FIZZ Options History — March 2012

In March 2012, FIZZ traded between $7.73 and $8.12. ATM implied volatility averaged 127.3%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 36.5%. IV traded above realized volatility by 105.2% (HV 20d: 22.1%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-03-06: Highest Volume — 16 contracts
  • 2012-03-21: Largest IV spike — 92.7% change
  • 2012-03-30: Highest IV Rank — 85.9%
  • 2012-03-30: Largest Expected Move — 48.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.94$7.73$8.12$8.05$8.02
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV127.3%66.3%168.7%99.8%168.7%
Expected Move36.5%19.0%48.4%28.6%48.4%
HV 20d22.1%16.4%23.6%16.4%18.9%
HV 60d22.1%21.2%23.8%22.9%21.3%
IV Rank61.3%25.0%85.9%44.9%85.9%
IV Percentile93.7%79.4%98.8%91.7%98.8%
Term Structure-52.3%-88.2%-34.7%-76.7%-50.5%
VWIV49.7%18.5%139.1%18.5%22.1%
Skew 25d16.9%-54.2%95.2%12.3%9.4%
Skew 10d3.0%-151.5%63.6%17.2%0.5%
Call IV 25d128.9%27.2%174.7%132.9%145.6%
Put IV 25d145.8%18.8%184.2%145.2%155.0%
Bid-Ask Spread %146.78141.87148.16147.52145.01
Gamma HHI0.410.390.470.410.41
Net GEX-366-562-29-29-451
Net DEX-54-13.3K6.1K-13.3K786
Net VEX-583-679-521-679-521
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.81801600
Total OI432420452452420

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$8.05$0.0099.8%28.6%16.4%44.9%0.0%12.3%-76.7%-29-13.3K-6790.00147.52N/AN/A00212240
2012-03-02$7.79$0.00127.3%36.5%19.4%61.3%0.0%11.3%-88.2%-150-1.3K-6650.00147.68N/AN/A00212240
2012-03-05$7.87$8.75116.8%33.5%20.0%55.0%0.0%95.2%-52.0%-5626.1K-5870.00141.87N/AN/A00212240
2012-03-06$7.73$8.75119.2%34.2%20.4%56.5%18.5%12.7%-54.9%-151-2.3K-6460.00147.88N/AN/A160212240
2012-03-07$7.92$8.75118.8%34.1%22.6%56.2%19.2%35.2%-53.1%-313157-6240.00146.08N/AN/A40196240
2012-03-08$8.03$8.7566.3%19.0%23.3%25.0%0.0%1.3%-52.6%-380-2.4K-5940.00147.07N/AN/A00192240
2012-03-09$7.97$8.75121.1%34.7%23.3%57.6%0.0%41.2%-54.4%-347-970-6180.00146.03N/AN/A00192240
2012-03-12$7.86$8.75126.6%36.3%23.6%60.9%0.0%22.7%-59.6%-3653.9K-6030.00146.74N/AN/A00192240
2012-03-13$7.97$8.75127.2%36.5%23.0%61.2%0.0%32.6%-59.0%-325-1.6K-6040.00147.67N/AN/A00192240
2012-03-14$7.83$8.75130.2%37.3%23.6%63.0%0.0%15.0%-62.7%-3635.4K-5960.00146.56N/AN/A00192240
2012-03-15$7.87$8.75130.1%37.3%23.6%63.0%139.1%20.5%-63.4%-3583.5K-5920.00147.94N/AN/A08192240
2012-03-16$7.94$8.75131.2%37.6%22.9%63.6%0.0%12.0%-63.6%-249-5.3K-5990.00147.55N/AN/A00192240
2012-03-19$8.00$8.7572.5%20.8%23.2%28.6%0.0%-5.7%-34.8%-413-601-5560.00146.95N/AN/A00192240
2012-03-20$7.91$8.7573.7%21.1%23.1%29.4%0.0%-54.2%-34.7%-4944.4K-5550.00147.30N/AN/A00192240
2012-03-21$7.88$8.75142.1%40.7%23.0%70.1%22.1%-22.7%-36.3%-3473.2K-5690.00148.16N/AN/A120192240
2012-03-22$7.92$8.75144.0%41.3%22.3%71.2%0.0%-13.5%-37.2%-4715.1K-5540.00147.75N/AN/A00180240
2012-03-23$7.97$8.75147.4%42.3%22.2%73.3%0.0%6.9%-38.0%-4742.6K-5470.00147.37N/AN/A00180240
2012-03-26$8.12$8.75154.0%44.2%23.3%77.2%0.0%55.6%-40.9%-438-5.0K-5290.00144.43N/AN/A00180240
2012-03-27$8.04$8.75158.0%45.3%23.2%79.6%0.0%25.8%-43.8%-461-1.4K-5300.00147.22N/AN/A00180240
2012-03-28$8.04$8.75161.3%46.2%22.4%81.5%0.0%24.5%-45.8%-459-434-5280.00147.92N/AN/A00180240
2012-03-29$8.06$8.75164.5%47.2%22.4%83.4%0.0%33.7%-47.5%-454-1.7K-5210.00146.38N/AN/A00180240
2012-03-30$8.02$8.75168.7%48.4%18.9%85.9%0.0%9.4%-50.5%-451786-5210.00145.01N/AN/A00180240