FIZZ Options History — April 2014

In April 2014, FIZZ traded between $9.55 and $10.56. ATM implied volatility averaged 40.0%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 3.5% (HV 20d: 43.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.11.

Notable Days

  • 2014-04-04: Highest Volume — 194 contracts
  • 2014-04-29: Largest IV spike — 120.9% change
  • 2014-04-29: Highest IV Rank — 41.3%
  • 2014-04-07: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.94$9.55$10.56$9.97$9.64
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV40.0%30.4%86.7%38.6%66.4%
Expected Move12.4%8.7%28.2%11.1%19.0%
HV 20d43.4%27.7%50.1%28.5%47.4%
HV 60d41.2%36.0%43.8%36.1%41.9%
IV Rank14.0%8.4%41.3%13.2%29.3%
IV Percentile70.6%56.7%93.3%77.0%86.9%
Term Structure5.4%-49.5%64.9%-17.3%4.0%
VWIV38.3%34.7%44.4%38.7%37.2%
Skew 25d1.6%-13.1%62.3%1.2%62.3%
Skew 10d1.3%-16.7%34.6%2.0%15.6%
Call IV 25d45.1%24.2%132.1%34.4%39.8%
Put IV 25d46.7%27.2%134.5%35.6%102.1%
Bid-Ask Spread %104.9089.01130.2099.65122.78
Gamma HHI0.470.250.880.420.26
Net GEX-13.5K-73.8K12.4K-9.4K1.7K
Net DEX46.8K-793.5K700.5K182.4K-27.9K
Net VEX-1.4K-2.6K-609-2.6K-609
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.000.700.700.00
Total Volume19.143019400
Total OI2,3765883,4923,410636

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$9.97$10.0038.6%11.1%28.5%13.2%0.0%1.2%-17.3%-9.4K182.4K-2.6K0.0099.65N/AN/A001,9281,482
2014-04-02$9.80$10.0037.8%10.8%27.7%12.7%0.0%1.0%23.3%-11.6K231.7K-2.5K0.0099.89N/AN/A001,9281,482
2014-04-03$9.55$10.0034.1%9.8%27.9%10.6%38.7%-9.0%3.6%-14.9K542.3K-2.1K0.70107.54N/AN/A20141,9281,482
2014-04-04$10.42$0.0040.6%18.1%43.1%14.4%44.4%16.3%-11.3%-270-305.7K-2.5K0.00130.20N/AN/A19401,9481,496
2014-04-07$10.26$10.0062.5%28.2%43.2%27.3%0.0%2.4%-49.5%4.7K-793.5K-8150.00125.40N/AN/A1001,9781,496
2014-04-08$10.38$10.0031.3%10.2%42.3%8.9%36.7%-1.6%-3.3%-7.1K-325.1K-2.1K0.10117.56N/AN/A2021,9881,496
2014-04-09$10.56$10.0030.5%9.6%42.6%8.5%0.0%5.3%2.1%12.4K-669.9K-1.7K0.0099.51N/AN/A4001,9881,496
2014-04-10$10.05$10.0034.7%9.9%45.8%10.9%0.0%6.7%-0.8%-24.9K72.4K-2.0K0.00100.98N/AN/A0201,9561,496
2014-04-11$9.93$10.0035.0%10.0%45.7%11.1%0.0%1.6%-1.2%-37.7K226.5K-1.9K0.0089.01N/AN/A001,9561,516
2014-04-14$9.93$10.0033.9%9.7%45.7%10.4%34.7%-8.3%0.2%-50.9K195.2K-1.6K0.0096.65N/AN/A0201,9561,516
2014-04-15$9.79$10.0034.0%9.7%45.7%10.5%0.0%-0.2%-0.9%-38.1K576.0K-1.4K0.0089.95N/AN/A001,9561,536
2014-04-16$9.80$10.0032.8%9.4%45.5%9.8%0.0%0.7%0.2%-52.5K700.5K-1.2K0.0092.60N/AN/A001,9361,514
2014-04-17$9.86$10.0034.9%10.0%45.0%11.0%0.0%-9.0%-1.1%-73.8K667.3K-1.2K0.0093.01N/AN/A1401,9361,514
2014-04-21$10.06$10.0034.4%9.9%45.6%10.7%0.0%-6.6%41.1%3.4K-45.5K-7250.0093.43N/AN/A00374214
2014-04-22$10.29$10.0033.4%9.6%46.0%10.2%37.2%-2.7%11.9%3.3K-61.6K-6820.0099.45N/AN/A480374214
2014-04-23$9.73$10.0033.9%9.7%50.1%10.4%0.0%-10.0%64.9%3.2K-44.1K-8260.0098.04N/AN/A00422214
2014-04-24$9.80$10.0033.9%9.7%48.7%10.4%0.0%-7.6%4.6%2.2K-31.4K-7580.0099.33N/AN/A00422214
2014-04-25$9.56$10.0030.4%8.7%48.7%8.4%0.0%-13.1%14.8%2.5K-31.7K-8440.0097.30N/AN/A00422214
2014-04-28$9.68$10.0039.3%11.3%48.7%13.6%0.0%2.1%5.9%2.0K-16.4K-7170.00123.17N/AN/A00422214
2014-04-29$9.63$10.0086.7%24.9%48.1%41.3%0.0%2.2%21.8%3.0K-57.9K-8540.00127.44N/AN/A00422214
2014-04-30$9.64$10.0066.4%19.0%47.4%29.3%0.0%62.3%4.0%1.7K-27.9K-6090.00122.78N/AN/A00422214