FIZZ Options History — November 2013

In November 2013, FIZZ traded between $9.26 and $10.56. ATM implied volatility averaged 98.7%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded above realized volatility by 80.2% (HV 20d: 18.4%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.34.

Notable Days

  • 2013-11-26: Highest Volume — 508 contracts
  • 2013-11-08: Largest IV spike — 86.6% change
  • 2013-11-01: Highest IV Rank — 100.0%
  • 2013-11-01: Largest Expected Move — 49.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.62$9.26$10.56$9.35$10.56
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV98.7%24.2%185.8%173.6%24.2%
Expected Move23.7%6.9%49.8%49.8%6.9%
HV 20d18.4%15.4%22.1%21.7%19.4%
HV 60d27.1%23.7%31.8%31.8%24.0%
IV Rank50.7%6.7%100.0%100.0%6.7%
IV Percentile95.0%68.7%100.0%100.0%68.7%
Term Structure-37.6%-130.2%31.3%-130.2%3.0%
VWIV23.0%15.0%29.3%29.3%15.0%
Skew 25d20.4%-66.4%80.1%11.0%13.6%
Skew 10d13.5%-109.9%57.0%28.7%7.9%
Call IV 25d97.8%16.4%152.6%112.2%16.4%
Put IV 25d118.1%30.0%164.6%123.2%30.0%
Bid-Ask Spread %130.9660.61144.05144.0560.61
Gamma HHI0.630.250.850.780.25
Net GEX17.9K42123.1K20.4K421
Net DEX-631.3K-954.5K-500.1K-500.1K-882.9K
Net VEX-1.5K-1.9K-604-1.6K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.003.230.000.50
Total Volume38.30508260
Total OI1,158.41,0181,7021,0181,702

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$9.35$0.00173.6%49.8%21.7%100.0%0.0%11.0%-130.2%20.4K-500.1K-1.6K0.00144.05N/AN/A20858160
2013-11-04$9.35$7.50165.6%19.2%19.6%95.0%0.0%68.3%6.6%18.5K-514.2K-1.5K0.00132.80N/AN/A20860160
2013-11-05$9.38$7.50175.7%20.5%18.8%100.0%0.0%9.6%2.4%18.3K-521.4K-1.5K0.00136.88N/AN/A20862160
2013-11-06$9.35$7.50185.8%21.1%18.8%100.0%0.0%58.6%-11.7%19.7K-532.0K-1.5K0.00136.42N/AN/A20864160
2013-11-07$9.26$7.5075.8%21.7%19.0%36.5%0.0%8.7%-13.2%20.1K-507.7K-1.5K0.00133.08N/AN/A00866160
2013-11-08$9.40$7.50141.4%17.5%18.6%74.4%0.0%10.5%-10.9%20.4K-536.0K-1.4K0.00136.46N/AN/A1000866160
2013-11-11$9.38$7.5099.0%28.4%17.9%49.9%0.0%9.4%-84.1%19.6K-576.3K-1.7K0.00139.26N/AN/A00966160
2013-11-12$9.43$7.5049.0%28.4%17.2%21.1%0.0%42.1%-85.9%22.1K-576.3K-1.6K0.00133.26N/AN/A00966160
2013-11-13$9.41$7.5077.4%29.1%17.1%37.4%0.0%10.5%-86.1%21.5K-573.0K-1.7K0.00136.18N/AN/A00966160
2013-11-14$9.31$7.5075.0%21.5%17.6%36.0%0.0%80.1%-3.5%21.8K-540.1K-1.7K0.00133.85N/AN/A40966160
2013-11-15$9.40$7.50104.3%29.9%16.4%52.9%0.0%-66.4%-90.5%22.9K-567.2K-1.6K0.00136.44N/AN/A00970160
2013-11-18$9.43$7.50108.8%31.2%15.5%55.6%0.0%12.0%-97.8%22.9K-587.4K-1.6K0.00136.66N/AN/A00968160
2013-11-19$9.37$7.5078.9%22.6%15.6%38.3%0.0%12.5%-1.7%21.8K-556.2K-1.6K0.00137.00N/AN/A00968160
2013-11-20$9.40$7.50112.3%32.2%15.4%57.6%0.0%12.1%-101.4%23.1K-577.8K-1.5K0.00136.88N/AN/A00968160
2013-11-21$9.64$7.50112.9%32.4%17.5%57.9%0.0%12.0%-98.1%21.5K-670.6K-1.4K0.00134.31N/AN/A00968160
2013-11-22$9.86$7.5069.9%20.0%19.0%33.1%29.3%50.8%-2.7%19.7K-731.5K-1.2K0.00129.62N/AN/A160968160
2013-11-25$10.16$7.5069.7%20.0%21.4%33.0%0.0%42.9%31.3%6.3K-885.4K-6040.00131.15N/AN/A680984160
2013-11-26$10.36$7.5028.6%8.2%22.1%9.3%24.7%4.4%-2.0%13.2K-954.5K-9073.23126.24N/AN/A1203881,052160
2013-11-27$10.56$7.5045.1%12.9%20.3%18.8%0.0%5.1%24.8%2.9K-835.2K-1.9K0.00128.11N/AN/A201,152548
2013-11-29$10.56$7.5024.2%6.9%19.4%6.7%15.0%13.6%3.0%421-882.9K-1.9K0.5060.61N/AN/A40201,154548