FIZZ Options History — May 2014

In May 2014, FIZZ traded between $8.70 and $9.73. ATM implied volatility averaged 75.0%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 34.3% (HV 20d: 40.8%). Max pain ranged from $8.75 to $11.25. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-05-05: Highest Volume — 500 contracts
  • 2014-05-27: Largest IV spike — 79.6% change
  • 2014-05-13: Highest IV Rank — 75.1%
  • 2014-05-02: Largest Expected Move — 27.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.17$8.70$9.73$9.46$9.26
Max Pain$10.31$8.75$11.25$10.00$8.75
ATM IV75.0%36.7%143.8%66.2%38.2%
Expected Move17.6%10.5%27.5%19.0%11.0%
HV 20d40.8%32.3%47.4%47.4%46.0%
HV 60d41.6%40.6%43.2%42.1%40.7%
IV Rank34.4%11.7%75.1%29.2%12.6%
IV Percentile84.7%65.9%97.6%86.5%66.3%
Term Structure-7.3%-34.3%69.8%69.8%-22.0%
VWIV55.5%21.2%108.5%21.2%82.0%
Skew 25d14.3%-17.6%56.1%55.1%-17.6%
Skew 10d15.4%-23.7%59.4%38.8%-0.8%
Call IV 25d54.2%22.7%95.5%48.7%44.6%
Put IV 25d68.5%27.0%113.0%103.8%27.0%
Bid-Ask Spread %119.39108.25134.74110.19119.11
Gamma HHI0.390.240.570.270.32
Net GEX5.5K-1.1K14.9K2.2K6.8K
Net DEX-62.2K-204.4K75.1K-32.4K-22.2K
Net VEX-833-1.3K-299-818-556
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume40.381050000
Total OI1,090.5716361,2566361,214

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$9.46$10.0066.2%19.0%47.4%29.2%0.0%55.1%69.8%2.2K-32.4K-8180.00110.19N/AN/A00422214
2014-05-02$9.61$10.0096.0%27.5%46.9%46.9%0.0%41.3%-34.3%2.8K-57.1K-8820.00124.23N/AN/A00422214
2014-05-05$9.49$0.0094.1%17.0%34.2%45.7%21.2%56.1%-2.9%2.6K-41.4K-8230.00120.52N/AN/A5000422214
2014-05-06$9.14$11.2572.5%16.6%35.9%32.9%0.0%2.1%-23.0%7.4K-136.5K-1.3K0.00130.22N/AN/A00922214
2014-05-07$9.16$11.2586.5%20.1%35.4%41.2%0.0%4.4%-1.1%7.7K-138.9K-1.3K0.00117.15N/AN/A00922214
2014-05-08$9.00$11.25125.1%18.5%34.5%64.1%0.0%2.8%-17.8%6.5K-104.8K-1.1K0.00134.74N/AN/A08922214
2014-05-09$9.20$11.2594.0%10.8%32.3%45.7%0.0%-6.6%-5.7%3.6K15.7K-6070.00112.28N/AN/A1200922214
2014-05-12$9.73$11.25103.8%18.8%38.6%51.4%0.0%11.7%-9.9%14.9K-198.6K-1.3K0.00123.29N/AN/A001,042214
2014-05-13$9.35$11.25143.8%21.7%41.1%75.1%0.0%37.2%-10.7%12.3K-173.1K-1.2K0.00119.05N/AN/A001,042214
2014-05-14$8.92$11.2570.9%20.3%43.7%32.0%75.0%9.7%-10.5%7.7K-113.0K-1.1K0.00129.83N/AN/A401,042214
2014-05-15$8.70$10.0079.2%22.7%44.3%36.9%0.0%8.7%-14.6%6.2K-78.5K-9000.00119.31N/AN/A0121,026214
2014-05-16$8.74$10.0039.5%11.3%44.3%13.4%0.0%1.5%-4.8%-1.1K75.1K-3040.00108.99N/AN/A001,026224
2014-05-19$8.89$10.0036.7%10.5%44.0%11.7%42.5%-4.5%-0.6%-1.1K52.3K-2990.00109.28N/AN/A400858204
2014-05-20$8.84$10.0055.9%16.0%42.7%23.1%24.9%53.4%1.7%3.8K11.0K-6150.00113.02N/AN/A200894204
2014-05-21$8.93$10.0037.9%10.9%39.1%12.5%0.0%-4.5%3.5%30740.0K-3500.00108.25N/AN/A02914204
2014-05-22$8.89$10.0042.1%12.1%38.8%14.9%0.0%-5.5%-5.1%1.1K38.5K-3390.00125.71N/AN/A020914202
2014-05-23$8.89$10.0048.9%14.0%38.1%18.9%0.0%2.3%-17.3%3.6K15.2K-6010.00117.95N/AN/A00914202
2014-05-27$9.09$10.0087.7%25.2%38.8%41.9%34.6%24.9%-21.9%7.0K-53.5K-6790.00115.89N/AN/A400914202
2014-05-28$9.66$10.0076.8%22.0%44.9%35.5%108.5%20.8%-10.4%11.3K-198.9K-1.1K0.00128.10N/AN/A040954202
2014-05-29$9.56$8.7580.1%23.0%45.1%37.4%82.0%6.6%-16.0%11.0K-204.4K-1.2K0.00120.02N/AN/A420954242
2014-05-30$9.26$8.7538.2%11.0%46.0%12.6%0.0%-17.6%-22.0%6.8K-22.2K-5560.00119.11N/AN/A00972242