FIZZ Options History — March 2014

In March 2014, FIZZ traded between $9.56 and $10.96. ATM implied volatility averaged 46.9%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 5.4% (HV 20d: 41.5%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-03-14: Highest Volume — 142 contracts
  • 2014-03-11: Largest IV spike — 85.3% change
  • 2014-03-06: Highest IV Rank — 43.1%
  • 2014-03-06: Largest Expected Move — 25.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.43$9.56$10.96$10.29$9.76
Max Pain$9.76$8.75$10.00$8.75$10.00
ATM IV46.9%30.9%89.0%82.0%40.5%
Expected Move12.6%8.5%25.5%23.5%11.6%
HV 20d41.5%33.5%49.0%45.1%36.2%
HV 60d35.4%34.4%36.3%34.4%36.1%
IV Rank18.2%8.7%43.1%39.0%14.4%
IV Percentile79.3%66.3%93.7%92.9%79.0%
Term Structure5.1%-56.3%68.9%-23.9%-2.2%
VWIV37.4%36.5%38.4%38.4%36.5%
Skew 25d0.3%-34.8%38.9%-34.8%-0.9%
Skew 10d0.2%-51.2%56.1%-17.2%1.6%
Call IV 25d45.0%28.2%104.1%84.6%36.2%
Put IV 25d45.2%29.1%85.9%49.8%35.3%
Bid-Ask Spread %111.9194.92146.49146.4997.98
Gamma HHI0.440.370.490.370.41
Net GEX14.5K-11.4K32.9K14.6K-8.5K
Net DEX-380.1K-892.3K429.3K-380.5K274.1K
Net VEX-3.6K-5.0K-2.5K-5.0K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume16.1901425020
Total OI3,563.813,3003,7203,6603,392

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$10.29$8.7582.0%23.5%45.1%39.0%0.0%-34.8%-23.9%14.6K-380.5K-5.0K0.00146.49N/AN/A5002,2701,390
2014-03-04$10.96$8.7563.9%18.3%47.7%28.3%0.0%0.3%-23.2%21.2K-892.3K-4.0K0.00142.61N/AN/A2402,2201,390
2014-03-05$10.66$8.7556.4%16.2%49.0%23.9%0.0%38.9%-8.6%23.0K-620.5K-4.7K0.00134.72N/AN/A1002,2201,390
2014-03-06$10.79$8.7589.0%25.5%48.7%43.1%0.0%-30.7%-56.3%18.7K-703.0K-4.5K0.00143.13N/AN/A002,2201,390
2014-03-07$10.87$10.0061.0%12.9%48.7%26.6%0.0%10.3%-7.0%21.4K-701.9K-4.0K0.00129.28N/AN/A002,2201,390
2014-03-10$10.95$10.0041.2%8.5%48.1%15.0%0.0%5.0%4.0%32.9K-870.0K-3.8K0.00120.58N/AN/A002,2201,390
2014-03-11$10.63$10.0076.4%14.6%48.3%35.7%0.0%5.9%-26.2%19.1K-514.0K-4.4K0.00127.90N/AN/A002,2201,390
2014-03-12$10.78$10.0042.5%9.4%47.6%15.7%0.0%10.3%0.9%29.3K-724.4K-4.1K0.00102.20N/AN/A002,2201,390
2014-03-13$10.63$10.0033.2%9.5%48.0%10.3%0.0%5.6%2.3%26.7K-611.8K-4.0K0.00104.32N/AN/A002,2201,390
2014-03-14$10.47$10.0036.7%10.5%46.8%12.3%0.0%1.8%-1.4%22.4K-491.6K-3.8K0.0099.42N/AN/A14202,2201,390
2014-03-17$10.49$10.0038.3%11.0%38.5%13.3%0.0%4.7%-1.1%22.1K-480.6K-3.7K0.00100.60N/AN/A002,3301,390
2014-03-18$10.56$10.0038.1%10.9%38.6%13.1%0.0%6.2%-3.1%22.1K-465.8K-3.6K0.00100.11N/AN/A002,3301,390
2014-03-19$10.40$10.0035.3%10.1%36.0%11.5%0.0%1.7%-0.4%16.5K-384.1K-3.5K0.00100.35N/AN/A002,3301,390
2014-03-20$10.59$10.0037.8%10.8%35.5%13.0%38.4%7.3%-1.8%23.3K-514.3K-3.5K0.00101.70N/AN/A022,3001,390
2014-03-21$10.45$10.0036.0%10.3%34.4%11.7%0.0%0.8%-1.4%14.4K-362.3K-3.3K0.00101.49N/AN/A002,3001,392
2014-03-24$10.26$10.0035.0%10.0%33.5%11.1%0.0%-0.5%53.0%8.1K-228.4K-3.1K0.00102.63N/AN/A001,9101,390
2014-03-25$10.29$10.0035.3%10.1%33.6%11.3%36.5%-1.7%42.9%8.4K-245.5K-3.0K0.00101.05N/AN/A0821,9101,390
2014-03-26$9.94$10.0030.9%8.9%35.1%8.7%0.0%-8.1%42.8%-10.5K103.6K-2.8K0.00100.44N/AN/A001,9101,472
2014-03-27$9.69$10.0035.7%10.2%35.7%11.5%0.0%-2.0%47.9%-11.4K400.8K-2.6K0.0098.27N/AN/A0101,9101,472
2014-03-28$9.56$10.0039.2%11.2%35.8%13.5%0.0%-14.5%68.9%-9.9K429.3K-2.5K0.0094.92N/AN/A001,9101,482
2014-03-31$9.76$10.0040.5%11.6%36.2%14.4%0.0%-0.9%-2.2%-8.5K274.1K-2.5K0.0097.98N/AN/A2001,9101,482