FIZZ Options History — October 2014 In October 2014, FIZZ traded between $9.46 and $12.59. ATM implied volatility averaged 56.0%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 15.2% (HV 20d: 40.7%). Max pain ranged from $8.75 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.62.
Notable Days 2014-10-31 : Highest Volume — 934 contracts2014-10-02 : Largest IV spike — 156.7% change2014-10-15 : Highest IV Rank — 92.3%2014-10-14 : Largest Expected Move — 13.5%Monthly Statistics Metric Avg Min Max Open Close Price $11.43 $9.46 $12.59 $9.46 $12.59 Max Pain $9.57 $8.75 $10.00 $8.75 $10.00 ATM IV 56.0% 30.7% 172.9% 36.2% 30.8% Expected Move 11.1% 9.0% 13.5% 9.0% 9.8% HV 20d 40.7% 31.9% 49.2% 31.9% 43.9% HV 60d 32.0% 27.5% 35.2% 27.5% 34.7% IV Rank 22.1% 6.5% 92.3% 10.5% 6.6% IV Percentile 46.9% 11.1% 98.8% 34.9% 11.1% Term Structure 9.1% -28.8% 55.0% -0.6% 8.4% VWIV 42.0% 28.9% 52.1% 28.9% 34.1% Skew 25d -4.6% -33.2% 69.8% 8.0% 11.7% Skew 10d -6.2% -48.8% 69.2% 4.7% 22.0% Call IV 25d 49.9% 25.5% 68.5% 40.0% 32.0% Put IV 25d 45.4% 27.7% 115.2% 48.0% 43.8% Bid-Ask Spread % 111.87 90.67 130.11 99.24 93.07 Gamma HHI 0.58 0.42 0.98 0.81 0.56 Net GEX 7.2K 820 16.1K 1.9K 13.9K Net DEX -232.7K -499.4K -26.3K -26.3K -499.4K Net VEX -617 -957 -247 -274 -820 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.00 0.94 0.06 0.33 Total Volume 323.913 0 934 0 934 Total OI 539.652 246 826 246 826
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-10-01 $9.46 $8.75 36.2% 9.0% 31.9% 10.5% 0.0% 8.0% -0.6% 1.9K -26.3K -274 0.00 99.24 N/A N/A 0 0 142 104 2014-10-02 $9.77 $8.75 92.8% 11.7% 33.6% 44.4% 0.0% 69.8% -20.2% 820 -30.4K -335 0.00 128.06 N/A N/A 0 0 142 104 2014-10-03 $10.14 $8.75 88.6% 13.5% 35.9% 41.9% 0.0% 68.1% -28.8% 1.1K -35.9K -320 0.00 120.43 N/A N/A 0 0 142 104 2014-10-06 $10.79 $8.75 55.2% 9.3% 41.0% 21.9% 28.9% -1.4% -18.0% 2.1K -56.2K -247 0.06 101.69 N/A N/A 66 4 142 104 2014-10-07 $10.86 $8.75 60.2% 13.2% 40.0% 24.9% 0.0% -33.2% 1.2% 3.3K -87.6K -372 0.00 119.38 N/A N/A 0 0 208 108 2014-10-08 $10.87 $8.75 69.8% 13.0% 40.1% 30.6% 48.2% -30.5% -6.4% 4.1K -82.8K -362 0.73 118.07 N/A N/A 96 70 208 108 2014-10-09 $10.85 $8.75 64.7% 13.1% 35.2% 27.6% 43.0% -21.9% -11.4% 3.2K -88.0K -370 0.73 117.28 N/A N/A 96 70 208 108 2014-10-10 $11.02 $8.75 68.6% 10.0% 35.2% 29.9% 40.0% -19.8% -2.6% 3.6K -98.9K -349 0.94 130.11 N/A N/A 96 90 208 108 2014-10-13 $11.24 $10.00 46.2% 10.2% 35.3% 16.6% 46.5% -11.3% 16.3% 5.7K -113.3K -423 0.39 116.81 N/A N/A 306 118 228 156 2014-10-14 $11.52 $10.00 96.3% 13.5% 35.8% 46.5% 52.1% -16.1% -2.2% 6.0K -278.7K -686 0.42 114.63 N/A N/A 278 118 418 156 2014-10-15 $11.52 $10.00 172.9% 11.1% 35.3% 92.3% 50.0% -13.1% -1.7% 7.5K -286.2K -720 0.81 123.02 N/A N/A 278 226 430 156 2014-10-16 $11.10 $10.00 40.1% 9.8% 38.7% 12.9% 35.0% -9.9% -6.3% 10.4K -203.3K -772 0.00 96.03 N/A N/A 0 20 430 268 2014-10-17 $11.11 $10.00 36.6% 9.8% 38.7% 10.8% 0.0% 2.3% -7.6% 10.0K -191.2K -809 0.00 96.04 N/A N/A 32 0 430 288 2014-10-20 $11.95 $10.00 58.6% 10.9% 44.1% 23.9% 47.1% -23.0% 18.0% 4.8K -247.5K -741 0.82 111.18 N/A N/A 272 222 332 248 2014-10-21 $12.41 $10.00 40.1% 10.5% 45.2% 12.2% 41.3% -5.5% 30.1% 9.3K -341.1K -527 0.80 103.68 N/A N/A 284 228 356 248 2014-10-22 $11.89 $10.00 30.7% 9.0% 49.2% 6.5% 41.9% -0.7% 55.0% 6.7K -274.8K -833 0.87 111.22 N/A N/A 262 228 380 254 2014-10-23 $12.21 $10.00 34.6% 11.5% 47.5% 8.9% 44.9% -6.3% 49.5% 7.4K -331.9K -832 0.70 112.62 N/A N/A 298 208 396 254 2014-10-24 $12.37 $10.00 33.6% 12.4% 47.4% 8.3% 45.4% -4.8% 13.4% 9.4K -380.7K -845 0.67 111.61 N/A N/A 310 208 446 274 2014-10-27 $12.34 $10.00 31.6% 11.0% 47.5% 7.1% 42.1% -17.9% 33.8% 12.3K -415.6K -864 0.68 119.28 N/A N/A 310 212 492 274 2014-10-28 $12.39 $10.00 34.1% 11.3% 46.8% 8.5% 44.3% -28.7% 47.1% 12.7K -417.6K -856 0.65 115.21 N/A N/A 326 212 494 282 2014-10-29 $12.37 $10.00 33.1% 11.2% 44.4% 8.0% 39.0% -22.8% 39.4% 13.8K -441.6K -957 0.77 123.62 N/A N/A 276 212 542 282 2014-10-30 $12.25 $10.00 31.9% 9.6% 44.6% 7.3% 32.6% 1.9% 2.9% 16.1K -424.1K -879 0.79 90.67 N/A N/A 270 214 542 282 2014-10-31 $12.59 $10.00 30.8% 9.8% 43.9% 6.6% 34.1% 11.7% 8.4% 13.9K -499.4K -820 0.33 93.07 N/A N/A 700 234 542 284
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