FIZZ Options History — December 2013

In December 2013, FIZZ traded between $9.91 and $10.68. ATM implied volatility averaged 36.2%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 3.0% (HV 20d: 33.2%). Max pain ranged from $7.50 to $11.25. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.05.

Notable Days

  • 2013-12-03: Highest Volume — 698 contracts
  • 2013-12-10: Largest IV spike — 143.4% change
  • 2013-12-10: Highest IV Rank — 42.3%
  • 2013-12-05: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.18$9.91$10.68$10.08$10.08
Max Pain$8.69$7.50$11.25$7.50$8.75
ATM IV36.2%19.9%85.8%19.9%31.9%
Expected Move9.4%5.7%18.2%5.7%9.2%
HV 20d33.2%26.5%37.8%26.5%31.0%
HV 60d25.2%21.9%26.9%25.2%26.3%
IV Rank13.3%4.0%42.3%4.2%10.5%
IV Percentile79.8%25.4%95.2%25.4%84.5%
Term Structure0.4%-17.0%18.5%2.6%-5.6%
VWIV33.1%22.8%42.8%29.0%40.1%
Skew 25d0.8%-20.6%34.6%-1.5%-3.3%
Skew 10d-1.7%-39.7%32.6%4.7%-4.3%
Call IV 25d36.0%25.5%55.1%30.3%36.8%
Put IV 25d36.8%24.1%75.8%28.8%33.5%
Bid-Ask Spread %116.2558.74133.2289.81124.13
Gamma HHI0.410.300.570.570.31
Net GEX14.7K-11.6K36.8K9.6K19.1K
Net DEX-683.9K-1.0M-406.9K-738.3K-764.5K
Net VEX-4.1K-4.8K-2.3K-2.3K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.310.000.00
Total Volume153.71406984090
Total OI3,256.9521,7623,9501,7623,592

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$10.08$7.5019.9%5.7%26.5%4.2%0.0%-1.5%2.6%9.6K-738.3K-2.3K0.0089.81N/AN/A4001,194568
2013-12-03$10.15$7.5030.6%8.8%26.5%10.4%0.0%34.6%5.5%12.8K-756.4K-2.4K0.00132.32N/AN/A06981,204568
2013-12-04$9.91$7.5035.2%10.1%28.2%13.1%29.0%-20.6%-15.7%-1.3K-423.8K-3.9K0.00124.40N/AN/A01201,2041,266
2013-12-05$10.22$11.2563.5%18.2%29.8%29.4%42.2%23.8%-17.0%-11.6K-406.9K-3.7K0.00116.34N/AN/A38801,2041,386
2013-12-06$10.39$8.7559.1%8.7%29.6%26.8%39.5%-11.7%-8.0%7.3K-604.1K-4.4K0.31125.06N/AN/A3841201,5901,386
2013-12-09$10.68$8.7535.3%12.0%30.4%13.1%27.4%15.1%18.0%23.2K-821.3K-4.5K0.13122.68N/AN/A80101,9241,394
2013-12-10$10.45$8.7585.8%9.9%32.0%42.3%42.8%8.0%18.5%24.9K-693.3K-4.7K0.3199.79N/AN/A130402,0021,404
2013-12-11$10.30$8.7523.5%6.9%32.7%6.3%0.0%-7.2%-1.2%16.2K-718.5K-4.3K0.0094.45N/AN/A002,1021,404
2013-12-12$9.97$8.7525.7%7.4%35.1%7.6%36.9%-6.8%0.1%10.7K-639.1K-4.2K0.00120.57N/AN/A4802,1021,404
2013-12-13$9.96$8.7526.9%7.7%34.8%7.6%28.5%19.0%6.9%14.2K-438.2K-4.4K0.00125.13N/AN/A15402,1421,404
2013-12-16$10.24$8.7526.1%7.5%35.8%7.2%22.8%-2.8%5.5%17.7K-718.3K-4.3K0.00123.61N/AN/A24402,2661,404
2013-12-17$10.13$8.7534.9%10.0%36.2%12.3%0.0%-5.0%-3.8%30.6K-703.6K-4.7K0.00105.97N/AN/A002,5101,404
2013-12-18$10.22$8.7534.2%9.8%36.1%11.9%0.0%-2.7%7.7%36.8K-760.2K-4.4K0.00121.82N/AN/A002,5101,404
2013-12-19$9.96$8.7530.6%8.8%37.8%9.8%35.5%-2.4%-1.3%24.2K-687.1K-4.3K0.00126.54N/AN/A6002,5041,404
2013-12-20$10.21$8.7527.6%7.9%37.7%8.0%27.6%-5.7%-1.8%23.6K-750.9K-4.2K0.0058.74N/AN/A2002,5461,404
2013-12-23$10.29$8.7520.7%5.9%37.1%4.0%0.0%-8.8%7.5%3.5K-709.4K-4.2K0.00117.32N/AN/A5001,7641,350
2013-12-24$10.22$8.7540.1%11.5%35.7%15.3%0.0%-4.0%-7.7%8.8K-690.0K-4.4K0.00133.22N/AN/A11001,8141,350
2013-12-26$10.09$8.7526.3%7.5%35.3%7.3%26.4%0.7%3.6%10.5K-635.7K-4.2K0.00127.65N/AN/A34201,9241,350
2013-12-27$10.06$8.7531.7%9.1%34.5%10.4%33.7%-9.5%10.5%5.4K-657.0K-4.3K0.00121.78N/AN/A4002,1621,350
2013-12-30$10.20$8.7550.6%14.5%34.9%21.4%31.2%7.9%-15.1%22.8K-1.0M-4.8K0.00129.93N/AN/A6002,1821,350
2013-12-31$10.08$8.7531.9%9.2%31.0%10.5%40.1%-3.3%-5.6%19.1K-764.5K-4.6K0.00124.13N/AN/A9002,2421,350