FIZZ Options History — September 2014

In September 2014, FIZZ traded between $9.06 and $9.90. ATM implied volatility averaged 53.1%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 28.1% (HV 20d: 25.0%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2014-09-09: Highest Volume — 160 contracts
  • 2014-09-17: Largest IV spike — 167.6% change
  • 2014-09-29: Highest IV Rank — 40.7%
  • 2014-09-02: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.54$9.06$9.90$9.24$9.75
Max Pain$9.52$8.75$10.00$10.00$8.75
ATM IV53.1%27.4%86.2%63.3%38.4%
Expected Move11.1%7.2%14.1%14.1%10.4%
HV 20d25.0%17.8%29.7%21.2%29.7%
HV 60d27.3%25.8%29.6%29.6%26.9%
IV Rank21.0%5.8%40.7%27.1%11.9%
IV Percentile55.3%17.1%85.3%68.7%41.3%
Term Structure-6.7%-36.6%47.3%-35.0%-2.4%
VWIV31.5%30.7%32.3%32.3%30.7%
Skew 25d16.3%-55.0%61.7%-28.3%42.3%
Skew 10d25.3%-59.5%69.0%0.5%63.3%
Call IV 25d43.2%27.5%98.9%79.4%39.6%
Put IV 25d59.5%27.0%98.9%51.1%81.9%
Bid-Ask Spread %112.7481.27135.27115.02105.70
Gamma HHI0.680.490.970.790.80
Net GEX-2.2K-16.5K20.4K-11.6K1.7K
Net DEX10.2K-56.1K154.6K56.2K-29.5K
Net VEX-458-673-284-639-284
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.002.000.002.00
Total Volume8.095016000
Total OI616.762246874708246

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$9.24$10.0063.3%14.1%21.2%27.1%0.0%-28.3%-35.0%-11.6K56.2K-6390.00115.02N/AN/A00140568
2014-09-03$9.21$10.0038.5%12.3%20.9%12.4%0.0%10.8%41.4%-15.7K81.6K-6730.00113.26N/AN/A00140568
2014-09-04$9.23$10.0070.7%13.0%19.8%31.5%0.0%-55.0%-36.6%-14.5K70.0K-6240.00106.61N/AN/A00140568
2014-09-05$9.24$10.0036.9%9.2%19.7%11.4%0.0%6.7%-5.2%-16.1K81.8K-5440.0097.32N/AN/A00140568
2014-09-08$9.22$10.0029.2%9.2%19.6%6.8%32.3%3.2%1.5%-16.5K87.4K-5180.0082.44N/AN/A40140568
2014-09-09$9.06$10.0072.1%10.9%19.8%32.4%0.0%-7.2%-23.9%-6.6K154.6K-6250.00133.53N/AN/A1600144568
2014-09-10$9.10$10.0039.6%9.8%17.8%13.0%0.0%4.0%-4.8%-12.6K99.9K-6020.0097.63N/AN/A00304568
2014-09-11$9.66$10.0066.7%10.6%26.9%29.1%0.0%13.6%-22.5%-4.1K-10.4K-6500.00122.97N/AN/A00304568
2014-09-12$9.66$10.0031.8%10.1%26.9%8.3%0.0%41.3%-1.7%5.5K-52.5K-4370.0096.05N/AN/A00304568
2014-09-15$9.62$10.0070.7%13.2%26.9%31.5%0.0%49.7%-19.5%-4.2K12.5K-5950.00121.31N/AN/A00304568
2014-09-16$9.67$10.0027.4%8.8%26.8%5.8%0.0%-2.0%3.2%8.1K-56.1K-3590.0081.27N/AN/A00304568
2014-09-17$9.57$10.0073.4%13.4%27.1%33.1%0.0%57.9%-28.5%2.5K-31.1K-3730.00120.83N/AN/A00304568
2014-09-18$9.74$10.0053.6%12.4%26.2%21.3%30.7%41.8%-15.7%10.0K-37.4K-3512.00122.71N/AN/A24304568
2014-09-19$9.82$8.7533.2%8.7%26.2%9.2%0.0%2.3%-2.1%20.4K-37.6K-3270.00110.17N/AN/A00302572
2014-09-22$9.63$8.7553.7%10.9%27.3%21.4%0.0%-8.8%19.0%1.4K-18.5K-3190.00127.92N/AN/A00142104
2014-09-23$9.71$8.7574.3%13.9%27.4%33.6%0.0%46.8%-10.6%754-31.0K-3570.00119.52N/AN/A00142104
2014-09-24$9.90$8.7559.6%7.2%27.9%24.9%0.0%16.1%-35.8%1.3K-38.8K-3170.00111.59N/AN/A00142104
2014-09-25$9.63$8.7543.2%10.3%28.9%15.2%0.0%38.2%5.9%1.3K-22.7K-3130.00135.27N/AN/A00142104
2014-09-26$9.85$8.7552.5%13.5%29.2%20.7%0.0%61.7%47.3%815-31.1K-3580.00123.47N/AN/A00142104
2014-09-29$9.88$8.7586.2%11.9%29.2%40.7%0.0%6.8%-15.1%951-33.2K-3520.00123.06N/AN/A00142104
2014-09-30$9.75$8.7538.4%10.4%29.7%11.9%0.0%42.3%-2.4%1.7K-29.5K-2840.00105.70N/AN/A00142104