FIZZ Options History — September 2010

In September 2010, FIZZ traded between $6.89 and $7.50. ATM implied volatility averaged 35.1%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 3.7% (HV 20d: 38.7%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2010-09-07: Highest Volume — 106 contracts
  • 2010-09-21: Largest IV spike — 28.6% change
  • 2010-09-08: Highest IV Rank — 15.0%
  • 2010-09-30: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.20$6.89$7.50$7.49$7.00
Max Pain$6.25$6.25$6.25$6.25$6.25
ATM IV35.1%27.7%45.5%38.3%40.7%
Expected Move9.7%7.9%11.7%11.0%11.7%
HV 20d38.7%17.9%51.5%51.5%17.9%
HV 60d37.7%35.8%38.9%38.6%35.8%
IV Rank8.7%4.2%15.0%10.6%12.1%
IV Percentile43.0%9.9%84.5%58.3%74.6%
Term Structure1.2%-4.3%16.3%-4.1%0.2%
VWIV37.7%31.3%50.2%38.5%35.6%
Skew 25d6.5%-4.4%38.1%38.1%-3.6%
Skew 10d9.7%-3.3%60.4%60.4%2.1%
Call IV 25d28.6%19.8%47.8%35.7%25.8%
Put IV 25d35.1%22.0%73.8%73.8%22.3%
Bid-Ask Spread %133.2592.92162.78105.36156.84
Gamma HHI0.520.500.560.510.54
Net GEX-3.6K-6.9K357-3.0K-6.0K
Net DEX-48.6K-139.1K38.2K-120.3K28.0K
Net VEX-1.7K-1.9K-1.6K-1.9K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.0010.000.000.00
Total Volume17.143010626100
Total OI1,620.6671,6001,6481,6461,600

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$7.49$6.2538.3%11.0%51.5%10.6%38.5%38.1%-4.1%-3.0K-120.3K-1.9K0.00105.36N/AN/A2605481,098
2010-09-02$7.45$6.2536.8%10.6%50.7%9.7%0.0%6.5%3.9%-2.9K-116.7K-1.8K0.00148.67N/AN/A005301,098
2010-09-03$7.50$6.2538.1%9.5%50.7%10.5%33.2%3.2%-2.4%92-139.1K-1.6K1.00150.37N/AN/A10105301,098
2010-09-07$7.45$6.2541.4%10.6%50.5%12.5%50.2%16.1%-3.2%-2.2K-117.0K-1.8K0.00121.93N/AN/A10605401,108
2010-09-08$7.44$6.2545.5%8.7%49.0%15.0%0.0%13.6%2.6%357-129.2K-1.7K0.00156.27N/AN/A2205161,108
2010-09-09$7.41$6.2537.4%10.7%39.4%10.1%43.4%2.7%-3.8%-2.1K-103.2K-1.8K10.0096.57N/AN/A2205081,108
2010-09-10$7.42$6.2531.4%9.0%39.4%6.5%31.3%-2.1%0.7%-1.8K-117.7K-1.7K5.00161.75N/AN/A2105061,128
2010-09-13$7.42$6.2533.2%9.5%39.4%7.6%0.0%13.9%-0.5%-2.0K-113.9K-1.7K0.00162.67N/AN/A205081,128
2010-09-14$7.33$6.2531.6%9.0%37.9%6.6%32.1%4.1%-0.0%-1.5K-93.1K-1.7K0.0097.74N/AN/A1005061,128
2010-09-15$7.08$6.2533.1%9.5%40.2%7.5%35.6%10.8%-3.3%-3.1K-46.7K-1.8K0.0092.92N/AN/A1005161,128
2010-09-16$7.12$6.2527.7%7.9%40.3%4.2%0.0%11.8%4.6%-3.6K-37.8K-1.8K0.00119.08N/AN/A005161,128
2010-09-17$7.03$6.2529.1%8.4%36.9%5.1%0.0%5.7%5.5%-5.1K-8.2K-1.8K0.00135.65N/AN/A205161,128
2010-09-20$7.14$6.2528.0%8.0%37.0%4.4%0.0%7.1%16.3%-3.2K-25.3K-1.7K0.00141.10N/AN/A805001,108
2010-09-21$7.05$6.2536.0%10.3%36.6%9.2%0.0%-2.3%3.3%-4.5K-9.3K-1.7K0.00162.78N/AN/A004921,108
2010-09-22$7.00$6.2536.3%10.4%36.7%9.4%0.0%-1.1%1.2%-5.5K10.3K-1.8K0.00146.16N/AN/A004921,108
2010-09-23$6.89$6.2534.0%9.7%35.4%8.0%0.0%3.3%5.8%-6.9K38.2K-1.8K0.00122.10N/AN/A2004921,108
2010-09-24$6.99$6.2537.7%10.8%34.8%10.3%0.0%3.3%-2.5%-5.5K19.6K-1.7K0.00140.63N/AN/A004921,108
2010-09-27$6.96$6.2528.7%8.2%34.3%4.8%0.0%4.2%7.5%-5.1K14.1K-1.7K0.00127.14N/AN/A004921,108
2010-09-28$7.00$6.2533.0%9.5%30.3%7.4%0.0%5.5%-1.3%-5.4K19.1K-1.7K0.00121.57N/AN/A004921,108
2010-09-29$6.97$6.2538.3%11.0%24.4%10.7%0.0%-4.4%-4.3%-6.1K27.8K-1.7K0.00131.08N/AN/A004921,108
2010-09-30$7.00$6.2540.7%11.7%17.9%12.1%0.0%-3.6%0.2%-6.0K28.0K-1.7K0.00156.84N/AN/A10004921,108