FIZZ Options History — July 2015 In July 2015, FIZZ traded between $11.43 and $12.32. ATM implied volatility averaged 87.2%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 64.6% (HV 20d: 22.6%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.70.
Notable Days 2015-07-16 : Highest Volume — 234 contracts2015-07-07 : Largest IV spike — 253.9% change2015-07-09 : Highest IV Rank — 96.7%2015-07-02 : Largest Expected Move — 41.8%Monthly Statistics Metric Avg Min Max Open Close Price $11.90 $11.43 $12.32 $11.49 $11.87 Max Pain $11.76 $11.25 $12.50 $11.25 $11.25 ATM IV 87.2% 48.5% 190.0% 52.2% 66.1% Expected Move 20.4% 9.2% 41.8% 15.0% 18.9% HV 20d 22.6% 20.1% 25.2% 22.6% 22.6% HV 60d 27.0% 23.9% 28.5% 28.5% 23.9% IV Rank 35.7% 12.7% 96.7% 14.9% 23.2% IV Percentile 65.7% 32.5% 99.6% 38.1% 56.7% Term Structure -14.8% -73.6% 21.8% 14.2% -31.4% VWIV 55.0% 17.6% 107.0% 53.5% 46.8% Skew 25d -16.6% -88.3% 26.2% 11.0% -51.5% Skew 10d 22.0% -111.9% 132.9% -42.6% 17.2% Call IV 25d 92.8% 35.6% 141.2% 35.6% 141.2% Put IV 25d 76.2% 13.2% 134.2% 46.7% 89.7% Bid-Ask Spread % 137.08 115.42 147.91 144.15 142.80 Gamma HHI 0.41 0.28 0.60 0.38 0.35 Net GEX 6.1K 2.6K 15.3K 5.7K 3.3K Net DEX -276.7K -354.3K -227.5K -263.1K -233.5K Net VEX -889 -1.2K -318 -1.1K -807 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.43 0.82 0.75 0.80 Total Volume 174.182 154 234 154 162 Total OI 597.364 486 694 694 490
Daily Data (22 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 2015-07-01 $11.49 $11.25 52.2% 15.0% 22.6% 14.9% 53.5% 11.0% 14.2% 5.7K -263.1K -1.1K 0.75 144.15 N/A N/A 88 66 532 162 2015-07-02 $11.52 $11.25 145.7% 41.8% 21.0% 70.4% 107.0% -88.3% -73.6% 5.2K -316.1K -1.2K 0.61 138.51 N/A N/A 108 66 532 162 2015-07-06 $11.43 $12.50 48.5% 9.2% 21.3% 12.7% 39.6% 3.4% 8.2% 9.0K -251.5K -880 0.61 115.42 N/A N/A 108 66 530 162 2015-07-07 $11.75 $12.50 171.7% 24.5% 23.0% 85.8% 87.8% 26.2% -26.1% 6.8K -320.7K -1.1K 0.66 142.37 N/A N/A 100 66 530 162 2015-07-08 $11.66 $12.50 181.9% 24.6% 22.1% 91.9% 98.4% 19.5% -29.5% 6.0K -297.8K -1.1K 0.67 135.76 N/A N/A 98 66 526 162 2015-07-09 $11.86 $12.50 190.0% 19.3% 20.3% 96.7% 100.9% 12.4% -5.2% 6.9K -301.6K -1.1K 0.67 127.56 N/A N/A 98 66 524 162 2015-07-10 $11.96 $12.50 103.2% 23.1% 20.1% 45.2% 96.3% 25.4% -32.0% 7.6K -298.2K -1.1K 0.67 139.55 N/A N/A 98 66 524 162 2015-07-13 $12.18 $12.50 61.5% 18.5% 20.5% 20.5% 65.2% 20.6% -5.0% 11.5K -337.9K -1.0K 0.69 135.00 N/A N/A 96 66 524 162 2015-07-14 $12.13 $12.50 71.8% 17.1% 20.8% 26.5% 58.8% 14.5% -30.6% 11.2K -354.3K -879 0.43 131.05 N/A N/A 152 66 532 162 2015-07-15 $12.05 $12.50 64.7% 18.6% 21.0% 22.4% 65.3% 13.7% -1.3% 9.6K -300.3K -948 0.46 142.50 N/A N/A 142 66 512 162 2015-07-16 $12.08 $12.50 64.8% 18.6% 20.9% 22.4% 30.6% -22.9% -19.5% 15.3K -327.4K -796 0.54 132.25 N/A N/A 152 82 512 162 2015-07-17 $11.90 $11.25 63.8% 18.3% 21.7% 21.8% 27.4% -14.7% 4.4% 2.6K -246.3K -877 0.54 140.33 N/A N/A 152 82 516 178 2015-07-20 $12.32 $11.25 59.5% 17.0% 24.2% 19.2% 17.6% -74.3% -21.0% 3.2K -230.1K -867 0.82 128.17 N/A N/A 88 72 348 138 2015-07-21 $12.23 $11.25 70.0% 20.1% 24.5% 25.5% 34.2% -34.2% 6.2% 2.9K -249.8K -877 0.82 140.51 N/A N/A 88 72 348 138 2015-07-22 $12.14 $11.25 70.1% 20.1% 24.4% 25.6% 34.1% -31.1% -38.7% 6.4K -299.8K -318 0.80 137.55 N/A N/A 90 72 348 138 2015-07-23 $11.97 $11.25 72.2% 20.7% 25.1% 26.8% 33.8% -27.3% 20.6% 2.8K -246.2K -857 0.80 140.91 N/A N/A 90 72 352 138 2015-07-24 $11.91 $11.25 72.8% 20.9% 25.2% 27.2% 32.7% -28.9% 21.8% 3.1K -245.1K -847 0.80 147.91 N/A N/A 90 72 352 138 2015-07-27 $11.83 $11.25 62.4% 17.9% 25.2% 21.0% 47.5% -42.8% -24.0% 3.2K -227.5K -820 0.80 133.77 N/A N/A 90 72 352 138 2015-07-28 $11.85 $11.25 53.6% 15.4% 24.8% 15.8% 32.3% 3.7% -6.9% 4.2K -231.5K -678 0.80 134.74 N/A N/A 90 72 352 138 2015-07-29 $11.97 $11.25 106.3% 30.5% 23.2% 47.0% 49.6% -51.1% -29.1% 3.8K -258.4K -670 0.80 143.67 N/A N/A 90 72 352 138 2015-07-30 $11.77 $11.25 64.8% 18.6% 22.5% 22.4% 50.0% -49.0% -26.3% 3.0K -249.4K -768 0.80 141.30 N/A N/A 90 72 352 138 2015-07-31 $11.87 $11.25 66.1% 18.9% 22.6% 23.2% 46.8% -51.5% -31.4% 3.3K -233.5K -807 0.80 142.80 N/A N/A 90 72 352 138
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