FIZZ Options History — June 2011

In June 2011, FIZZ traded between $6.75 and $7.36. ATM implied volatility averaged 39.0%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 14.7% (HV 20d: 24.3%). Max pain ranged from $6.25 to $6.35. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-06-28: Highest Volume — 40 contracts
  • 2011-06-08: Largest IV drop — 37.4% change
  • 2011-06-07: Highest IV Rank — 19.7%
  • 2011-06-01: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.98$6.75$7.36$6.83$7.33
Max Pain$6.34$6.25$6.35$6.25$6.35
ATM IV39.0%32.2%53.0%47.2%35.9%
Expected Move10.7%9.1%13.5%13.5%10.3%
HV 20d24.3%16.0%30.4%29.8%16.1%
HV 60d24.3%23.1%25.8%25.6%23.1%
IV Rank11.2%7.0%19.7%16.1%9.3%
IV Percentile48.3%19.8%90.5%81.3%36.5%
Term Structure6.0%-26.9%17.6%-26.9%14.5%
VWIV43.5%32.8%61.3%39.9%61.3%
Skew 25d8.5%-0.3%15.7%1.3%2.5%
Skew 10d-19.9%-83.3%23.2%8.4%-27.0%
Call IV 25d31.0%21.5%44.7%40.5%30.9%
Put IV 25d39.4%33.5%44.6%41.8%33.5%
Bid-Ask Spread %144.46135.26155.41136.52155.41
Gamma HHI0.360.320.490.340.37
Net GEX2.1K-3354.1K384.1K
Net DEX-94.8K-146.6K-64.4K-72.3K-146.6K
Net VEX-264-366-186-366-234
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume5.54504000
Total OI426.273316494490378

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$6.83$6.2547.2%13.5%29.8%16.1%0.0%1.3%-26.9%38-72.3K-3660.00136.52N/AN/A00262228
2011-06-02$6.88$6.2544.9%12.9%29.8%14.7%0.0%2.8%6.8%312-76.6K-3550.00138.89N/AN/A00262228
2011-06-03$6.78$6.3551.7%12.0%30.4%18.9%39.9%-0.3%0.2%-124-65.1K-3590.00135.26N/AN/A80262228
2011-06-06$6.78$6.3551.9%11.3%30.4%19.0%0.0%15.7%4.6%-193-64.4K-3370.00141.65N/AN/A00262228
2011-06-07$6.81$6.3553.0%9.1%29.2%19.7%0.0%14.3%11.8%268-78.0K-3030.00136.33N/AN/A00262228
2011-06-08$6.89$6.3533.2%10.7%27.4%7.6%38.7%8.7%-2.1%924-76.6K-3020.00147.12N/AN/A04262228
2011-06-09$6.87$6.3541.1%11.8%25.2%12.4%41.8%9.5%-1.5%434-76.9K-3080.00148.89N/AN/A120262232
2011-06-10$6.81$6.3537.9%10.9%24.6%10.5%0.0%13.4%6.2%-46-67.3K-3040.00144.87N/AN/A00254232
2011-06-13$6.75$6.3538.5%11.0%23.5%10.8%0.0%13.0%4.4%-335-67.4K-2810.00138.18N/AN/A00254232
2011-06-14$6.85$6.3532.2%9.2%24.0%7.0%0.0%10.6%11.9%3.1K-84.3K-2360.00141.16N/AN/A00254232
2011-06-15$6.82$6.3537.4%10.7%23.8%10.1%0.0%14.5%8.8%2.9K-80.6K-2540.00146.85N/AN/A00254232
2011-06-16$6.86$6.3537.8%10.8%23.9%10.4%0.0%6.8%3.8%3.3K-83.3K-2440.00149.46N/AN/A00254232
2011-06-17$6.84$6.3539.1%11.2%23.7%12.8%0.0%8.8%-7.1%3.3K-84.6K-2420.00152.09N/AN/A00254232
2011-06-20$6.93$6.3539.8%11.4%24.1%12.1%0.0%11.1%-2.6%3.4K-92.7K-2180.00137.40N/AN/A20025462
2011-06-21$7.07$6.3535.6%10.2%25.1%9.1%0.0%8.8%11.0%3.5K-110.0K-2170.00147.73N/AN/A2026462
2011-06-22$7.05$6.3534.3%9.8%22.2%8.1%0.0%10.2%10.8%3.5K-109.8K-2250.00141.32N/AN/A0026662
2011-06-23$7.17$6.3533.4%9.6%21.7%7.5%32.8%10.2%12.3%3.5K-119.1K-2070.00144.91N/AN/A02026662
2011-06-24$7.18$6.3533.4%9.6%21.5%7.5%0.0%12.3%13.9%3.6K-120.5K-2020.00144.29N/AN/A0026662
2011-06-27$7.33$6.3533.0%9.5%22.2%7.2%46.6%4.2%17.6%3.7K-133.0K-1910.00141.22N/AN/A6026662
2011-06-28$7.36$6.3533.1%9.5%20.9%7.3%0.0%4.6%17.5%3.6K-135.9K-1860.00154.95N/AN/A40026662
2011-06-29$7.34$6.3534.0%9.7%16.0%7.9%61.3%3.0%16.2%4.1K-141.3K-2360.00153.70N/AN/A10030662
2011-06-30$7.33$6.3535.9%10.3%16.1%9.3%0.0%2.5%14.5%4.1K-146.6K-2340.00155.41N/AN/A0031662