FIZZ Options History — October 2012

In October 2012, FIZZ traded between $7.37 and $7.75. ATM implied volatility averaged 62.0%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded above realized volatility by 46.7% (HV 20d: 15.3%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2012-10-23: Highest Volume — 30 contracts
  • 2012-10-11: Largest IV spike — 433.6% change
  • 2012-10-19: Highest IV Rank — 75.8%
  • 2012-10-19: Largest Expected Move — 43.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.59$7.37$7.75$7.61$7.43
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV62.0%13.8%152.6%25.2%25.3%
Expected Move23.5%4.0%43.7%7.2%7.2%
HV 20d15.3%11.8%20.8%20.8%16.3%
HV 60d21.9%19.5%23.4%23.4%19.5%
IV Rank26.3%0.0%75.8%6.3%6.3%
IV Percentile31.1%0.4%88.5%6.0%10.3%
Term Structure-2.0%-65.6%101.6%98.7%2.4%
VWIV21.6%17.8%25.4%17.8%25.4%
Skew 25d-1.3%-43.2%12.8%8.8%-3.5%
Skew 10d13.7%-9.6%39.1%37.3%-6.5%
Call IV 25d130.5%21.7%193.7%159.1%28.8%
Put IV 25d129.2%17.8%190.7%167.9%25.3%
Bid-Ask Spread %125.3741.61152.39152.1045.52
Gamma HHI0.970.731.000.981.00
Net GEX47-6.7K4.2K-6494.2K
Net DEX-79.0K-88.8K-61.2K-76.1K-82.0K
Net VEX-317-350-260-344-349
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.002.502.500.00
Total Volume3.71403000
Total OI286.762182310310260

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$7.61$7.5025.2%7.2%20.8%6.3%0.0%8.8%98.7%-649-76.1K-3440.00152.10N/AN/A00202108
2012-10-02$7.63$7.5020.1%5.8%19.9%3.5%0.0%9.1%99.7%-1.1K-79.4K-3410.00151.67N/AN/A00202108
2012-10-03$7.62$7.5018.1%5.2%18.9%2.3%0.0%9.4%100.4%-606-76.6K-3390.00152.39N/AN/A00202108
2012-10-04$7.75$7.5013.8%4.0%13.7%0.0%0.0%10.1%101.6%-252-84.6K-3350.00151.52N/AN/A00202108
2012-10-05$7.70$0.0017.1%35.4%13.9%1.8%0.0%10.1%-43.0%-223-81.2K-3350.00148.66N/AN/A00202108
2012-10-08$7.68$0.0026.4%36.8%13.9%6.9%0.0%-12.7%-42.2%-780-83.2K-3220.00148.00N/AN/A00202108
2012-10-09$7.67$0.0022.7%37.3%13.9%4.9%0.0%10.4%-44.2%-1.1K-84.3K-3190.00148.03N/AN/A00202108
2012-10-10$7.70$0.0024.9%37.7%13.8%6.1%0.0%10.5%-43.8%-964-85.7K-3140.00148.28N/AN/A00202108
2012-10-11$7.73$0.00132.9%38.1%13.9%65.0%0.0%10.7%-45.6%-797-88.8K-3100.00148.47N/AN/A00202108
2012-10-12$7.68$0.00135.2%38.8%13.2%66.3%0.0%10.7%-49.0%-951-84.3K-3100.00148.34N/AN/A00202108
2012-10-15$7.70$0.00141.1%40.4%13.0%69.5%0.0%-40.5%-51.9%-213-80.7K-3020.00148.14N/AN/A00202108
2012-10-16$7.66$0.00143.7%41.2%13.3%70.9%0.0%-43.2%-54.1%-1.7K-86.0K-2920.00148.59N/AN/A00202108
2012-10-17$7.70$0.00145.6%41.7%11.8%72.0%0.0%-42.0%-56.3%-950-85.6K-2900.00148.71N/AN/A00202108
2012-10-18$7.46$0.00150.6%43.2%15.4%74.7%0.0%9.0%-65.6%-1.3K-64.3K-2840.00148.37N/AN/A00202108
2012-10-19$7.52$0.00152.6%43.7%15.5%75.8%0.0%8.1%-62.0%-6.7K-72.4K-2780.00148.81N/AN/A00202108
2012-10-22$7.42$0.0017.2%4.9%15.8%1.9%17.8%-2.1%82.2%1.1K-78.9K-2602.50148.84N/AN/A8201820
2012-10-23$7.46$7.5024.0%6.9%15.7%5.6%0.0%12.8%16.7%3.1K-61.2K-2890.0065.73N/AN/A30019020
2012-10-24$7.37$7.5019.4%5.6%16.2%3.0%0.0%-5.5%5.3%3.9K-66.8K-3470.0048.18N/AN/A0022020
2012-10-25$7.48$7.5020.8%6.0%16.5%3.8%0.0%-1.5%7.3%3.3K-78.7K-3500.0042.86N/AN/A0022020
2012-10-26$7.47$7.5025.4%7.3%16.3%6.4%25.4%4.1%1.5%3.5K-79.3K-3490.0041.61N/AN/A20022020
2012-10-31$7.43$7.5025.3%7.2%16.3%6.3%0.0%-3.5%2.4%4.2K-82.0K-3490.0045.52N/AN/A0024020