FIZZ Options History — September 2013

In September 2013, FIZZ traded between $8.06 and $9.19. ATM implied volatility averaged 23.1%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 16.3% (HV 20d: 39.5%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.16.

Notable Days

  • 2013-09-06: Highest Volume — 204 contracts
  • 2013-09-27: Largest IV drop — 34.2% change
  • 2013-09-23: Highest IV Rank — 10.5%
  • 2013-09-23: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.67$8.06$9.19$8.19$8.93
Max Pain$8.94$8.75$10.00$10.00$8.75
ATM IV23.1%17.7%27.3%20.7%23.5%
Expected Move6.7%5.1%7.8%5.9%6.7%
HV 20d39.5%30.4%48.2%41.8%30.4%
HV 60d33.2%31.6%34.8%31.6%33.0%
IV Rank7.2%3.7%10.5%4.6%7.8%
IV Percentile58.2%9.9%88.5%35.7%65.9%
Term Structure3.9%-5.7%11.9%8.9%11.9%
VWIV26.6%22.4%34.9%22.4%27.1%
Skew 25d7.0%-5.5%80.3%2.7%5.9%
Skew 10d13.4%-2.4%131.7%4.1%6.9%
Call IV 25d22.6%17.3%28.5%21.0%24.8%
Put IV 25d29.6%16.8%106.4%23.7%30.7%
Bid-Ask Spread %64.5522.17115.3140.07115.31
Gamma HHI0.620.450.770.530.55
Net GEX15.3K8.3K25.4K11.7K19.1K
Net DEX-321.9K-567.7K-81.0K-123.9K-429.2K
Net VEX-1.9K-2.1K-1.4K-1.6K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.140.110.00
Total Volume26.902041220
Total OI1,639.61,4401,7261,4401,726

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$8.19$10.0020.7%5.9%41.8%4.6%22.4%2.7%8.9%11.7K-123.9K-1.6K0.0040.07N/AN/A0121,132308
2013-09-04$8.37$10.0019.3%5.5%42.3%3.8%0.0%6.8%10.1%11.3K-145.5K-1.6K0.0029.17N/AN/A0401,132320
2013-09-05$8.30$10.0025.8%7.4%41.8%7.4%0.0%10.5%-2.1%10.4K-148.3K-1.7K0.0022.17N/AN/A001,132340
2013-09-06$8.06$8.7524.7%7.2%41.9%6.8%27.7%8.8%0.4%9.9K-81.0K-1.4K0.1147.56N/AN/A184201,132340
2013-09-09$8.59$8.7522.9%7.3%48.2%5.8%0.0%0.4%3.9%14.6K-306.3K-2.0K0.0073.86N/AN/A201,308360
2013-09-10$8.54$8.7523.3%6.6%47.9%7.7%34.9%14.0%10.6%16.4K-280.3K-2.0K0.0067.26N/AN/A0201,308360
2013-09-11$8.49$8.7520.0%6.9%47.5%5.3%0.0%-2.4%2.5%14.5K-261.6K-1.9K0.0029.05N/AN/A001,308348
2013-09-12$8.49$8.7524.2%6.9%47.5%8.3%0.0%-0.2%2.5%14.3K-253.4K-1.9K0.0042.19N/AN/A001,308348
2013-09-13$8.61$8.7522.8%6.5%45.3%7.3%23.6%0.8%4.6%14.5K-292.7K-1.9K0.0044.80N/AN/A10001,308348
2013-09-16$8.55$8.7526.4%7.6%45.4%9.9%0.0%-0.3%0.3%15.1K-277.6K-2.0K0.00104.27N/AN/A001,314348
2013-09-17$8.60$8.7524.9%7.1%38.2%8.8%0.0%1.2%2.7%14.6K-302.7K-2.0K0.00105.71N/AN/A081,314348
2013-09-18$8.75$8.7520.6%5.9%38.7%5.8%0.0%-1.4%2.8%16.3K-325.6K-1.9K0.00108.97N/AN/A001,314346
2013-09-19$8.77$8.7522.3%6.4%34.9%6.9%0.0%-0.1%4.5%15.4K-333.1K-1.9K0.00108.75N/AN/A001,314344
2013-09-20$8.80$8.7523.7%6.8%34.5%8.0%24.5%80.3%3.1%15.8K-363.6K-1.9K1.1444.33N/AN/A44501,314344
2013-09-23$8.93$8.7527.3%7.8%34.7%10.5%27.0%4.8%-0.7%20.4K-437.8K-2.1K0.0049.11N/AN/A401,354370
2013-09-24$9.00$8.7524.4%7.0%34.7%8.5%25.2%2.2%2.2%18.7K-460.3K-2.0K0.1760.07N/AN/A1221,354370
2013-09-25$9.11$8.7521.1%6.0%31.1%6.1%0.0%7.7%8.0%20.2K-534.1K-1.9K0.0023.02N/AN/A201,354372
2013-09-26$9.19$8.7527.0%7.7%31.0%10.3%27.1%4.5%-5.7%25.4K-567.7K-2.0K0.0071.93N/AN/A1801,354372
2013-09-27$9.08$8.7517.7%5.1%31.6%3.7%0.0%-5.5%7.6%8.3K-512.6K-1.9K0.00103.42N/AN/A001,354372
2013-09-30$8.93$8.7523.5%6.7%30.4%7.8%0.0%5.9%11.9%19.1K-429.2K-1.9K0.00115.31N/AN/A2001,354372