FIZZ Options History — August 2013

In August 2013, FIZZ traded between $8.01 and $9.00. ATM implied volatility averaged 22.5%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 8.2% (HV 20d: 30.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2013-08-19: Highest Volume — 246 contracts
  • 2013-08-15: Largest IV drop — 45.8% change
  • 2013-08-14: Highest IV Rank — 13.5%
  • 2013-08-07: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.54$8.01$9.00$8.96$8.01
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV22.5%18.7%36.7%19.5%21.6%
Expected Move6.5%5.4%8.2%5.6%6.2%
HV 20d30.8%21.1%40.5%26.9%40.5%
HV 60d34.5%28.5%38.2%37.4%31.2%
IV Rank5.6%3.4%13.5%3.8%5.0%
IV Percentile44.3%17.1%84.5%22.6%44.8%
Term Structure2.3%-2.9%9.2%5.0%-1.8%
VWIV22.7%19.9%24.5%24.5%19.9%
Skew 25d7.0%-6.9%74.9%-2.9%0.5%
Skew 10d12.9%-6.1%129.8%6.1%1.2%
Call IV 25d22.6%19.4%26.1%24.8%20.1%
Put IV 25d29.6%18.2%97.3%21.9%20.6%
Bid-Ask Spread %79.7727.51109.83109.8327.51
Gamma HHI0.550.390.790.750.51
Net GEX9.3K5.2K13.5K10.4K11.1K
Net DEX-170.7K-268.1K-54.2K-235.5K-108.1K
Net VEX-1.1K-1.5K-720-1.0K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.002.502.500.01
Total Volume31.2730246078
Total OI1,015.3648741,3668741,366

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$8.96$0.0019.5%5.6%26.9%3.8%0.0%-2.9%5.0%10.4K-235.5K-1.0K0.00109.83N/AN/A00710164
2013-08-02$9.00$0.0018.7%5.4%25.4%3.4%0.0%-6.9%6.2%9.2K-219.3K-9020.00109.28N/AN/A00710164
2013-08-05$8.95$0.0019.5%7.0%24.9%3.8%0.0%3.2%-1.8%10.3K-232.7K-1.0K0.00108.27N/AN/A00710164
2013-08-06$8.77$0.0020.1%7.1%24.5%4.1%0.0%3.4%0.2%9.0K-192.3K-1.0K0.00107.90N/AN/A00710164
2013-08-07$8.59$0.0022.2%8.2%24.8%5.4%0.0%-0.5%-0.7%7.7K-143.8K-9580.00102.45N/AN/A020710164
2013-08-08$8.78$0.0022.3%6.7%26.1%5.4%0.0%74.6%-0.4%8.1K-164.5K-8580.00103.97N/AN/A00710184
2013-08-09$8.87$0.0021.1%7.5%24.3%4.8%0.0%74.9%-2.9%6.6K-174.1K-8060.00106.37N/AN/A00710184
2013-08-12$8.73$0.0022.9%6.8%21.1%5.8%24.5%1.8%1.5%8.2K-171.5K-9390.0029.91N/AN/A02710184
2013-08-13$8.57$10.0031.3%7.4%21.7%10.5%0.0%0.6%0.4%8.0K-163.0K-9380.00108.22N/AN/A00710186
2013-08-14$8.51$10.0036.7%6.3%21.8%13.5%0.0%-1.3%0.9%6.8K-124.3K-8410.00108.44N/AN/A00710186
2013-08-15$8.18$10.0019.9%5.7%25.3%4.1%0.0%-3.3%4.8%5.5K-76.5K-7572.50101.42N/AN/A2050710186
2013-08-16$8.14$10.0021.2%6.1%24.9%4.8%0.0%1.8%2.4%5.2K-54.2K-7200.0063.06N/AN/A00710186
2013-08-19$8.71$10.0024.6%7.0%35.7%6.7%0.0%4.8%2.1%8.7K-189.1K-9200.0034.61N/AN/A2460710186
2013-08-20$8.75$10.0024.2%6.9%35.7%6.5%0.0%2.9%-0.3%13.5K-268.1K-1.3K0.00104.18N/AN/A20956186
2013-08-21$8.37$10.0022.3%6.4%38.9%5.5%0.0%-4.4%1.5%11.6K-198.2K-1.3K0.0033.32N/AN/A00958186
2013-08-22$8.50$10.0021.0%6.0%38.8%4.7%0.0%5.4%9.2%11.7K-204.8K-1.3K0.00108.32N/AN/A00958186
2013-08-23$8.47$10.0020.0%5.7%38.1%4.2%0.0%-1.3%2.3%12.1K-209.2K-1.2K0.0036.04N/AN/A00958186
2013-08-26$8.47$10.0024.5%7.0%37.8%6.7%23.7%0.0%0.1%9.4K-221.3K-1.2K0.40108.14N/AN/A104958186
2013-08-27$8.15$10.0020.5%5.9%40.0%4.4%0.0%-0.3%8.3%9.9K-135.4K-1.1K0.0062.25N/AN/A090968190
2013-08-28$8.14$10.0020.8%6.0%39.8%4.6%0.0%-1.8%6.1%9.5K-111.5K-1.2K0.0140.72N/AN/A1642968230
2013-08-29$8.22$10.0020.7%5.9%39.9%4.5%0.0%2.9%8.2%12.3K-157.6K-1.5K0.0040.66N/AN/A001,132234
2013-08-30$8.01$10.0021.6%6.2%40.5%5.0%19.9%0.5%-1.8%11.1K-108.1K-1.4K0.0027.51N/AN/A0781,132234