FIZZ Options History — March 2011

In March 2011, FIZZ traded between $6.28 and $6.95. ATM implied volatility averaged 50.7%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 29.8% (HV 20d: 20.9%). Max pain ranged from $6.25 to $6.35. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.19.

Notable Days

  • 2011-03-23: Highest Volume — 50 contracts
  • 2011-03-10: Largest IV spike — 232.0% change
  • 2011-03-11: Highest IV Rank — 86.7%
  • 2011-03-11: Largest Expected Move — 46.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.56$6.28$6.95$6.30$6.87
Max Pain$6.34$6.25$6.35$6.25$6.35
ATM IV50.7%26.5%163.6%38.8%29.2%
Expected Move14.7%7.6%46.9%11.1%8.4%
HV 20d20.9%16.7%25.9%23.4%22.2%
HV 60d28.0%23.5%36.8%36.8%23.8%
IV Rank18.2%3.5%86.7%11.0%5.1%
IV Percentile60.0%6.3%98.4%56.0%13.9%
Term Structure-10.9%-125.7%17.3%4.8%17.3%
VWIV34.5%28.8%39.2%36.5%32.3%
Skew 25d7.6%-2.1%14.2%3.3%8.7%
Skew 10d18.9%8.9%63.4%14.0%15.0%
Call IV 25d43.2%33.8%110.4%40.6%34.7%
Put IV 25d50.7%42.2%119.4%43.9%43.4%
Bid-Ask Spread %147.67135.23175.45151.51145.14
Gamma HHI0.710.400.880.800.67
Net GEX2.8K9254.2K3.1K2.7K
Net DEX-93.8K-142.1K-69.2K-76.8K-96.6K
Net VEX-423-488-341-467-341
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.001.501.500.00
Total Volume6.609050200
Total OI430.957380448434390

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$6.30$6.2538.8%11.1%23.4%11.0%36.5%3.3%4.8%3.1K-76.8K-4671.50151.51N/AN/A81234490
2011-03-02$6.28$6.2538.6%11.1%22.4%10.8%0.0%4.0%6.7%2.7K-69.2K-4660.00157.52N/AN/A00342102
2011-03-03$6.30$6.2545.3%13.0%22.5%14.9%0.0%8.9%-0.5%2.7K-76.2K-4760.00147.94N/AN/A100342102
2011-03-04$6.32$6.3537.7%12.8%18.2%10.3%0.0%4.0%-6.3%2.8K-72.2K-4580.00139.39N/AN/A00342102
2011-03-07$6.32$6.3532.2%13.3%17.9%6.9%0.0%7.0%-5.1%2.6K-77.1K-4600.00140.81N/AN/A00342102
2011-03-08$6.38$6.3549.2%13.1%17.9%17.3%0.0%7.4%-3.9%2.9K-80.6K-4590.00137.96N/AN/A00342102
2011-03-09$6.38$6.3549.1%12.3%17.7%17.2%0.0%8.1%-2.1%3.1K-79.3K-4530.00145.45N/AN/A04342102
2011-03-10$6.28$6.35162.9%46.7%16.7%86.3%0.0%-2.1%-121.9%1.0K-81.6K-4780.00175.45N/AN/A00342106
2011-03-11$6.38$6.35163.6%46.9%17.8%86.7%0.0%9.0%-125.7%925-92.6K-4880.00172.72N/AN/A00342106
2011-03-14$6.33$6.3546.0%13.2%18.0%15.3%0.0%6.1%-4.4%2.9K-76.0K-4350.00153.95N/AN/A00342106
2011-03-15$6.41$6.3547.6%13.7%18.4%16.3%0.0%14.2%-2.0%2.8K-85.9K-4410.00139.25N/AN/A00342106
2011-03-16$6.38$6.3551.6%14.8%18.4%18.7%0.0%12.5%-9.6%2.8K-81.2K-4400.00173.65N/AN/A00342106
2011-03-17$6.33$6.3547.4%13.6%18.8%16.2%0.0%9.9%-3.0%2.8K-75.1K-4230.00155.16N/AN/A00342106
2011-03-18$6.62$6.3539.7%11.4%24.5%11.5%38.3%9.4%4.0%3.8K-104.5K-4270.00149.03N/AN/A20342106
2011-03-21$6.79$6.3539.8%11.4%25.9%11.6%39.2%6.1%-4.9%4.2K-120.3K-4100.00141.75N/AN/A16034288
2011-03-22$6.87$6.3526.5%7.6%24.8%3.5%0.0%8.5%16.5%4.0K-142.1K-3900.00140.09N/AN/A0035888
2011-03-23$6.87$6.3530.5%8.7%24.7%5.9%28.8%7.6%8.5%4.0K-140.7K-3950.00141.74N/AN/A50035888
2011-03-24$6.90$6.3531.6%9.1%22.4%6.6%31.6%8.8%5.8%2.9K-113.3K-3700.00135.23N/AN/A20030888
2011-03-25$6.92$6.3541.4%11.9%22.2%12.5%0.0%9.0%-12.3%2.4K-106.6K-3690.00138.04N/AN/A20029288
2011-03-28$6.89$6.3542.9%12.3%21.8%13.5%0.0%7.5%-12.7%2.7K-104.1K-3680.00135.54N/AN/A0031288
2011-03-29$6.95$6.3533.4%9.6%21.4%7.7%32.3%8.6%5.2%2.5K-109.0K-3590.00139.39N/AN/A10031288
2011-03-30$6.86$6.3541.3%11.8%22.2%12.5%0.0%7.8%-5.8%2.6K-95.9K-3560.00139.75N/AN/A0030288
2011-03-31$6.87$6.3529.2%8.4%22.2%5.1%0.0%8.7%17.3%2.7K-96.6K-3410.00145.14N/AN/A0030288