FIZZ Options History — January 2014

In January 2014, FIZZ traded between $10.02 and $10.81. ATM implied volatility averaged 43.3%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 19.5% (HV 20d: 23.8%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-01-28: Highest Volume — 1,528 contracts
  • 2014-01-27: Largest IV spike — 114.9% change
  • 2014-01-30: Highest IV Rank — 35.7%
  • 2014-01-30: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.53$10.02$10.81$10.02$10.37
Max Pain$9.88$8.75$10.00$8.75$10.00
ATM IV43.3%21.9%75.2%27.6%73.4%
Expected Move13.7%7.5%21.6%7.9%21.0%
HV 20d23.8%17.8%30.9%30.9%25.8%
HV 60d26.1%25.5%27.5%25.9%27.5%
IV Rank17.1%4.7%35.7%8.0%34.6%
IV Percentile84.7%46.0%93.7%81.0%92.9%
Term Structure-5.5%-23.0%48.0%18.8%-22.4%
VWIV52.5%28.2%76.2%31.1%76.2%
Skew 25d7.9%-26.9%63.1%-6.9%58.6%
Skew 10d10.7%-37.7%54.0%-10.5%54.0%
Call IV 25d46.5%24.3%84.8%36.4%52.3%
Put IV 25d54.5%28.1%110.9%29.6%110.9%
Bid-Ask Spread %125.6348.01147.1261.39135.49
Gamma HHI0.510.340.690.530.52
Net GEX11.6K-12.7K31.5K29.9K13.8K
Net DEX-773.2K-1.3M-1.9K-784.8K-500.4K
Net VEX-4.3K-6.1K-3.6K-4.6K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume90.1901,52800
Total OI3,191.9052,0803,8143,6723,394

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$10.02$8.7527.6%7.9%30.9%8.0%0.0%-6.9%18.8%29.9K-784.8K-4.6K0.0061.39N/AN/A002,3221,350
2014-01-03$10.22$8.7526.3%7.5%30.5%7.3%0.0%-8.8%48.0%31.5K-901.1K-4.6K0.0048.01N/AN/A002,3221,350
2014-01-06$10.46$10.0021.9%7.8%29.7%4.7%0.0%3.4%3.0%23.1K-1.1M-4.3K0.00116.53N/AN/A002,3221,350
2014-01-07$10.62$10.0027.0%10.3%29.6%7.7%0.0%-15.1%-12.9%29.4K-1.2M-4.4K0.00143.47N/AN/A002,3221,350
2014-01-08$10.54$10.0027.9%12.3%28.1%8.2%0.0%-22.9%-19.1%25.4K-1.3M-4.1K0.00135.40N/AN/A0222,3221,350
2014-01-09$10.50$10.0026.6%17.3%27.0%7.5%0.0%16.9%-22.0%29.3K-1.2M-4.3K0.00136.96N/AN/A002,3221,372
2014-01-10$10.59$10.0028.7%7.9%26.6%8.7%0.0%4.5%-3.0%22.5K-1.3M-4.1K0.00116.49N/AN/A002,3221,372
2014-01-13$10.56$10.0041.0%17.9%23.5%15.8%0.0%5.3%-17.0%25.1K-1.2M-4.1K0.00124.21N/AN/A002,3221,372
2014-01-14$10.59$10.0038.4%18.3%23.4%14.3%0.0%6.5%-18.4%18.4K-1.2M-4.0K0.00128.62N/AN/A002,3221,372
2014-01-15$10.56$10.0041.5%8.3%21.5%16.1%0.0%3.7%1.9%4.7K-1.3M-3.7K0.00118.13N/AN/A002,3201,372
2014-01-16$10.50$10.0064.1%18.4%21.2%29.2%0.0%37.7%-20.3%4.4K-1.2M-3.8K0.00143.39N/AN/A12202,3201,372
2014-01-17$10.68$10.0032.8%9.4%21.7%11.0%0.0%17.6%16.2%-5.3K-1.3M-4.2K0.00132.84N/AN/A9602,4421,372
2014-01-21$10.76$10.0043.1%12.4%18.8%17.0%0.0%-25.7%22.8%-7.1K-145.2K-3.9K0.00140.13N/AN/A008221,258
2014-01-22$10.54$10.0041.2%11.8%19.0%15.9%0.0%0.3%-8.2%-6.7K-39.3K-4.0K0.00147.12N/AN/A008221,258
2014-01-23$10.55$10.0044.9%12.9%18.9%18.1%31.1%-26.9%-8.8%-5.7K-65.3K-4.0K0.00139.63N/AN/A0168221,258
2014-01-24$10.58$10.0030.5%8.7%18.6%9.7%28.2%4.1%-6.5%-4.9K-129.7K-3.7K0.00123.25N/AN/A0208221,274
2014-01-27$10.55$10.0065.6%18.8%17.8%30.1%0.0%47.4%-8.8%-7.8K-1.9K-4.0K0.00141.99N/AN/A008221,294
2014-01-28$10.81$10.0070.3%20.2%19.4%32.9%74.4%63.1%-21.7%-12.7K-115.6K-3.6K0.00140.90N/AN/A1,52808221,294
2014-01-29$10.44$10.0060.4%17.3%23.3%27.1%76.2%-14.8%-15.0%21.3K-638.7K-5.7K0.00126.12N/AN/A0702,0461,294
2014-01-30$10.65$10.0075.2%21.6%23.6%35.7%0.0%18.2%-23.0%14.3K-624.7K-6.1K0.00138.07N/AN/A2002,0461,348
2014-01-31$10.37$10.0073.4%21.0%25.8%34.6%0.0%58.6%-22.4%13.8K-500.4K-6.0K0.00135.49N/AN/A002,0461,348