10.9K-238.8K-1.7K0.00107.25N/AN/A401,052264
2010-08-06$6.80$6.2540.6%8.5%31.1%12.0%0.0%3.9%45.5%12.5K-219.4K-1.7K0.00121.40N/AN/A001,052264
2010-08-09$6.93$6.2525.8%8.1%29.9%3.1%0.0%5.1%8.0%9.0K-248.9K-1.6K0.00117.85N/AN/A001,052264
2010-08-10$6.72$6.2549.4%9.4%26.8%17.4%0.0%1.8%-5.0%10.1K-208.4K-1.6K0.00118.00N/AN/A2001,052264
2010-08-11$6.25$6.2542.4%9.6%36.9%13.2%32.6%7.5%3.2%7.3K-109.8K-1.3K0.00122.40N/AN/A23401,032264
2010-08-12$6.25$6.2540.2%11.5%36.9%11.8%0.0%4.3%-2.2%6.4K-76.3K-1.2K0.00128.33N/AN/A00950264
2010-08-13$6.34$6.2536.9%10.6%36.6%9.8%0.0%16.4%-4.7%5.8K-112.2K-1.2K0.00122.40N/AN/A00950264
2010-08-16$6.62$6.2536.3%10.4%39.2%9.4%0.0%8.3%-6.7%5.9K-145.9K-1.3K0.00139.72N/AN/A00950264
2010-08-17$6.70$6.2534.4%9.8%39.4%8.2%33.9%4.1%-1.3%6.8K-182.0K-1.4K0.00125.52N/AN/A2160950264
2010-08-18$6.71$6.2537.0%10.6%39.1%9.9%0.0%4.5%-5.4%6.0K-136.6K-1.0K0.00133.23N/AN/A030760264
2010-08-19$6.42$6.2537.5%10.7%41.2%10.1%0.0%8.8%2.7%5.4K-87.6K-1.0K0.00135.84N/AN/A40760294
2010-08-20$6.39$6.2537.1%10.6%40.8%9.9%0.0%8.5%4.9%7.2K-81.7K-9730.00144.53N/AN/A0726760294
2010-08-23$6.28$6.2546.8%13.4%41.0%15.8%0.0%8.1%-2.6%-6.6K195.1K-2.1K1.0039.59N/AN/A20205021,018
2010-08-24$6.24$6.2540.0%11.5%40.1%11.7%0.0%6.6%10.0%-6.4K178.2K-2.1K0.00130.16N/AN/A005221,038
2010-08-25$6.47$6.2536.8%10.5%43.0%9.7%0.0%9.7%-2.7%-8.3K177.3K-2.1K0.00134.43N/AN/A0305221,038
2010-08-26$6.37$6.2542.9%12.3%43.2%13.5%42.1%22.5%2.2%-7.9K187.0K-2.1K0.00139.65N/AN/A205221,068
2010-08-27$6.51$6.2544.8%12.8%44.3%14.6%0.0%2.4%-21.7%-8.6K165.6K-2.2K0.00124.84N/AN/A2005241,068
2010-08-30$6.83$6.2540.5%11.6%47.0%12.0%50.0%8.6%-14.8%-6.3K43.9K-2.2K0.77119.49N/AN/A26205441,068
2010-08-31$7.17$6.2537.1%10.6%49.8%9.9%0.0%47.0%0.9%-8.9K-46.4K-1.9K5.00114.83N/AN/A2105461,088