FIZZ Options History — April 2015

In April 2015, FIZZ traded between $11.22 and $12.38. ATM implied volatility averaged 73.2%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 43.2% (HV 20d: 30.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.02.

Notable Days

  • 2015-04-01: Highest Volume — 224 contracts
  • 2015-04-17: Largest IV spike — 176.0% change
  • 2015-04-29: Highest IV Rank — 71.8%
  • 2015-04-29: Largest Expected Move — 37.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.99$11.22$12.38$12.12$11.22
Max Pain$11.56$10.00$12.50$10.00$11.25
ATM IV73.2%34.5%131.8%71.5%37.4%
Expected Move19.1%9.2%37.8%20.5%10.7%
HV 20d30.0%20.9%41.8%41.7%33.9%
HV 60d34.4%32.4%35.4%35.4%33.7%
IV Rank31.6%5.1%71.8%30.5%7.1%
IV Percentile64.5%17.1%99.2%73.4%19.8%
Term Structure-1.8%-72.3%57.8%57.8%-8.0%
VWIV82.0%37.3%132.5%57.1%37.3%
Skew 25d17.1%-22.0%69.1%-10.1%-10.4%
Skew 10d-9.8%-93.4%73.2%-36.0%-15.9%
Call IV 25d67.7%36.5%100.5%41.2%44.5%
Put IV 25d84.8%31.1%163.3%31.1%34.1%
Bid-Ask Spread %136.80106.05144.91130.11106.05
Gamma HHI0.660.360.950.800.41
Net GEX9.3K80440.3K12.6K2.1K
Net DEX-160.4K-313.5K-20.2K-242.8K-20.2K
Net VEX-580-735-501-605-526
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.020.7815.000.781.80
Total Volume154.5710224224140
Total OI470.571228654586296

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$12.12$10.0071.5%20.5%41.7%30.5%57.1%-10.1%57.8%12.6K-242.8K-6050.78130.11N/AN/A12698442144
2015-04-02$12.28$0.0071.7%17.6%41.8%30.6%0.0%18.1%-32.1%16.1K-261.7K-5510.78143.74N/AN/A12698442144
2015-04-06$12.30$0.0094.5%10.1%38.3%46.2%0.0%43.5%-14.8%11.2K-277.5K-5361.48141.14N/AN/A6698440144
2015-04-07$12.11$0.0097.7%9.2%38.1%48.4%0.0%4.9%-0.4%12.9K-274.2K-6601.48129.47N/AN/A6698476144
2015-04-08$12.38$0.0051.6%14.8%36.7%16.8%0.0%11.5%15.5%8.3K-313.5K-7350.00134.44N/AN/A00476144
2015-04-09$12.16$0.0034.5%9.9%36.6%5.1%0.0%4.6%9.1%16.5K-265.0K-6051.88136.39N/AN/A66124476144
2015-04-10$11.96$0.0053.5%15.3%28.1%18.1%0.0%42.3%22.9%10.6K-233.0K-6811.88135.60N/AN/A66124476178
2015-04-13$12.19$0.0056.4%16.2%28.5%20.1%0.0%15.4%19.6%26.0K-216.0K-6071.88136.34N/AN/A66124476178
2015-04-14$12.14$0.0054.4%15.6%28.3%18.7%0.0%0.9%28.7%19.7K-240.2K-6211.88136.85N/AN/A66124476178
2015-04-15$12.29$0.0055.3%15.9%28.4%19.4%0.0%24.3%14.3%40.3K-230.0K-5741.88137.21N/AN/A66124474178
2015-04-16$12.03$12.5037.4%10.7%26.3%7.1%42.5%45.5%-10.7%3.2K-190.2K-5011.82130.89N/AN/A68124476178
2015-04-17$11.81$12.50103.2%29.6%25.8%52.2%45.0%-22.0%-64.9%2.3K-157.3K-5121.85139.54N/AN/A68126476178
2015-04-20$11.98$12.5062.2%17.8%20.9%24.1%46.2%21.0%37.7%1.9K-56.7K-5351.59139.56N/AN/A447015078
2015-04-21$12.10$12.5063.0%18.1%21.2%24.7%88.3%12.1%40.4%1.4K-60.8K-5292.05141.87N/AN/A449015078
2015-04-22$11.88$11.2564.8%18.6%22.0%25.9%108.5%15.6%34.7%804-50.3K-5462.05143.44N/AN/A449015098
2015-04-23$11.47$11.2580.7%23.1%25.0%36.8%55.8%9.0%-36.8%2.0K-33.5K-51615.00140.25N/AN/A69015098
2015-04-24$11.63$11.25116.9%33.5%25.7%61.6%111.3%1.1%-54.4%969-49.0K-55215.00144.91N/AN/A69015498
2015-04-27$11.79$11.25128.0%36.7%26.2%69.2%130.5%0.4%-72.3%1.1K-54.7K-5301.80139.41N/AN/A509015498
2015-04-28$12.11$11.2570.6%20.2%27.9%29.8%129.4%69.1%39.0%1.9K-84.5K-6161.80140.78N/AN/A509019898
2015-04-29$11.80$11.25131.8%37.8%29.2%71.8%132.5%62.8%-62.2%2.4K-56.7K-6421.80144.81N/AN/A509019898
2015-04-30$11.22$11.2537.4%10.7%33.9%7.1%37.3%-10.4%-8.0%2.1K-20.2K-5261.80106.05N/AN/A509019898