FIZZ Options History — December 2014

In December 2014, FIZZ traded between $10.52 and $12.77. ATM implied volatility averaged 53.3%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 4.4% (HV 20d: 48.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.52.

Notable Days

  • 2014-12-18: Highest Volume — 332 contracts
  • 2014-12-23: Largest IV spike — 57.4% change
  • 2014-12-10: Highest IV Rank — 42.1%
  • 2014-12-24: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.81$10.52$12.77$12.39$11.31
Max Pain$10.42$10.00$12.50$10.00$11.25
ATM IV53.3%28.8%84.8%68.0%33.8%
Expected Move13.7%9.1%23.9%12.1%18.7%
HV 20d48.9%27.4%63.1%35.9%62.8%
HV 60d44.6%37.3%50.6%38.8%47.6%
IV Rank21.3%5.4%42.1%31.5%7.9%
IV Percentile54.6%4.8%86.9%75.0%18.3%
Term Structure-3.0%-42.4%32.3%-15.1%32.3%
VWIV46.2%32.9%86.6%38.4%82.0%
Skew 25d-5.9%-34.9%12.3%4.1%10.6%
Skew 10d-5.8%-52.0%24.6%-37.1%17.3%
Call IV 25d55.5%30.4%91.0%86.4%30.4%
Put IV 25d49.6%31.2%90.5%90.5%41.0%
Bid-Ask Spread %123.05101.33140.10116.60139.78
Gamma HHI0.520.370.710.610.37
Net GEX7.9K2.3K16.4K9.2K3.2K
Net DEX-234.8K-506.1K-66.7K-347.3K-121.5K
Net VEX-1.3K-1.6K-1.0K-1.6K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.520.004.503.960.00
Total Volume205.455033222810
Total OI947.6367141,114992756

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$12.39$10.0068.0%12.1%35.9%31.5%38.4%4.1%-15.1%9.2K-347.3K-1.6K3.96116.60N/AN/A46182664328
2014-12-02$12.18$10.0072.5%10.5%36.1%34.4%36.9%-2.8%-23.4%9.3K-329.6K-1.6K3.83121.20N/AN/A46176666348
2014-12-03$12.13$10.0070.6%12.2%36.1%32.8%37.8%12.3%-42.4%10.1K-326.7K-1.6K3.78116.11N/AN/A46174666348
2014-12-04$12.06$10.0073.5%13.1%36.1%34.7%0.0%-18.4%-19.0%8.4K-265.3K-1.6K0.00111.55N/AN/A40662350
2014-12-05$12.32$10.0059.8%11.5%34.6%25.7%37.0%6.1%9.4%9.6K-317.9K-1.6K4.14115.33N/AN/A42174670350
2014-12-08$12.29$10.0054.7%10.2%30.2%22.4%35.8%-5.7%-1.4%12.6K-310.2K-1.5K4.35101.33N/AN/A40174670350
2014-12-09$12.75$10.0058.9%9.1%33.0%25.1%32.9%1.6%2.0%16.4K-424.9K-1.3K4.50114.79N/AN/A40180670350
2014-12-10$12.40$10.0084.8%12.6%33.0%42.1%43.2%-16.2%-13.1%9.0K-373.8K-1.4K3.75114.24N/AN/A48180670342
2014-12-11$12.77$10.0049.6%12.1%27.4%19.0%38.9%-14.0%-8.3%16.1K-506.1K-1.3K2.82120.46N/AN/A68192680330
2014-12-12$11.98$10.0044.0%9.1%34.8%15.3%38.1%-8.6%-15.7%12.6K-229.8K-1.3K2.26115.77N/AN/A78176700354
2014-12-15$10.52$10.0064.5%12.7%56.5%28.8%39.0%-6.0%-12.5%6.2K-72.6K-1.2K2.00109.20N/AN/A88176720354
2014-12-16$10.77$10.0046.5%10.2%57.7%17.0%47.8%-34.9%-15.3%6.7K-108.3K-1.3K2.66123.24N/AN/A88234720394
2014-12-17$11.18$10.0036.1%10.6%59.7%10.1%44.1%-10.3%5.5%7.1K-108.9K-1.3K2.66120.36N/AN/A88234720366
2014-12-18$11.73$10.0033.6%10.2%62.8%8.5%43.6%-25.6%9.2%5.8K-86.5K-1.2K2.39124.21N/AN/A98234720366
2014-12-19$11.53$10.0051.4%13.0%62.9%20.2%0.0%-0.0%-15.8%2.3K-66.7K-1.2K0.00122.31N/AN/A08726366
2014-12-22$11.61$0.0028.8%11.9%63.1%5.4%38.8%-7.9%17.8%5.4K-188.3K-1.1K1.48136.39N/AN/A96142464250
2014-12-23$11.63$12.5045.4%15.9%62.9%16.2%42.4%-0.2%-9.8%5.5K-220.3K-1.2K1.48137.41N/AN/A96142476270
2014-12-24$11.63$11.2549.7%23.9%62.7%18.4%86.6%-7.9%18.4%4.3K-205.3K-1.2K1.45131.10N/AN/A98142478270
2014-12-26$11.77$11.2552.2%16.1%62.8%20.1%69.0%1.8%-6.0%5.2K-194.9K-1.2K1.45138.26N/AN/A98142478270
2014-12-29$11.63$11.2551.8%22.6%62.6%19.8%82.0%0.0%14.9%5.3K-236.4K-1.1K1.45137.34N/AN/A98142480280
2014-12-30$11.33$11.2542.4%22.7%63.0%13.5%0.0%-8.6%21.8%3.4K-123.9K-1.1K0.00140.10N/AN/A00476280
2014-12-31$11.31$11.2533.8%18.7%62.8%7.9%0.0%10.6%32.3%3.2K-121.5K-1.0K0.00139.78N/AN/A100476280