FIZZ Options History — May 2013

In May 2013, FIZZ traded between $7.24 and $8.70. ATM implied volatility averaged 21.7%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 5.7% (HV 20d: 27.4%). Max pain ranged from $7.50 to $8.75. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2013-05-23: Highest Volume — 664 contracts
  • 2013-05-23: Largest IV spike — 40.4% change
  • 2013-05-15: Highest IV Rank — 10.7%
  • 2013-05-23: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.73$7.24$8.70$7.24$8.21
Max Pain$7.84$7.50$8.75$7.50$8.75
ATM IV21.7%18.0%32.2%23.7%20.0%
Expected Move6.0%5.2%7.5%6.8%5.7%
HV 20d27.4%14.0%50.1%14.7%49.6%
HV 60d21.7%15.8%31.4%16.3%31.2%
IV Rank5.0%3.0%10.7%6.1%4.1%
IV Percentile30.4%11.5%60.7%40.9%24.2%
Term Structure1.7%-2.7%8.0%-2.4%8.0%
VWIV20.4%20.0%20.8%20.0%20.8%
Skew 25d14.7%-1.6%81.2%3.7%4.0%
Skew 10d23.1%-2.8%115.2%1.3%2.5%
Call IV 25d20.9%17.8%27.0%27.0%18.5%
Put IV 25d35.6%17.5%103.5%30.7%22.5%
Bid-Ask Spread %76.5922.67110.3634.80107.98
Gamma HHI0.410.280.500.460.30
Net GEX12.3K3.4K21.2K9.6K15.5K
Net DEX-225.5K-394.7K-151.2K-151.2K-294.1K
Net VEX-923-1.9K-249-755-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.005.510.000.00
Total Volume90.27306640182
Total OI916.7275281,9605281,960

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$7.24$7.5023.7%6.8%14.7%6.1%0.0%3.7%-2.4%9.6K-151.2K-7550.0034.80N/AN/A0047850
2013-05-02$7.33$7.5020.4%5.9%15.0%4.3%0.0%8.9%-1.6%10.2K-154.7K-7550.00110.36N/AN/A14047850
2013-05-03$7.33$7.5019.0%5.4%15.0%3.5%0.0%7.0%-0.5%10.2K-161.7K-7510.0037.24N/AN/A20047850
2013-05-06$7.34$7.5021.3%6.1%15.1%4.7%0.0%79.2%1.7%10.9K-159.1K-7560.0077.91N/AN/A0049850
2013-05-07$7.36$7.5021.1%6.1%15.0%4.6%0.0%81.2%3.1%11.0K-161.0K-7480.0070.80N/AN/A0049850
2013-05-08$7.39$7.5021.1%6.1%15.1%4.7%0.0%79.2%3.0%10.9K-177.9K-7630.0044.37N/AN/A0049850
2013-05-09$7.32$7.5020.0%6.1%15.6%4.0%0.0%1.1%1.4%11.1K-157.6K-7410.0044.75N/AN/A0049850
2013-05-10$7.33$7.5019.9%6.6%15.6%4.0%0.0%1.3%-0.5%11.5K-160.4K-7400.0047.57N/AN/A0049850
2013-05-13$7.39$7.5026.2%6.4%14.1%7.4%0.0%0.4%1.0%11.6K-169.1K-7330.0022.67N/AN/A0049850
2013-05-14$7.42$7.5025.5%6.6%14.0%7.0%0.0%2.6%0.6%11.9K-176.5K-7310.0042.41N/AN/A0049850
2013-05-15$7.72$7.5032.2%5.4%17.7%10.7%0.0%39.7%3.7%14.0K-234.5K-6720.0052.11N/AN/A0049850
2013-05-16$7.83$7.5019.4%5.6%17.9%3.7%0.0%-0.9%-1.4%12.5K-257.7K-6540.0055.39N/AN/A14049650
2013-05-17$7.84$7.5021.5%6.2%17.8%4.8%0.0%2.5%-2.1%11.5K-265.8K-6640.0071.55N/AN/A14050250
2013-05-20$7.92$7.5018.0%5.2%17.9%3.0%0.0%0.5%0.2%11.9K-283.0K-5650.00109.31N/AN/A0049250
2013-05-21$8.70$7.5020.0%5.7%35.9%4.1%20.0%-1.6%0.8%3.4K-394.7K-2490.00106.61N/AN/A632049250
2013-05-22$7.98$7.5018.5%5.3%49.2%3.2%20.8%-1.3%-0.4%15.7K-261.5K-6820.40108.15N/AN/A31812883650
2013-05-23$7.96$8.7526.0%7.5%49.3%7.3%0.0%10.0%7.4%21.2K-262.9K-1.3K5.51106.18N/AN/A1025621,154178
2013-05-24$8.04$8.7521.5%6.2%49.3%4.9%0.0%1.6%7.1%11.7K-217.7K-1.9K0.00108.40N/AN/A001,240720
2013-05-28$8.20$8.7519.4%5.6%49.5%3.7%0.0%3.4%7.5%15.5K-292.8K-1.6K0.00107.63N/AN/A001,240720
2013-05-29$8.07$8.7522.1%6.3%50.1%5.2%0.0%-1.0%-2.7%12.3K-254.9K-1.4K0.00108.73N/AN/A001,240720
2013-05-30$8.22$8.7521.5%6.2%49.6%4.8%0.0%2.7%4.1%16.9K-312.9K-1.5K0.00110.13N/AN/A001,240720
2013-05-31$8.21$8.7520.0%5.7%49.6%4.1%0.0%4.0%8.0%15.5K-294.1K-1.6K0.00107.98N/AN/A18201,240720