FIZZ Options History — June 2014

In June 2014, FIZZ traded between $8.71 and $9.69. ATM implied volatility averaged 69.4%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 24.8% (HV 20d: 44.5%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-06-30: Highest Volume — 20 contracts
  • 2014-06-16: Largest IV spike — 129.7% change
  • 2014-06-11: Highest IV Rank — 62.7%
  • 2014-06-04: Largest Expected Move — 29.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.34$8.71$9.69$9.10$9.46
Max Pain$9.76$8.75$10.00$8.75$10.00
ATM IV69.4%30.8%122.8%95.3%34.9%
Expected Move17.5%8.8%29.9%27.3%10.0%
HV 20d44.5%40.1%50.2%46.0%40.1%
HV 60d43.2%40.7%44.3%40.7%43.8%
IV Rank31.1%8.3%62.7%46.4%10.7%
IV Percentile75.5%43.7%96.4%92.9%52.0%
Term Structure-12.1%-54.6%36.6%-43.2%-2.4%
VWIV52.6%24.6%95.0%47.1%69.1%
Skew 25d17.6%-3.9%74.8%2.9%3.5%
Skew 10d22.7%-3.1%95.4%36.2%9.5%
Call IV 25d45.2%29.8%119.1%114.8%37.5%
Put IV 25d62.7%38.0%127.3%117.8%41.0%
Bid-Ask Spread %114.51101.51133.88113.34101.51
Gamma HHI0.330.250.440.390.27
Net GEX5.0K59711.8K8.8K839
Net DEX-42.9K-186.9K18.8K-118.1K13.3K
Net VEX-474-956-139-956-139
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2020020
Total OI1,018.3815361,2161,214536

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$9.10$8.7595.3%27.3%46.0%46.4%0.0%2.9%-43.2%8.8K-118.1K-9560.00113.34N/AN/A00972242
2014-06-03$8.88$8.7599.2%28.4%46.5%48.7%47.1%74.8%-34.5%7.0K-47.9K-7580.00108.47N/AN/A20972242
2014-06-04$8.71$8.75104.5%29.9%45.1%51.8%0.0%8.2%-54.3%7.4K-99.9K-8620.00110.72N/AN/A00970242
2014-06-05$9.13$8.7574.5%21.4%48.3%34.1%0.0%14.7%-54.6%3.2K18.8K-4070.00133.88N/AN/A00970242
2014-06-06$9.22$10.00105.7%20.4%48.0%52.6%0.0%9.2%-8.7%9.3K-157.4K-9310.00118.31N/AN/A00970242
2014-06-09$9.66$10.00101.0%18.9%50.2%49.8%0.0%15.2%-23.4%11.8K-186.9K-9220.00112.07N/AN/A00970242
2014-06-10$9.55$10.00112.0%13.9%46.1%56.3%0.0%12.6%2.4%9.7K-172.3K-6680.00117.08N/AN/A00970242
2014-06-11$9.23$10.00122.8%22.3%45.5%62.7%0.0%49.2%-20.4%6.9K-28.8K-5310.00111.07N/AN/A00970242
2014-06-12$9.10$10.0076.1%21.8%42.5%35.0%95.0%40.6%-10.2%7.3K-58.2K-6460.00115.58N/AN/A02970242
2014-06-13$9.38$10.0033.3%9.5%42.5%9.7%24.6%39.4%-4.0%4.7K2.2K-4020.00111.77N/AN/A40970242
2014-06-16$9.16$10.0076.5%21.9%43.6%35.3%0.0%12.7%-25.4%3.2K-3.4K-4950.00113.33N/AN/A00974242
2014-06-17$9.44$10.0053.9%15.5%44.4%21.9%0.0%-3.9%-8.3%7.7K-83.1K-4030.00120.03N/AN/A00974242
2014-06-18$9.46$10.0042.1%12.1%44.3%15.0%0.0%9.6%-6.0%4.2K10.6K-3010.00109.11N/AN/A00974242
2014-06-19$9.45$10.0032.8%9.4%44.2%9.4%0.0%3.9%-2.1%3.8K12.1K-2160.00114.15N/AN/A00974220
2014-06-20$9.56$10.0030.8%8.8%44.3%8.3%27.4%9.0%8.4%1.2K9.7K-1590.00122.75N/AN/A120974220
2014-06-23$9.69$10.0032.7%9.4%44.4%9.4%0.0%4.3%0.7%1.1K12.7K-1430.00107.33N/AN/A00358180
2014-06-24$9.34$10.0041.3%11.8%46.2%14.5%0.0%12.1%1.3%59713.7K-1620.00114.44N/AN/A00358180
2014-06-25$9.56$10.0085.3%24.5%41.5%40.5%0.0%17.1%27.3%2.4K-25.7K-4080.00115.63N/AN/A00358180
2014-06-26$9.44$10.0063.5%18.2%41.6%27.6%0.0%21.1%-33.6%2.9K-22.2K-2830.00120.93N/AN/A00358180
2014-06-27$9.60$10.0038.5%11.0%40.3%12.8%69.1%12.4%36.6%95310.8K-1610.00113.18N/AN/A20358180
2014-06-30$9.46$10.0034.9%10.0%40.1%10.7%0.0%3.5%-2.4%83913.3K-1390.00101.51N/AN/A020356180