FIZZ Options History — November 2010

In November 2010, FIZZ traded between $6.54 and $7.35. ATM implied volatility averaged 37.9%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 12.0% (HV 20d: 25.9%). Max pain ranged from $6.25 to $6.25. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2010-11-23: Highest Volume — 40 contracts
  • 2010-11-11: Largest IV drop — 25.2% change
  • 2010-11-26: Highest IV Rank — 17.2%
  • 2010-11-26: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.04$6.54$7.35$7.00$6.54
Max Pain$6.25$6.25$6.25$6.25$6.25
ATM IV37.9%30.8%49.2%36.7%44.7%
Expected Move10.4%8.8%14.1%10.5%12.8%
HV 20d25.9%20.1%33.8%33.8%22.8%
HV 60d30.8%24.5%36.8%36.5%25.4%
IV Rank10.4%6.1%17.2%9.7%14.5%
IV Percentile56.8%23.0%90.1%50.4%84.9%
Term Structure1.1%-20.9%19.1%5.4%-5.5%
Skew 25d3.9%-2.9%9.8%3.1%9.8%
Skew 10d4.1%-16.5%17.3%2.4%17.3%
Call IV 25d29.7%26.5%36.4%31.5%35.5%
Put IV 25d33.6%28.9%45.3%34.6%45.3%
Bid-Ask Spread %144.54122.74165.30147.88135.57
Gamma HHI0.540.500.620.530.62
Net GEX-3.8K-8.1K-1.2K-3.7K-7.6K
Net DEX8.2K-63.6K110.8K10.4K110.8K
Net VEX-1.1K-1.2K-994-1.2K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume4.85704002
Total OI1,109.9051,0981,1361,1121,108

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$7.00$6.2536.7%10.5%33.8%9.7%0.0%3.1%5.4%-3.7K10.4K-1.2K0.00147.88N/AN/A00364748
2010-11-02$7.23$6.2535.4%10.2%33.2%8.9%0.0%7.1%5.8%-2.1K-34.7K-1.2K0.00152.39N/AN/A00364748
2010-11-03$7.33$6.2541.8%12.0%32.4%12.7%0.0%1.8%-3.1%-1.4K-57.4K-1.1K0.00165.30N/AN/A00364748
2010-11-04$7.33$6.2540.0%11.5%30.8%11.7%0.0%1.2%-0.7%-1.3K-58.5K-1.1K0.00163.60N/AN/A00364748
2010-11-05$7.28$0.0040.1%9.3%28.3%11.7%0.0%0.2%0.0%-1.6K-50.0K-1.1K0.00155.83N/AN/A00364748
2010-11-08$7.35$0.0040.3%10.0%26.2%11.9%0.0%1.8%-0.8%-1.2K-63.6K-1.0K0.00151.30N/AN/A020364748
2010-11-09$7.19$0.0043.7%9.3%27.5%13.9%0.0%0.3%1.7%-2.4K-22.3K-1.1K0.00146.57N/AN/A220364768
2010-11-10$7.14$0.0041.2%9.1%25.3%12.4%0.0%-2.9%1.1%-3.0K-9.4K-1.1K0.00122.74N/AN/A00342768
2010-11-11$7.02$0.0030.8%8.8%25.9%6.1%0.0%2.9%19.1%-3.9K15.8K-1.2K0.00139.60N/AN/A40342768
2010-11-12$7.07$0.0031.5%9.0%26.1%6.5%0.0%3.6%8.0%-3.4K4.6K-1.1K0.00133.91N/AN/A40338768
2010-11-15$7.05$0.0031.3%9.0%25.6%6.4%0.0%4.0%8.5%-3.8K13.6K-1.1K0.00130.55N/AN/A20334768
2010-11-16$6.99$0.0032.1%9.2%25.0%6.9%0.0%5.0%9.0%-4.2K26.2K-1.1K0.00138.58N/AN/A00332768
2010-11-17$6.94$0.0033.9%9.7%24.4%7.9%0.0%5.1%5.8%-4.9K39.9K-1.1K0.00143.13N/AN/A00332768
2010-11-18$7.00$0.0034.1%9.8%23.6%8.1%0.0%4.4%3.7%-4.4K23.4K-1.0K0.00136.45N/AN/A00332768
2010-11-19$7.00$0.0033.0%9.5%23.2%7.4%0.0%6.0%4.6%-4.4K20.9K-1.0K0.00135.87N/AN/A00332768
2010-11-22$7.00$0.0033.9%9.7%23.1%8.0%0.0%9.7%10.3%-4.0K15.6K-1.0K0.00155.42N/AN/A00330768
2010-11-23$6.96$0.0040.4%11.6%23.1%11.9%0.0%5.3%-9.7%-4.9K27.7K-9940.00143.50N/AN/A400330768
2010-11-24$6.97$0.0039.5%11.3%20.1%11.4%0.0%8.1%-3.3%-4.4K9.3K-1.0K0.00143.10N/AN/A80368768
2010-11-26$6.84$0.0049.2%14.1%20.7%17.2%0.0%5.8%-20.9%-5.9K48.4K-1.1K0.00144.58N/AN/A00360768
2010-11-29$6.61$0.0043.2%12.4%23.5%13.6%0.0%0.0%-15.1%-8.1K101.5K-1.0K0.00149.51N/AN/A00360748
2010-11-30$6.54$0.0044.7%12.8%22.8%14.5%0.0%9.8%-5.5%-7.6K110.8K-1.0K0.00135.57N/AN/A02360748