FIZZ Options History — October 2015

In October 2015, FIZZ traded between $15.26 and $19.24. ATM implied volatility averaged 50.6%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 13.3% (HV 20d: 37.3%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2015-10-16: Highest Volume — 912 contracts
  • 2015-10-05: Largest IV spike — 148.0% change
  • 2015-10-13: Highest IV Rank — 37.3%
  • 2015-10-28: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.17$15.26$19.24$15.26$18.84
Max Pain$14.55$10.00$15.00$10.00$15.00
ATM IV50.6%27.5%97.3%32.3%45.4%
Expected Move11.8%7.9%16.7%9.3%13.0%
HV 20d37.3%32.6%42.1%39.1%34.8%
HV 60d32.5%30.5%34.5%30.6%34.5%
IV Rank12.5%0.2%37.3%2.8%9.8%
IV Percentile31.6%0.8%81.0%5.2%25.8%
Term Structure-1.7%-19.6%29.8%11.0%-14.4%
VWIV42.3%31.8%59.0%31.8%46.9%
Skew 25d-11.1%-60.9%19.7%-59.6%19.7%
Skew 10d0.4%-86.3%89.4%-85.3%17.9%
Call IV 25d56.1%30.2%98.5%92.8%34.8%
Put IV 25d45.0%33.2%67.4%33.2%54.4%
Bid-Ask Spread %117.8494.73129.72126.21123.52
Gamma HHI0.480.230.810.780.45
Net GEX10.0K-94226.8K21.2K19.9K
Net DEX-1.4M-1.7M-989.6K-1.2M-1.6M
Net VEX-2.1K-3.1K-1.4K-1.8K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.000.710.300.14
Total Volume705.182110912528732
Total OI1,508.4551,2601,7681,2601,688

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$15.26$10.0032.3%9.3%39.1%2.8%31.8%-59.6%11.0%21.2K-1.2M-1.8K0.30126.21N/AN/A4061221,034226
2015-10-02$15.37$10.0036.3%10.4%38.9%4.9%35.4%-60.9%5.5%26.8K-1.2M-1.8K0.60128.63N/AN/A4062421,034226
2015-10-05$15.99$15.0090.0%10.6%40.4%33.4%45.5%-14.4%-13.6%8.5K-1.3M-1.7K0.00129.72N/AN/A11001,034378
2015-10-06$15.73$15.0061.9%12.9%39.6%18.5%39.0%9.7%-11.6%13.3K-1.3M-1.9K0.55110.12N/AN/A4762641,062378
2015-10-07$15.76$15.0040.0%12.1%38.4%6.9%36.6%9.5%-8.5%22.7K-1.3M-1.8K0.67112.17N/AN/A4723141,064404
2015-10-08$16.58$15.0062.9%12.6%41.4%19.0%37.6%3.8%2.2%5.7K-1.5M-1.7K0.71108.07N/AN/A4122941,068428
2015-10-09$17.00$15.0086.5%11.7%41.8%31.6%40.0%-2.8%4.2%7.1K-1.4M-2.0K0.69118.01N/AN/A4262941,038450
2015-10-12$17.31$15.0054.9%10.9%41.0%14.8%37.9%-6.4%-0.5%6.1K-1.7M-1.4K0.61106.33N/AN/A5203181,102450
2015-10-13$17.13$15.0097.3%11.1%41.7%37.3%46.9%-25.2%12.2%1.9K-1.5M-2.0K0.53117.76N/AN/A4982661,102612
2015-10-14$16.95$15.0030.8%8.8%42.1%2.0%37.5%-19.8%3.6%1.5K-1.6M-1.6K0.54117.77N/AN/A4982701,112652
2015-10-15$17.09$15.0034.6%9.9%42.0%4.0%43.6%-15.9%13.1%-942-1.5M-2.1K0.50121.25N/AN/A5022501,112656
2015-10-16$17.11$15.0044.5%12.8%35.1%9.3%51.3%2.9%-5.6%-868-1.5M-2.0K0.38116.26N/AN/A6622501,120616
2015-10-19$17.00$15.0027.5%7.9%34.6%0.2%35.5%-1.6%29.8%3.3K-1.0M-2.1K0.15114.66N/AN/A60492862422
2015-10-20$17.21$15.0033.9%9.7%32.9%3.6%35.8%12.3%0.3%4.2K-997.3K-2.1K0.1494.73N/AN/A65490872422
2015-10-21$16.91$15.0038.2%11.0%34.2%6.0%40.6%-3.3%-10.1%4.9K-1.0M-2.2K0.16110.66N/AN/A59894930440
2015-10-22$17.25$15.0048.6%13.9%34.3%11.4%49.1%-36.2%-19.6%6.8K-989.6K-2.2K0.13123.12N/AN/A62478936448
2015-10-23$18.11$15.0047.3%13.6%33.7%10.8%47.0%3.5%-9.2%11.0K-1.4M-2.6K0.12119.65N/AN/A628781,096452
2015-10-26$18.07$15.0042.6%12.2%32.6%8.3%50.4%-43.0%-8.8%12.4K-1.4M-2.9K0.12125.84N/AN/A650781,088452
2015-10-27$18.68$15.0054.7%15.7%33.5%14.7%59.0%-34.0%-14.9%12.0K-1.4M-3.1K0.12127.29N/AN/A650761,094452
2015-10-28$19.24$15.0058.3%16.7%33.7%16.6%36.4%5.0%-1.6%16.3K-1.6M-2.7K0.14124.80N/AN/A664901,094454
2015-10-29$19.09$15.0044.8%12.8%33.7%9.5%47.2%12.4%0.1%17.1K-1.6M-2.7K0.13115.85N/AN/A672901,146480
2015-10-30$18.84$15.0045.4%13.0%34.8%9.8%46.9%19.7%-14.4%19.9K-1.6M-2.8K0.14123.52N/AN/A642901,208480