FIZZ Options History — July 2013

In July 2013, FIZZ traded between $8.67 and $9.22. ATM implied volatility averaged 21.1%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 5.9% (HV 20d: 27.0%). Max pain ranged from $7.47 to $7.47. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2013-07-09: Highest Volume — 396 contracts
  • 2013-07-10: Largest IV spike — 43.3% change
  • 2013-07-10: Highest IV Rank — 11.0%
  • 2013-07-01: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.94$8.67$9.22$8.86$8.89
Max Pain$7.47$7.47$7.47$7.47$7.47
ATM IV21.1%16.9%32.8%23.8%16.9%
Expected Move5.7%4.5%6.8%6.8%4.8%
HV 20d27.0%25.5%29.0%27.6%26.9%
HV 60d36.4%34.8%37.4%34.8%37.4%
IV Rank4.6%2.3%11.0%6.1%2.3%
IV Percentile31.2%5.2%74.6%51.2%5.2%
Term Structure3.5%-3.5%9.2%-3.5%8.2%
VWIV42.1%29.5%54.6%29.5%54.6%
Skew 25d6.6%-4.0%66.0%-3.0%-1.5%
Skew 10d18.0%-6.0%125.5%-4.5%5.1%
Call IV 25d21.3%15.5%27.1%27.1%23.7%
Put IV 25d28.0%15.0%84.8%24.1%22.2%
Bid-Ask Spread %86.6230.17116.63109.87111.49
Gamma HHI0.580.370.850.650.68
Net GEX14.8K9.0K23.4K18.6K9.0K
Net DEX-476.8K-769.2K-187.8K-531.2K-196.6K
Net VEX-1.2K-1.5K-962-1.3K-962
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.006.501.250.00
Total Volume28.0910396900
Total OI1,738.4558722,3701,996874

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$8.86$7.4723.8%6.8%27.6%6.1%29.5%-3.0%-3.5%18.6K-531.2K-1.3K1.25109.87N/AN/A40501,062934
2013-07-02$8.70$7.4721.7%6.2%27.5%5.0%0.0%-2.9%-0.3%19.6K-447.7K-1.3K0.00106.99N/AN/A001,102984
2013-07-03$8.67$7.4720.0%5.7%26.1%4.0%54.6%-0.8%-2.9%20.8K-423.3K-1.3K0.00112.12N/AN/A3001,102984
2013-07-05$8.90$0.0023.0%6.5%26.0%5.7%0.0%66.0%0.6%20.6K-565.4K-1.1K0.0030.17N/AN/A1001,098984
2013-07-08$9.03$0.0022.4%4.5%26.2%5.4%0.0%-2.1%5.2%16.9K-665.3K-1.1K0.00110.47N/AN/A001,088984
2013-07-09$9.22$0.0022.9%5.3%26.5%5.6%0.0%2.6%7.6%11.3K-769.2K-9890.0350.36N/AN/A386101,088984
2013-07-10$9.06$0.0032.8%5.5%26.9%11.0%0.0%33.5%7.2%23.4K-677.2K-1.5K6.5041.01N/AN/A4261,366984
2013-07-11$8.96$0.0020.4%5.9%27.2%4.3%0.0%58.9%3.3%20.0K-636.5K-1.3K0.0049.79N/AN/A001,3621,008
2013-07-12$8.71$0.0020.5%5.9%29.0%4.3%0.0%2.3%1.5%16.3K-441.4K-1.4K0.0053.14N/AN/A001,3621,008
2013-07-15$9.03$0.0018.6%5.3%28.2%3.3%0.0%0.4%3.7%18.0K-694.0K-1.2K0.00111.17N/AN/A001,3621,008
2013-07-16$9.08$0.0019.2%5.5%28.1%3.6%0.0%3.7%6.1%17.3K-717.3K-1.2K0.00112.38N/AN/A1001,3621,008
2013-07-17$9.04$0.0019.8%5.7%28.2%3.9%0.0%2.2%3.8%16.8K-704.0K-1.2K0.00108.15N/AN/A001,3521,008
2013-07-18$9.04$0.0020.3%5.8%27.6%4.2%0.0%1.8%5.6%16.4K-743.9K-1.3K0.00109.06N/AN/A5001,3521,008
2013-07-19$9.10$0.0019.3%5.5%26.1%3.7%0.0%-1.6%6.5%13.7K-730.0K-1.2K0.00116.63N/AN/A001,3141,008
2013-07-22$8.93$0.0022.5%6.4%26.0%5.4%0.0%0.1%1.3%10.4K-245.5K-1.2K0.0053.33N/AN/A00710162
2013-07-23$8.93$0.0017.9%5.1%25.6%2.9%0.0%-2.8%7.2%9.9K-222.1K-1.1K0.00112.38N/AN/A00710162
2013-07-24$8.96$0.0020.0%5.7%25.5%4.0%0.0%-0.6%0.4%10.0K-218.6K-1.1K0.00108.64N/AN/A00710162
2013-07-25$9.13$0.0019.1%5.5%26.1%3.5%0.0%-2.3%9.2%9.7K-249.9K-1.0K0.00112.81N/AN/A00710162
2013-07-26$8.92$0.0019.5%5.6%27.7%3.8%0.0%-3.4%0.1%9.5K-209.5K-1.0K0.0046.51N/AN/A00710162
2013-07-29$8.79$0.0021.0%6.0%28.1%4.6%0.0%-4.0%4.0%9.5K-212.4K-1.1K0.00107.77N/AN/A02710162
2013-07-30$8.81$0.0022.2%6.4%27.6%5.2%0.0%-0.5%1.1%9.0K-187.8K-1.1K0.0031.49N/AN/A00710164
2013-07-31$8.89$0.0016.9%4.8%26.9%2.3%0.0%-1.5%8.2%9.0K-196.6K-9620.00111.49N/AN/A00710164