FIZZ Options History — November 2014

In November 2014, FIZZ traded between $12.29 and $13.44. ATM implied volatility averaged 40.1%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 0.6% (HV 20d: 40.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.79.

Notable Days

  • 2014-11-03: Highest Volume — 990 contracts
  • 2014-11-10: Largest IV spike — 107.8% change
  • 2014-11-10: Highest IV Rank — 23.7%
  • 2014-11-07: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.83$12.29$13.44$12.42$12.57
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV40.1%27.0%58.7%30.0%46.5%
Expected Move10.9%8.7%13.2%12.8%12.6%
HV 20d40.8%35.5%49.3%40.3%36.9%
HV 60d37.1%34.4%38.6%35.0%38.6%
IV Rank13.0%4.7%23.7%6.1%17.4%
IV Percentile35.2%4.8%60.3%7.9%54.0%
Term Structure1.0%-32.1%29.9%11.2%-4.6%
VWIV38.7%32.9%43.5%43.1%42.0%
Skew 25d2.8%-41.6%43.7%-18.8%-11.8%
Skew 10d7.5%-31.1%44.4%-24.8%-11.4%
Call IV 25d43.9%28.7%100.0%64.3%43.3%
Put IV 25d46.7%31.5%74.9%45.5%31.5%
Bid-Ask Spread %107.1386.28119.18108.90113.85
Gamma HHI0.780.670.910.750.73
Net GEX23.3K11.9K34.1K27.9K13.4K
Net DEX-806.1K-1.1M-443.9K-807.7K-443.9K
Net VEX-1.7K-2.1K-1.5K-2.1K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.790.3130.000.3130.00
Total Volume492.316099099010
Total OI1,252.8429041,3601,358978

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$12.42$10.0030.0%12.8%40.3%6.1%43.1%-18.8%11.2%27.9K-807.7K-2.1K0.31108.90N/AN/A7582321,048310
2014-11-04$12.41$10.0035.7%12.9%40.4%9.6%42.8%1.2%29.9%21.6K-824.3K-2.1K0.31106.77N/AN/A7582321,048310
2014-11-05$12.46$10.0058.7%12.3%40.3%23.4%39.7%7.7%-3.7%22.0K-815.9K-2.1K0.31105.08N/AN/A7582321,048310
2014-11-06$12.89$10.0037.4%10.2%41.3%10.6%35.6%2.1%2.6%27.4K-917.8K-1.9K0.3186.28N/AN/A7582321,048310
2014-11-07$12.29$10.0027.0%13.2%45.8%4.7%43.5%-14.8%1.3%30.8K-732.9K-2.0K0.40105.53N/AN/A5782321,048310
2014-11-10$12.34$10.0056.2%10.7%45.5%23.7%42.8%-2.1%-7.5%27.6K-740.9K-2.0K0.70106.10N/AN/A3302321,050310
2014-11-11$12.69$10.0033.1%10.1%45.7%8.6%32.9%-1.3%-3.0%34.1K-801.0K-1.6K0.70105.46N/AN/A330232964210
2014-11-12$13.44$10.0047.0%9.3%49.3%17.7%38.4%-41.6%19.5%20.6K-1.1M-1.7K0.80107.92N/AN/A2902321,050310
2014-11-13$13.31$10.0036.5%10.6%46.9%10.8%37.0%28.0%0.3%22.7K-1.0M-1.7K0.83102.44N/AN/A2802321,024312
2014-11-14$13.14$10.0047.6%9.7%47.4%18.1%0.0%17.0%0.0%23.5K-968.9K-1.7K0.00119.18N/AN/A001,026312
2014-11-17$13.14$10.0043.9%10.7%40.9%15.7%37.1%-9.1%-32.1%25.5K-999.7K-1.6K0.9093.28N/AN/A2802521,026312
2014-11-18$13.28$10.0031.4%10.9%39.0%7.5%33.6%-1.5%3.6%23.2K-1.1M-1.5K0.9497.35N/AN/A2682521,016332
2014-11-19$12.99$10.0049.6%8.7%36.2%19.4%0.0%17.6%-15.6%25.0K-944.7K-1.5K0.00115.95N/AN/A0741,014332
2014-11-20$12.87$10.0044.0%10.9%35.5%15.8%37.1%21.4%-21.0%22.1K-817.8K-1.7K1.01113.87N/AN/A258260980364
2014-11-21$12.77$10.0030.2%9.8%35.5%6.7%36.5%4.3%5.1%32.0K-880.6K-1.6K0.95114.10N/AN/A258246980380
2014-11-24$12.90$10.0030.2%10.3%35.6%6.7%0.0%10.6%9.2%15.2K-493.2K-1.6K0.00111.96N/AN/A04654250
2014-11-25$13.03$10.0042.4%12.1%35.7%14.7%42.0%43.7%7.2%11.9K-495.4K-1.6K3.39114.50N/AN/A46156658254
2014-11-26$12.80$10.0035.1%9.5%36.4%10.0%0.0%-0.1%16.2%16.1K-458.0K-1.6K30.00106.88N/AN/A260658258
2014-11-28$12.57$10.0046.5%12.6%36.9%17.4%0.0%-11.8%-4.6%13.4K-443.9K-1.7K0.00113.85N/AN/A010660318