FIZZ Options History — May 2015 In May 2015, FIZZ traded between $10.22 and $11.21. ATM implied volatility averaged 85.7%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 52.9% (HV 20d: 32.9%). Max pain ranged from $10.00 to $11.25. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.95.
Notable Days 2015-05-21 : Highest Volume — 340 contracts2015-05-07 : Largest IV spike — 255.5% change2015-05-07 : Highest IV Rank — 100.0%2015-05-29 : Largest Expected Move — 37.9%Monthly Statistics Metric Avg Min Max Open Close Price $10.64 $10.22 $11.21 $11.21 $10.37 Max Pain $10.69 $10.00 $11.25 $11.25 $10.00 ATM IV 85.7% 34.5% 195.6% 34.5% 132.3% Expected Move 20.4% 8.4% 37.9% 9.9% 37.9% HV 20d 32.9% 26.5% 35.4% 33.4% 26.5% HV 60d 33.7% 32.7% 34.5% 33.0% 34.5% IV Rank 35.3% 4.9% 100.0% 5.1% 62.4% IV Percentile 70.6% 13.1% 100.0% 13.1% 99.2% Term Structure -10.1% -52.7% 39.1% -2.2% -52.5% VWIV 62.4% 31.0% 120.3% 35.8% 120.3% Skew 25d 29.3% -44.8% 94.6% 0.9% 54.7% Skew 10d 2.3% -101.6% 109.7% -0.1% 7.9% Call IV 25d 76.0% 26.0% 164.5% 34.0% 122.5% Put IV 25d 105.2% 33.5% 177.2% 34.9% 177.2% Bid-Ask Spread % 134.27 91.77 146.96 114.53 145.73 Gamma HHI 0.44 0.33 0.70 0.39 0.40 Net GEX 2.6K -409 6.2K 1.5K 5.5K Net DEX -62.1K -240.5K 41.6K -10.3K -240.5K Net VEX -675 -1.3K -329 -497 -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.00 1.72 1.54 0.83 Total Volume 136.9 0 340 132 172 Total OI 394.2 296 660 296 644
Daily Data (20 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 2015-05-01 $11.21 $11.25 34.5% 9.9% 33.4% 5.1% 35.8% 0.9% -2.2% 1.5K -10.3K -497 1.54 114.53 N/A N/A 52 80 198 98 2015-05-04 $11.21 $11.25 92.3% 8.4% 33.3% 44.7% 0.0% 4.8% 2.6% 3.1K -9.8K -477 0.00 106.61 N/A N/A 6 0 196 100 2015-05-05 $10.88 $11.25 34.6% 8.8% 34.2% 5.2% 31.0% -0.5% 3.7% 1.1K 5.4K -449 1.54 91.77 N/A N/A 52 80 196 100 2015-05-06 $10.97 $11.25 55.0% 11.3% 33.1% 19.2% 35.4% 10.2% 20.5% 1.3K -12.8K -530 1.54 137.78 N/A N/A 52 80 196 100 2015-05-07 $11.06 $11.25 195.6% 18.0% 33.1% 100.0% 50.2% 1.7% 27.0% 1.5K -47.5K -588 1.54 142.65 N/A N/A 52 80 196 100 2015-05-08 $10.97 $11.25 63.5% 9.9% 32.8% 21.6% 0.0% -44.8% 13.1% 1.1K -5.4K -488 0.00 126.76 N/A N/A 6 0 196 100 2015-05-11 $10.97 $11.25 72.8% 17.2% 31.7% 27.1% 0.0% 16.6% 2.6% -409 6.0K -447 0.00 136.37 N/A N/A 0 20 202 100 2015-05-12 $10.71 $11.25 76.7% 12.0% 32.4% 29.4% 41.8% 17.1% -2.5% 1.5K 16.4K -438 1.72 139.92 N/A N/A 58 100 202 120 2015-05-13 $10.39 $11.25 101.4% 29.1% 32.6% 44.1% 45.6% 61.2% -21.3% 1.6K -3.0K -538 1.72 142.07 N/A N/A 58 100 202 120 2015-05-14 $10.74 $11.25 95.1% 27.3% 35.3% 40.4% 109.2% 17.5% -32.4% 1.2K -24.1K -548 1.72 137.76 N/A N/A 58 100 202 120 2015-05-15 $10.51 $11.25 35.3% 10.1% 35.4% 4.9% 33.4% -1.6% 2.1% 741 41.6K -329 1.23 125.54 N/A N/A 80 98 202 120 2015-05-18 $10.54 $10.00 77.0% 22.1% 34.8% 29.6% 0.0% 56.3% -31.7% 2.4K -67.0K -581 0.00 146.96 N/A N/A 0 0 220 102 2015-05-19 $10.30 $10.00 117.8% 33.8% 34.7% 53.8% 0.0% 59.0% -33.6% 1.8K -26.3K -525 0.00 143.88 N/A N/A 20 0 220 102 2015-05-20 $10.25 $10.00 112.8% 32.3% 34.6% 50.9% 95.5% 14.9% -45.8% 3.3K -32.4K -497 0.85 144.24 N/A N/A 92 78 240 102 2015-05-21 $10.38 $10.00 92.1% 26.4% 33.6% 38.6% 70.6% 94.6% -37.6% 2.5K -55.4K -614 0.30 143.34 N/A N/A 262 78 256 102 2015-05-22 $10.29 $10.00 75.4% 21.6% 32.9% 28.7% 53.1% 72.0% 39.1% 5.1K -155.8K -1.0K 0.50 139.79 N/A N/A 156 78 444 122 2015-05-26 $10.22 $10.00 128.9% 37.0% 32.0% 60.4% 119.8% 2.4% -52.7% 5.3K -227.1K -1.3K 0.46 145.02 N/A N/A 168 78 538 122 2015-05-27 $10.28 $10.00 63.4% 18.2% 29.9% 21.6% 52.1% 87.8% -10.5% 6.1K -204.1K -1.3K 0.83 143.01 N/A N/A 94 78 538 122 2015-05-28 $10.51 $10.00 58.7% 16.8% 31.0% 18.8% 41.7% 60.4% 9.5% 6.2K -190.4K -1.1K 0.83 131.74 N/A N/A 94 78 522 122 2015-05-29 $10.37 $10.00 132.3% 37.9% 26.5% 62.4% 120.3% 54.7% -52.5% 5.5K -240.5K -1.2K 0.83 145.73 N/A N/A 94 78 522 122
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