FIZZ Options History — October 2013

In October 2013, FIZZ traded between $8.63 and $9.46. ATM implied volatility averaged 36.1%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 13.3% (HV 20d: 22.8%). Max pain ranged from $8.75 to $8.75. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.04.

Notable Days

  • 2013-10-09: Highest Volume — 102 contracts
  • 2013-10-30: Largest IV spike — 404.4% change
  • 2013-10-30: Highest IV Rank — 100.0%
  • 2013-10-31: Largest Expected Move — 48.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.09$8.63$9.46$8.96$9.15
Max Pain$8.75$8.75$8.75$8.75$8.75
ATM IV36.1%18.5%170.3%21.7%170.3%
Expected Move10.5%5.3%48.8%6.2%48.8%
HV 20d22.8%19.8%30.3%29.7%21.6%
HV 60d32.3%31.8%32.9%32.9%31.8%
IV Rank20.7%4.3%100.0%6.5%100.0%
IV Percentile64.4%13.1%100.0%47.2%100.0%
Term Structure-8.2%-133.3%19.8%6.3%-133.3%
VWIV24.7%24.7%24.7%24.7%24.7%
Skew 25d5.2%-17.8%67.9%2.9%8.6%
Skew 10d10.3%-6.7%123.4%2.3%31.9%
Call IV 25d32.5%15.8%199.3%21.1%118.9%
Put IV 25d37.7%15.2%181.5%24.1%127.5%
Bid-Ask Spread %69.1724.80144.9625.09142.79
Gamma HHI0.750.560.830.650.76
Net GEX17.7K13.6K26.8K16.5K18.0K
Net DEX-496.7K-783.2K-260.9K-450.3K-450.1K
Net VEX-1.7K-1.9K-1.5K-1.8K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.280.000.00
Total Volume10.087010200
Total OI1,491.3911,0001,9101,7221,018

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$8.96$8.7521.7%6.2%29.7%6.5%0.0%2.9%6.3%16.5K-450.3K-1.8K0.0025.09N/AN/A001,350372
2013-10-02$8.78$8.7523.3%6.7%30.3%7.7%0.0%1.8%1.0%15.5K-397.6K-1.8K0.0027.39N/AN/A001,350372
2013-10-03$8.77$8.7524.7%7.1%30.1%8.7%24.7%-0.3%1.0%14.8K-359.9K-1.8K0.0025.28N/AN/A201,350372
2013-10-04$8.95$0.0023.6%7.0%28.0%7.9%0.0%5.4%3.1%18.6K-444.4K-1.8K0.0052.29N/AN/A001,350372
2013-10-07$8.74$0.0026.6%7.6%19.8%10.0%0.0%4.2%0.8%14.5K-350.6K-1.8K0.0066.81N/AN/A001,350372
2013-10-08$8.65$0.0021.2%7.4%20.1%6.2%0.0%0.8%0.9%14.1K-305.9K-1.7K0.0069.68N/AN/A001,350372
2013-10-09$8.63$0.0020.2%7.1%20.0%5.5%0.0%1.5%0.6%14.5K-260.9K-1.7K0.2857.61N/AN/A80221,350372
2013-10-10$8.75$0.0026.4%7.6%20.6%9.9%0.0%3.8%1.6%15.0K-373.7K-1.9K0.0060.32N/AN/A1601,430394
2013-10-11$8.91$0.0025.8%7.4%21.0%9.4%0.0%67.9%0.1%17.6K-480.1K-1.8K0.0026.84N/AN/A001,446394
2013-10-14$9.07$0.0026.4%7.6%21.4%9.9%0.0%7.1%19.8%13.6K-552.8K-1.7K0.00104.22N/AN/A7001,446394
2013-10-15$9.21$0.0019.3%5.5%21.8%4.8%0.0%2.4%6.6%19.0K-699.8K-1.8K0.0032.17N/AN/A001,516394
2013-10-16$9.16$0.0023.9%6.9%21.4%8.1%0.0%9.8%4.5%19.6K-708.5K-1.7K0.00104.92N/AN/A021,516394
2013-10-17$9.21$0.0027.4%7.9%21.4%10.6%0.0%11.6%0.2%19.0K-708.9K-1.7K0.0024.80N/AN/A601,514396
2013-10-18$9.39$0.0018.5%5.3%22.3%4.3%0.0%1.6%7.9%26.8K-783.2K-1.6K0.00108.90N/AN/A1601,514396
2013-10-21$9.26$0.0023.2%6.7%22.8%7.6%0.0%-2.0%-3.1%17.6K-494.8K-1.6K0.0071.57N/AN/A010850150
2013-10-22$9.23$0.0020.3%5.8%22.7%5.5%0.0%-2.8%-0.3%18.7K-496.5K-1.6K0.0028.33N/AN/A00850160
2013-10-23$9.31$0.0022.4%6.4%22.5%7.0%0.0%0.7%-4.2%17.6K-494.5K-1.7K0.0047.58N/AN/A00850160
2013-10-24$9.39$0.0024.7%7.1%22.5%35.0%0.0%9.4%2.8%19.9K-522.3K-1.6K0.00109.06N/AN/A00850160
2013-10-25$9.39$0.0021.2%6.1%22.0%25.0%0.0%2.6%6.7%19.4K-527.0K-1.6K0.00106.26N/AN/A00850160
2013-10-28$9.40$0.0022.6%6.5%20.9%29.1%0.0%3.8%7.2%18.2K-533.7K-1.5K0.00107.88N/AN/A80850160
2013-10-29$9.46$0.0032.5%9.3%20.9%57.8%0.0%-2.9%-3.0%21.5K-551.9K-1.5K0.0046.22N/AN/A00858160
2013-10-30$9.26$0.00164.1%47.1%21.1%100.0%0.0%-17.8%-115.5%17.0K-476.3K-1.7K0.00144.96N/AN/A00858160
2013-10-31$9.15$0.00170.3%48.8%21.6%100.0%0.0%8.6%-133.3%18.0K-450.1K-1.6K0.00142.79N/AN/A00858160