FIZZ Options History — March 2015

In March 2015, FIZZ traded between $10.55 and $12.19. ATM implied volatility averaged 65.1%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 30.2% (HV 20d: 34.8%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2015-03-26: Highest Volume — 236 contracts
  • 2015-03-19: Largest IV spike — 140.7% change
  • 2015-03-10: Highest IV Rank — 50.1%
  • 2015-03-03: Largest Expected Move — 25.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.47$10.55$12.19$11.09$12.19
Max Pain$10.17$10.00$11.25$11.25$10.00
ATM IV65.1%33.8%100.1%81.9%70.9%
Expected Move16.8%9.7%25.3%23.5%20.3%
HV 20d34.8%20.1%42.6%27.1%41.6%
HV 60d39.2%34.7%45.0%44.3%35.4%
IV Rank26.1%4.7%50.1%37.6%30.0%
IV Percentile61.9%14.7%93.7%84.9%73.4%
Term Structure-2.7%-44.7%46.0%-44.7%44.7%
VWIV49.4%20.9%87.3%80.0%51.9%
Skew 25d-12.5%-41.1%21.3%-24.3%-24.6%
Skew 10d-8.6%-51.0%43.5%-8.3%-32.8%
Call IV 25d50.9%30.1%99.7%85.9%45.9%
Put IV 25d38.4%19.2%61.6%61.6%21.4%
Bid-Ask Spread %127.68108.91144.04144.04125.22
Gamma HHI0.560.370.810.510.79
Net GEX6.6K-51913.9K5.1K11.6K
Net DEX-164.0K-279.6K-64.9K-142.1K-248.2K
Net VEX-535-671-234-637-576
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.001.381.210.78
Total Volume71.6360236146224
Total OI547.182516632520586

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$11.09$11.2581.9%23.5%27.1%37.6%80.0%-24.3%-44.7%5.1K-142.1K-6371.21144.04N/AN/A6680366154
2015-03-03$11.16$11.2588.3%25.3%27.0%42.0%86.5%-40.8%-27.8%4.4K-140.4K-6561.21130.70N/AN/A6680366158
2015-03-04$11.13$11.2587.6%25.1%23.6%41.5%87.3%-41.1%-27.2%4.5K-139.7K-6471.38138.79N/AN/A5880366158
2015-03-05$11.14$10.0066.8%12.5%20.1%27.3%39.6%-6.6%-4.3%4.8K-99.0K-5091.38108.91N/AN/A5880358158
2015-03-06$10.71$10.0084.2%12.9%23.4%39.2%42.9%6.2%-11.1%4.1K-64.9K-5031.38112.62N/AN/A5880358158
2015-03-09$11.04$10.0098.6%16.0%26.1%49.1%0.0%9.3%-16.5%4.4K-108.2K-5650.00129.89N/AN/A00358158
2015-03-10$10.76$10.00100.1%17.3%26.0%50.1%0.0%8.3%-12.8%3.9K-101.1K-5550.00129.13N/AN/A00358158
2015-03-11$10.55$10.0039.8%11.4%26.6%8.7%0.0%21.3%10.7%3.7K-71.7K-4990.00129.48N/AN/A00358158
2015-03-12$11.35$10.0036.7%10.5%37.1%6.6%0.0%10.5%0.4%-519-97.8K-2340.00122.33N/AN/A80358158
2015-03-13$11.27$10.0043.3%12.4%37.2%11.1%33.0%-1.0%-1.5%5.5K-112.4K-3300.00126.46N/AN/A40366158
2015-03-16$11.18$10.0060.9%17.5%37.4%23.2%0.0%-9.4%-17.2%4.8K-128.3K-5000.00132.45N/AN/A00368158
2015-03-17$11.29$10.0067.4%19.3%37.5%27.7%0.0%-1.1%-25.7%4.3K-133.3K-4930.00132.28N/AN/A00368158
2015-03-18$11.77$10.0034.7%9.9%39.7%5.2%0.0%-1.8%-1.1%5.5K-162.4K-2950.00127.94N/AN/A00368158
2015-03-19$11.50$10.0083.5%23.9%40.1%38.7%0.0%-11.2%-27.5%2.1K-194.2K-5020.00130.29N/AN/A1060368158
2015-03-20$12.03$10.0059.8%17.1%42.6%22.4%0.0%-29.3%-10.3%8.7K-279.6K-6110.00130.87N/AN/A08474158
2015-03-23$12.03$10.0062.1%17.8%42.5%24.0%21.8%-14.3%41.6%10.9K-242.4K-6710.00127.75N/AN/A040448122
2015-03-24$12.10$10.0035.5%10.2%42.4%5.8%20.9%-22.5%0.8%11.9K-244.9K-6620.00123.14N/AN/A010448148
2015-03-25$12.00$10.0033.8%9.7%42.5%4.7%0.0%-13.4%4.4%13.9K-225.3K-6370.00126.29N/AN/A00448144
2015-03-26$12.01$10.0062.0%17.8%42.4%23.9%40.4%-39.5%46.0%7.5K-191.1K-4600.71124.06N/AN/A13898448144
2015-03-27$12.05$10.0064.6%18.5%42.0%25.7%38.2%-20.3%14.9%11.2K-240.7K-6030.00131.93N/AN/A100448144
2015-03-30$12.12$10.0069.2%19.8%41.6%28.9%49.8%-28.5%3.8%12.2K-239.4K-6340.78124.48N/AN/A12698442144
2015-03-31$12.19$10.0070.9%20.3%41.6%30.0%51.9%-24.6%44.7%11.6K-248.2K-5760.78125.22N/AN/A12698442144