FIZZ Options History — August 2015

In August 2015, FIZZ traded between $11.74 and $13.21. ATM implied volatility averaged 84.6%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded above realized volatility by 60.7% (HV 20d: 23.8%). Max pain ranged from $11.25 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2015-08-13: Highest Volume — 646 contracts
  • 2015-08-06: Largest IV spike — 204.3% change
  • 2015-08-06: Highest IV Rank — 62.7%
  • 2015-08-31: Largest Expected Move — 33.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.37$11.74$13.21$11.87$13.21
Max Pain$12.32$11.25$12.50$11.25$12.50
ATM IV84.6%32.8%132.7%70.1%116.0%
Expected Move23.0%9.4%33.3%20.1%33.3%
HV 20d23.8%18.2%28.4%22.4%28.4%
HV 60d23.2%21.1%23.9%23.9%23.9%
IV Rank34.1%3.4%62.7%25.5%52.8%
IV Percentile70.9%6.3%96.8%63.1%91.7%
Term Structure-31.4%-90.3%32.5%-40.8%-39.6%
VWIV76.0%33.1%112.2%52.7%94.3%
Skew 25d25.0%-88.9%97.2%-88.9%65.9%
Skew 10d34.3%-110.7%137.8%-110.7%130.1%
Call IV 25d78.4%35.1%134.8%130.0%111.7%
Put IV 25d103.5%25.2%177.6%41.1%177.6%
Bid-Ask Spread %134.15119.13145.93145.93138.12
Gamma HHI0.530.300.720.300.58
Net GEX10.6K2.3K44.2K3.5K6.8K
Net DEX-481.1K-713.7K-230.2K-240.6K-713.7K
Net VEX-846-1.4K-196-766-620
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.000.770.000.14
Total Volume320064620442
Total OI682.476488888490774

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$11.87$11.2570.1%20.1%22.4%25.5%0.0%-88.9%-40.8%3.5K-240.6K-7660.00145.93N/AN/A200352138
2015-08-04$11.94$11.2589.2%25.6%20.3%36.9%52.7%16.8%-90.3%3.6K-235.2K-7350.77132.15N/AN/A9472352138
2015-08-05$11.92$11.2543.6%12.5%20.1%9.8%39.2%-5.2%-3.3%4.8K-281.0K-4520.77132.16N/AN/A9472352138
2015-08-06$11.96$12.50132.7%23.0%19.3%62.7%95.6%8.5%-43.4%5.2K-263.2K-5270.77136.03N/AN/A9472350138
2015-08-07$11.93$12.5068.3%12.7%19.1%24.5%38.1%42.0%32.5%3.3K-242.3K-7160.77129.57N/AN/A9472350138
2015-08-10$11.78$12.5085.0%18.9%18.2%34.4%33.1%-1.0%-57.4%4.0K-230.2K-5850.77128.69N/AN/A9472350138
2015-08-11$11.74$12.5088.7%25.7%18.2%36.6%0.0%8.6%-36.3%3.9K-247.3K-5860.00143.25N/AN/A00350138
2015-08-12$12.23$12.5032.8%9.4%23.5%3.4%34.2%-26.1%3.8%4.8K-282.6K-4610.72119.97N/AN/A10072350138
2015-08-13$12.65$12.5042.6%12.2%26.3%9.2%45.9%4.8%-15.7%2.3K-359.5K-1960.13119.13N/AN/A57472358138
2015-08-14$12.48$12.5088.5%25.4%26.2%36.5%102.0%72.7%-66.8%6.6K-659.0K-9930.15139.60N/AN/A47670734138
2015-08-17$12.77$12.5090.6%26.0%24.5%37.7%100.3%86.1%-29.3%22.2K-641.2K-1.4K0.19138.28N/AN/A37670732140
2015-08-18$12.55$12.5070.4%20.2%25.2%25.7%65.6%-24.5%-18.6%20.7K-636.5K-1.2K0.18127.81N/AN/A39270732140
2015-08-19$12.43$12.5083.5%23.9%25.4%33.5%0.0%74.6%-42.9%31.5K-624.6K-1.3K0.00134.01N/AN/A00748140
2015-08-20$12.53$12.5098.0%28.1%24.8%42.1%112.2%77.6%-69.0%44.2K-626.1K-1.2K0.18142.57N/AN/A39270748140
2015-08-21$12.73$12.5089.5%25.6%25.1%37.0%88.6%40.3%-14.9%7.6K-704.6K-1.2K0.14140.75N/AN/A48670748140
2015-08-24$12.54$12.50102.4%29.3%25.7%44.7%102.5%30.0%-26.9%11.0K-622.3K-8550.14138.94N/AN/A37654648124
2015-08-25$12.66$12.50108.2%31.0%25.8%48.2%108.1%11.4%-29.3%8.4K-583.6K-1.2K0.14140.09N/AN/A37654650124
2015-08-26$12.38$12.5091.4%26.2%27.2%38.2%103.0%97.2%-29.9%10.9K-598.0K-9510.15133.32N/AN/A37254650124
2015-08-27$12.66$12.5076.6%22.0%27.1%29.4%55.9%-11.7%-17.9%7.2K-654.7K-9050.15120.63N/AN/A37254652124
2015-08-28$12.89$12.50108.0%31.0%27.5%48.1%96.0%46.5%-22.4%11.0K-655.7K-9010.15136.19N/AN/A37254652124
2015-08-31$13.21$12.50116.0%33.3%28.4%52.8%94.3%65.9%-39.6%6.8K-713.7K-6200.14138.12N/AN/A38854650124