FIZZ Options History — September 2015

In September 2015, FIZZ traded between $13.02 and $15.38. ATM implied volatility averaged 64.1%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 30.6% (HV 20d: 33.4%). 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 0.68.

Notable Days

  • 2015-09-29: Highest Volume — 570 contracts
  • 2015-09-30: Largest IV spike — 125.2% change
  • 2015-09-04: Highest IV Rank — 100.0%
  • 2015-09-01: Largest Expected Move — 34.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.16$13.02$15.38$13.02$15.38
Max Pain$10.24$10.00$12.50$12.50$10.00
ATM IV64.1%27.0%215.2%120.0%77.4%
Expected Move15.4%7.7%34.4%34.4%22.2%
HV 20d33.4%27.7%39.8%29.2%39.4%
HV 60d27.0%23.8%30.6%24.2%30.5%
IV Rank20.4%0.0%100.0%55.1%26.8%
IV Percentile39.1%0.0%100.0%93.3%68.7%
Term Structure-6.6%-71.9%27.5%-37.8%-43.5%
VWIV57.8%23.6%122.8%103.4%86.2%
Skew 25d15.6%-58.2%63.3%63.3%-58.2%
Skew 10d40.4%-33.9%117.5%117.5%98.0%
Call IV 25d51.6%23.3%126.8%97.6%126.8%
Put IV 25d67.2%22.6%161.0%161.0%68.6%
Bid-Ask Spread %125.65109.42135.96119.11124.68
Gamma HHI0.540.390.790.520.43
Net GEX12.0K7.8K23.9K7.8K13.0K
Net DEX-894.1K-1.2M-618.6K-618.6K-1.2M
Net VEX-1.1K-1.7K-641-1.2K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.0010.000.120.30
Total Volume465.52422570506530
Total OI1,003.2388021,2268021,226

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$13.02$12.50120.0%34.4%29.2%55.1%103.4%63.3%-37.8%7.8K-618.6K-1.2K0.12119.11N/AN/A45254678124
2015-09-02$13.39$12.50115.3%33.1%30.4%52.4%122.8%-1.9%-71.9%10.3K-706.7K-1.1K0.17133.31N/AN/A42474740124
2015-09-03$13.35$10.0099.7%18.9%30.6%43.1%74.1%-0.0%-13.5%8.3K-712.6K-1.3K0.19135.96N/AN/A40476746144
2015-09-04$13.57$10.00215.2%20.5%30.6%100.0%57.8%25.6%-26.8%9.5K-733.4K-1.2K0.21121.10N/AN/A35476746144
2015-09-08$14.11$10.0073.2%8.8%31.9%24.5%23.6%44.5%27.5%10.3K-825.5K-1.1K0.00129.96N/AN/A340766144
2015-09-09$13.81$10.0031.8%9.1%33.4%2.5%48.3%42.2%-5.4%8.5K-893.7K-6410.20117.48N/AN/A38076798144
2015-09-10$14.04$10.0042.5%12.2%31.2%8.2%52.5%40.9%8.3%12.7K-849.2K-9120.18130.41N/AN/A41876816144
2015-09-11$14.18$10.0033.0%9.5%29.6%3.2%45.3%45.5%2.7%12.3K-906.3K-1.2K0.20120.79N/AN/A42086856144
2015-09-14$13.98$10.0043.4%12.5%29.6%8.7%47.3%24.7%17.9%11.9K-866.0K-1.2K0.21133.40N/AN/A41486856164
2015-09-15$14.21$10.0044.8%12.9%29.2%9.5%95.5%46.2%11.3%12.8K-916.9K-1.1K10.00129.56N/AN/A220858164
2015-09-16$14.47$10.0045.9%13.2%28.4%10.0%44.4%9.4%-4.5%13.0K-935.9K-1.0K0.25120.34N/AN/A420106858184
2015-09-17$14.70$10.0048.9%14.0%27.7%11.6%41.3%42.2%3.6%14.2K-941.0K-1.2K0.26129.28N/AN/A420110840184
2015-09-18$13.91$10.0048.2%13.8%35.7%11.2%54.5%39.9%-8.1%10.9K-862.0K-1.1K0.26132.88N/AN/A416110840184
2015-09-21$14.37$10.0032.5%9.3%36.7%2.9%37.8%21.2%3.1%11.2K-942.1K-6680.26128.08N/AN/A412106834184
2015-09-22$14.09$10.0027.0%7.7%37.2%0.0%38.8%4.4%2.1%13.3K-882.5K-1.0K0.26109.42N/AN/A412106852184
2015-09-23$14.33$10.0033.0%9.5%37.4%3.2%32.0%-17.4%3.9%14.6K-905.2K-1.1K0.26116.00N/AN/A406106852184
2015-09-24$14.60$10.0052.5%15.1%36.1%13.6%49.8%7.7%10.7%13.5K-926.1K-1.4K0.25121.59N/AN/A416104854184
2015-09-25$14.14$10.0058.2%16.7%38.3%16.6%61.0%-23.0%7.2%8.6K-948.1K-8100.23130.09N/AN/A462104864186
2015-09-28$14.70$10.0068.7%19.7%39.8%22.1%63.8%-31.7%-21.1%12.2K-1.1M-1.2K0.24124.93N/AN/A430104920186
2015-09-29$14.98$10.0034.4%9.9%39.6%3.9%33.6%2.2%-4.6%23.9K-1.2M-1.2K0.27130.37N/AN/A450120982186
2015-09-30$15.38$10.0077.4%22.2%39.4%26.8%86.2%-58.2%-43.5%13.0K-1.2M-1.7K0.30124.68N/AN/A4081221,022204