FIZZ Options History — September 2011

In September 2011, FIZZ traded between $7.53 and $8.11. ATM implied volatility averaged 50.1%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 5.4% (HV 20d: 44.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.83.

Notable Days

  • 2011-09-01: Highest Volume — 20 contracts
  • 2011-09-14: Largest IV spike — 57.5% change
  • 2011-09-14: Highest IV Rank — 43.7%
  • 2011-09-23: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.89$7.53$8.11$8.01$7.58
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV50.1%40.5%84.3%46.5%50.9%
Expected Move12.6%11.1%15.1%13.3%14.6%
HV 20d44.7%32.2%62.7%62.7%34.2%
HV 60d41.8%40.1%43.9%40.1%43.6%
IV Rank19.4%12.5%43.7%16.8%20.0%
IV Percentile76.4%52.8%98.4%77.0%84.5%
Term Structure-0.2%-12.0%14.4%-8.1%-2.3%
VWIV52.0%45.9%57.4%57.4%52.6%
Skew 25d9.9%-19.5%22.4%13.3%22.4%
Skew 10d-24.8%-97.7%25.1%-10.6%25.1%
Call IV 25d33.8%26.9%68.5%29.4%31.3%
Put IV 25d43.7%33.5%53.7%42.8%53.7%
Bid-Ask Spread %136.16125.89145.00136.10135.81
Gamma HHI0.620.490.690.660.51
Net GEX2.0K9922.7K2.2K1.2K
Net DEX-72.9K-107.4K-19.9K-98.0K-27.1K
Net VEX-831-917-729-895-751
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.007.004.000.00
Total Volume3.714020200
Total OI712.857684748684704

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$8.01$7.5046.5%13.3%62.7%16.8%57.4%13.3%-8.1%2.2K-98.0K-8954.00136.10N/AN/A416368316
2011-09-02$7.83$7.5047.2%13.5%62.6%17.3%0.0%15.3%-8.5%1.7K-72.8K-9170.00140.97N/AN/A100372332
2011-09-06$8.00$7.5051.5%12.0%60.0%20.4%0.0%9.2%5.1%2.4K-83.7K-8790.00135.33N/AN/A00382332
2011-09-07$8.11$7.5048.8%11.6%59.3%18.4%0.0%17.8%14.4%2.2K-97.0K-8930.00126.92N/AN/A40382332
2011-09-08$7.98$7.5061.1%12.8%48.5%27.2%0.0%20.6%3.0%2.3K-96.1K-9010.00135.84N/AN/A00382332
2011-09-09$7.73$7.5062.6%11.7%48.7%28.3%0.0%11.7%4.3%1.9K-60.0K-8740.00132.90N/AN/A60382332
2011-09-12$7.93$7.5057.5%11.1%47.4%24.7%45.9%-4.8%13.2%2.1K-79.8K-8427.00125.89N/AN/A214384332
2011-09-13$8.04$7.5053.5%13.6%47.5%21.8%52.6%20.3%0.7%2.0K-95.3K-8790.00132.20N/AN/A020382346
2011-09-14$8.03$7.5084.3%11.2%47.3%43.7%0.0%11.1%2.3%2.3K-90.3K-8620.00136.07N/AN/A00382366
2011-09-15$8.10$7.5041.4%11.9%45.0%13.2%0.0%16.5%2.6%2.7K-102.8K-8540.00137.71N/AN/A00382366
2011-09-16$8.11$7.5045.8%13.1%43.7%16.3%0.0%-19.5%13.6%2.5K-107.4K-8480.00133.11N/AN/A00382366
2011-09-19$8.08$7.5043.2%12.4%43.7%14.5%0.0%-13.6%-5.0%2.7K-95.7K-8230.00138.34N/AN/A20376326
2011-09-20$7.97$7.5042.2%12.1%44.0%13.8%0.0%14.8%-5.0%2.5K-81.6K-8230.00133.69N/AN/A00378326
2011-09-21$7.85$7.5040.5%11.6%33.8%12.5%0.0%12.1%-0.1%2.2K-65.0K-8140.00137.41N/AN/A00378326
2011-09-22$7.53$7.5043.4%12.4%36.0%14.6%0.0%7.2%0.8%992-19.9K-7840.00138.89N/AN/A00378326
2011-09-23$7.76$7.5052.8%15.1%35.3%21.3%0.0%14.7%-12.0%1.5K-47.0K-8040.00133.51N/AN/A00378326
2011-09-26$7.91$7.5046.4%13.3%35.3%16.7%0.0%14.5%-7.7%2.2K-63.4K-7580.00138.15N/AN/A00378326
2011-09-27$7.98$7.5041.6%11.9%32.2%13.3%0.0%3.7%-10.4%2.6K-80.1K-7620.00142.76N/AN/A00378326
2011-09-28$7.62$7.5048.1%13.8%35.5%17.9%0.0%10.8%-5.5%1.7K-43.5K-7570.00142.77N/AN/A00378326
2011-09-29$7.62$7.5042.4%12.2%35.4%13.9%0.0%8.8%1.4%1.0K-24.8K-7290.00145.00N/AN/A00378326
2011-09-30$7.58$7.5050.9%14.6%34.2%20.0%0.0%22.4%-2.3%1.2K-27.1K-7510.00135.81N/AN/A00378326