FIZZ Options History — November 2015

In November 2015, FIZZ traded between $17.92 and $21.73. ATM implied volatility averaged 43.8%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 11.8% (HV 20d: 32.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2015-11-30: Highest Volume — 1,228 contracts
  • 2015-11-04: Largest IV spike — 104.3% change
  • 2015-11-04: Highest IV Rank — 20.6%
  • 2015-11-04: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.69$17.92$21.73$19.07$21.73
Max Pain$17.13$15.00$17.50$15.00$17.50
ATM IV43.8%32.1%65.7%38.3%58.9%
Expected Move12.5%9.2%18.8%11.0%16.9%
HV 20d32.0%25.3%50.4%33.1%50.4%
HV 60d34.5%33.0%41.2%34.4%41.2%
IV Rank8.9%2.7%20.6%6.0%17.0%
IV Percentile23.1%2.4%53.6%17.9%43.7%
Term Structure-3.6%-17.1%19.1%5.3%-17.1%
VWIV47.1%35.6%68.6%47.4%61.7%
Skew 25d11.3%-3.9%50.6%14.8%-2.7%
Skew 10d31.4%-4.3%92.6%14.1%-4.3%
Call IV 25d40.6%25.3%82.7%36.2%61.9%
Put IV 25d51.9%35.6%100.2%51.0%59.2%
Bid-Ask Spread %115.67104.72128.73111.14104.72
Gamma HHI0.510.390.650.450.45
Net GEX24.5K21.5K30.4K21.8K28.7K
Net DEX-1.5M-2.1M-1.2M-1.6M-2.1M
Net VEX-2.7K-3.4K-2.3K-2.6K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.004.670.160.07
Total Volume626.2221,2286521,228
Total OI1,765.71,4201,9501,6901,498

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$19.07$15.0038.3%11.0%33.1%6.0%47.4%14.8%5.3%21.8K-1.6M-2.6K0.16111.14N/AN/A562901,210480
2015-11-03$18.95$15.0032.2%9.2%32.2%2.7%35.6%3.6%3.1%21.8K-1.6M-2.6K0.15107.41N/AN/A626921,214482
2015-11-04$18.53$15.0065.7%18.8%34.1%20.6%60.4%14.3%-16.9%23.6K-1.6M-3.2K0.13127.29N/AN/A708921,344484
2015-11-05$18.41$17.5057.0%17.6%30.4%15.9%68.6%17.5%-2.8%22.1K-1.7M-3.4K0.13128.73N/AN/A708921,356484
2015-11-06$18.38$17.5037.1%11.7%29.6%5.4%38.5%17.4%1.2%24.9K-1.5M-2.7K0.56113.75N/AN/A36201,352484
2015-11-09$18.64$17.5036.5%10.2%29.4%5.0%0.0%7.4%14.1%25.4K-1.6M-2.7K0.00112.65N/AN/A4001,348504
2015-11-10$18.75$17.5050.2%11.5%28.9%12.3%49.4%-3.9%0.9%24.7K-1.6M-2.9K0.14114.02N/AN/A7301001,312504
2015-11-11$18.88$17.5037.7%10.8%28.3%5.7%38.6%-1.6%-8.8%30.4K-1.6M-2.9K0.14104.96N/AN/A7301001,362504
2015-11-12$17.92$17.5042.4%12.2%34.8%8.2%38.8%10.3%0.0%24.3K-1.5M-2.8K0.13110.73N/AN/A7601001,428504
2015-11-13$17.98$17.5047.7%13.7%34.8%11.0%53.0%50.6%-12.3%22.1K-1.4M-2.8K0.18122.10N/AN/A6841201,414504
2015-11-16$18.11$17.5039.2%11.2%34.7%6.5%39.1%9.9%3.2%22.5K-1.4M-2.9K0.50112.92N/AN/A20101,406544
2015-11-17$18.05$17.5046.3%13.3%34.6%10.2%45.7%17.6%-16.4%23.0K-1.3M-2.6K0.14124.45N/AN/A7621101,392552
2015-11-18$18.32$17.5042.4%12.2%34.0%8.2%46.8%14.6%-15.6%22.1K-1.5M-2.7K0.16128.04N/AN/A7081101,392552
2015-11-19$18.18$17.5040.9%11.7%33.7%7.4%46.0%4.6%-14.1%21.5K-1.4M-2.4K0.16116.84N/AN/A7081101,392552
2015-11-20$18.32$17.5046.7%13.4%29.1%10.4%47.6%6.2%-11.4%23.2K-1.5M-2.6K0.15110.84N/AN/A7221101,392552
2015-11-23$18.59$17.5040.8%11.7%29.5%7.3%48.1%7.4%-12.2%25.4K-1.2M-2.3K0.00114.64N/AN/A0221,174246
2015-11-24$18.87$17.5039.6%11.3%27.5%6.7%40.4%21.2%19.1%25.2K-1.4M-2.5K4.67120.12N/AN/A6281,174268
2015-11-25$18.93$17.5043.6%12.5%25.3%8.8%52.2%12.9%5.6%27.5K-1.3M-2.7K0.15115.42N/AN/A634981,180296
2015-11-27$19.19$17.5032.1%9.2%25.7%2.7%36.7%4.7%3.5%29.2K-1.4M-2.4K0.15112.53N/AN/A650981,180298
2015-11-30$21.73$17.5058.9%16.9%50.4%17.0%61.7%-2.7%-17.1%28.7K-2.1M-2.4K0.07104.72N/AN/A1,146821,200298