FIZZ Options History — August 2014

In August 2014, FIZZ traded between $8.81 and $9.44. ATM implied volatility averaged 62.0%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 34.7% (HV 20d: 27.4%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-08-26: Highest Volume — 80 contracts
  • 2014-08-28: Largest IV spike — 84.6% change
  • 2014-08-11: Highest IV Rank — 57.7%
  • 2014-08-04: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.23$8.81$9.44$8.81$9.16
Max Pain$9.02$8.75$10.00$8.75$10.00
ATM IV62.0%29.7%114.7%67.7%53.9%
Expected Move14.3%9.5%20.0%19.4%11.6%
HV 20d27.4%21.5%31.9%29.5%21.5%
HV 60d34.0%29.6%38.4%38.4%29.6%
IV Rank26.4%7.1%57.7%29.8%21.5%
IV Percentile67.9%24.2%96.0%75.4%61.9%
Term Structure-14.6%-39.7%26.8%-10.7%-27.2%
VWIV31.3%31.3%31.3%31.3%31.3%
Skew 25d-34.7%-97.1%27.7%23.5%-60.5%
Skew 10d-39.7%-122.5%73.2%73.2%-60.8%
Call IV 25d75.3%24.7%142.0%63.0%91.8%
Put IV 25d40.7%21.4%86.5%86.5%31.4%
Bid-Ask Spread %125.75104.99141.90131.57104.99
Gamma HHI0.870.740.950.920.75
Net GEX-10.9K-17.0K-6.2K-9.0K-10.3K
Net DEX141.7K88.1K197.3K178.7K131.0K
Net VEX-617-785-474-688-785
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume6.57108020
Total OI664.286628708662708

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$8.81$8.7567.7%19.4%29.5%29.8%0.0%23.5%-10.7%-9.0K178.7K-6880.00131.57N/AN/A2042620
2014-08-04$8.93$8.7572.3%20.0%29.3%32.5%0.0%-54.1%-32.7%-7.9K137.6K-6000.00135.45N/AN/A0044620
2014-08-05$9.04$8.7576.7%19.4%29.7%35.1%0.0%-8.7%-26.5%-13.7K185.4K-7050.00130.17N/AN/A16044620
2014-08-06$9.21$8.7579.5%17.0%30.6%36.7%0.0%-90.6%-39.2%-9.0K197.3K-7230.00141.90N/AN/A0060620
2014-08-07$9.19$8.7579.3%18.1%30.6%36.6%0.0%-2.0%-20.6%-15.5K170.9K-6980.00130.07N/AN/A0060620
2014-08-08$9.26$8.7591.9%19.9%30.8%44.1%0.0%-93.7%-18.8%-6.2K175.2K-7070.00129.04N/AN/A0060620
2014-08-11$9.38$8.75114.7%19.2%31.1%57.7%0.0%-97.1%-39.7%-6.6K173.3K-6450.00129.56N/AN/A0060620
2014-08-12$9.14$8.7551.0%10.6%30.8%19.8%0.0%-81.9%0.5%-17.0K159.0K-5760.00124.70N/AN/A0060620
2014-08-13$9.37$8.7562.8%15.0%31.9%26.8%0.0%-29.6%-12.5%-12.3K125.9K-5550.00137.84N/AN/A0060620
2014-08-14$9.36$8.7547.1%13.5%30.1%17.5%0.0%-43.9%-13.6%-9.2K147.1K-5870.00141.62N/AN/A0060620
2014-08-15$9.35$8.7549.0%14.1%26.1%18.6%0.0%-34.2%-13.0%-13.4K113.3K-5110.00137.10N/AN/A04060620
2014-08-18$9.44$0.0068.3%11.4%25.6%30.1%0.0%-49.8%-15.2%-9.1K144.9K-6070.00138.64N/AN/A0060568
2014-08-19$9.44$0.0041.7%9.7%25.4%14.2%0.0%13.7%26.8%-9.4K114.4K-5560.00106.30N/AN/A0060568
2014-08-20$9.22$0.0056.9%10.5%26.8%23.3%0.0%27.7%-26.4%-9.3K120.4K-4850.00106.09N/AN/A0060568
2014-08-21$9.28$0.0057.6%10.6%25.9%23.7%0.0%15.2%-33.7%-10.7K119.3K-4740.00105.12N/AN/A0060568
2014-08-22$9.25$0.0048.7%11.9%23.8%18.4%0.0%-60.7%-15.1%-10.5K159.2K-5890.00130.55N/AN/A0060568
2014-08-25$9.29$0.0039.4%9.5%23.8%12.9%0.0%-6.1%-8.6%-12.7K139.8K-5050.00112.98N/AN/A0060568
2014-08-26$9.38$0.0059.6%11.1%23.8%24.9%31.3%-35.8%-1.7%-12.1K97.3K-4920.00122.03N/AN/A80060568
2014-08-27$9.19$10.0029.7%13.0%24.1%7.1%0.0%-3.6%23.8%-16.6K96.4K-7200.00123.78N/AN/A00140568
2014-08-28$9.08$10.0054.8%14.5%23.2%22.0%0.0%-56.3%-3.3%-8.7K88.1K-7420.00121.18N/AN/A00140568
2014-08-29$9.16$10.0053.9%11.6%21.5%21.5%0.0%-60.5%-27.2%-10.3K131.0K-7850.00104.99N/AN/A00140568