FIZZ Options History — December 2010

In December 2010, FIZZ traded between $6.57 and $7.59. ATM implied volatility averaged 42.3%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 0.9% (HV 20d: 43.2%). Max pain ranged from $6.25 to $7.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 3.81.

Notable Days

  • 2010-12-13: Highest Volume — 760 contracts
  • 2010-12-15: Largest IV drop — 63.8% change
  • 2010-12-14: Highest IV Rank — 39.1%
  • 2010-12-01: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.92$6.57$7.59$6.67$6.57
Max Pain$6.65$6.25$7.50$6.25$6.35
ATM IV42.3%22.8%85.2%57.3%27.4%
Expected Move9.9%6.5%16.4%16.4%7.9%
HV 20d43.2%19.6%53.8%20.4%53.4%
HV 60d33.8%25.8%37.7%25.8%37.3%
IV Rank13.1%1.3%39.1%22.2%4.0%
IV Percentile51.9%0.4%94.4%92.1%10.7%
Term Structure8.3%-30.0%98.5%-30.0%98.5%
VWIV36.1%26.7%51.1%33.1%26.7%
Skew 25d6.9%-17.4%21.9%15.9%-17.4%
Skew 10d10.9%-6.2%54.1%19.0%11.2%
Call IV 25d38.9%22.5%166.1%41.0%166.1%
Put IV 25d45.7%28.6%148.8%56.8%148.8%
Bid-Ask Spread %128.88108.63141.33133.55130.84
Gamma HHI0.640.390.960.620.84
Net GEX221-18.6K15.2K-8.7K874
Net DEX-139.6K-301.1K80.3K77.4K-135.4K
Net VEX-692-1.1K-475-938-572
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.810.0035.000.600.00
Total Volume98.0910760160
Total OI1,579.2731,1102,2961,1101,560

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$6.67$0.0057.3%16.4%20.4%22.2%0.0%15.9%-30.0%-8.7K77.4K-9380.60133.55N/AN/A106360750
2010-12-02$6.68$0.0047.3%13.6%19.6%16.1%0.0%8.9%-27.6%-8.4K80.3K-9620.00140.35N/AN/A00360756
2010-12-03$6.98$0.0050.5%14.5%26.1%18.1%0.0%4.0%-18.8%-4.1K-2.7K-8660.00131.06N/AN/A20360756
2010-12-06$7.37$6.2554.8%9.5%32.9%20.7%33.1%9.0%7.7%2.3K-113.7K-6930.20139.21N/AN/A25650362756
2010-12-07$7.49$7.5053.3%10.7%33.2%19.7%37.2%8.4%1.6%7.1K-193.2K-8871.05141.33N/AN/A3840598806
2010-12-08$7.50$7.5055.9%13.8%32.0%21.3%51.1%-5.3%10.0%5.7K-154.0K-1.1K1.69137.93N/AN/A2644636846
2010-12-09$7.59$7.5065.1%8.8%32.1%26.9%30.3%21.9%9.2%15.2K-206.0K-6794.25131.36N/AN/A1668644890
2010-12-10$7.59$7.5052.9%9.8%31.2%19.5%39.2%-3.6%12.8%13.0K-225.9K-7014.90123.83N/AN/A60294660910
2010-12-13$7.56$7.5057.0%10.4%31.3%22.0%36.4%7.1%1.8%3.7K-144.8K-9852.69132.22N/AN/A2065546781,138
2010-12-14$6.73$6.3585.2%9.6%52.8%39.1%33.9%-0.1%5.9%7.0K-301.1K-5240.17121.80N/AN/A236406781,138
2010-12-15$6.60$6.3530.8%8.8%53.1%6.1%33.0%5.5%10.6%-18.6K-120.5K-67835.00129.94N/AN/A2705621,622
2010-12-16$6.70$6.3533.0%9.5%53.4%7.4%33.3%-0.8%8.2%-12.1K-197.1K-5871.67139.36N/AN/A30505641,662
2010-12-17$6.58$6.3536.5%10.5%53.5%9.6%0.0%5.2%3.9%276-197.4K-6520.00121.16N/AN/A2005841,712
2010-12-20$6.65$6.3528.8%8.3%53.7%4.9%0.0%12.4%4.2%487-147.7K-4810.00110.17N/AN/A004301,106
2010-12-21$6.71$6.3530.6%8.8%53.8%6.0%0.0%13.3%13.7%-1.0K-117.0K-6550.00108.63N/AN/A004301,106
2010-12-22$6.66$6.3522.8%6.5%53.8%1.3%0.0%11.7%14.1%284-150.7K-5520.00130.07N/AN/A2204301,106
2010-12-23$6.62$6.3524.6%7.1%53.8%2.3%0.0%8.4%13.1%472-140.6K-6130.00139.64N/AN/A004521,106
2010-12-27$6.70$6.3524.5%7.0%53.7%2.3%0.0%11.5%18.0%489-169.4K-5350.00116.12N/AN/A004521,106
2010-12-28$6.73$6.3531.1%8.9%52.2%6.3%42.3%10.8%19.6%-203-139.3K-5975.00127.31N/AN/A2104521,106
2010-12-29$6.80$6.3526.9%7.7%52.1%3.7%26.7%11.3%8.4%583-191.8K-4750.00117.22N/AN/A604541,100
2010-12-30$6.81$6.3533.7%9.7%51.8%7.9%0.0%13.1%-2.6%511-180.8K-5270.00132.25N/AN/A004601,100
2010-12-31$6.57$6.3527.4%7.9%53.4%4.0%0.0%-17.4%98.5%874-135.4K-5720.00130.84N/AN/A004601,100