FIZZ Options History — December 2015

In December 2015, FIZZ traded between $20.47 and $23.91. ATM implied volatility averaged 64.8%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 5.7% (HV 20d: 59.1%). Max pain ranged from $10.00 to $20.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2015-12-17: Highest Volume — 1,412 contracts
  • 2015-12-10: Largest IV spike — 53.8% change
  • 2015-12-08: Highest IV Rank — 30.8%
  • 2015-12-14: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.28$20.47$23.91$20.61$22.79
Max Pain$15.80$10.00$20.00$17.50$20.00
ATM IV64.8%48.5%85.0%51.1%73.0%
Expected Move17.5%11.0%22.0%14.7%20.9%
HV 20d59.1%46.6%65.9%54.7%48.2%
HV 60d44.7%42.2%45.8%43.0%45.3%
IV Rank20.1%11.4%30.8%12.8%24.4%
IV Percentile51.4%30.2%73.8%33.3%63.9%
Term Structure-0.2%-14.8%18.6%0.6%-11.2%
VWIV67.0%42.6%95.3%42.6%83.2%
Skew 25d-1.9%-50.0%26.3%10.2%-50.0%
Skew 10d-7.2%-65.6%40.9%6.5%-65.6%
Call IV 25d70.3%36.0%119.8%41.0%115.6%
Put IV 25d68.3%49.0%101.7%51.2%65.6%
Bid-Ask Spread %107.2690.37121.59118.25109.29
Gamma HHI0.390.220.710.500.54
Net GEX27.8K-42.5K108.6K60.6K-42.5K
Net DEX-1.7M-3.1M575.9K-2.1M575.9K
Net VEX-7.9K-18.5K-3.7K-3.7K-18.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.231.510.660.58
Total Volume966.7271061,412106818
Total OI2,957.8182,1104,9722,1104,972

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$20.61$17.5051.1%14.7%54.7%12.8%42.6%10.2%0.6%60.6K-2.1M-3.7K0.66118.25N/AN/A64421,746364
2015-12-02$20.57$17.5049.5%14.2%54.6%11.9%45.2%7.3%-12.7%57.6K-2.1M-4.0K0.23104.48N/AN/A9422161,788406
2015-12-03$20.47$10.0065.7%11.0%53.8%20.6%43.5%14.0%0.2%51.6K-2.0M-4.1K0.23121.59N/AN/A9262161,786436
2015-12-04$21.16$10.0060.8%15.6%54.5%17.9%48.3%25.5%-5.4%58.3K-2.2M-4.0K0.23116.25N/AN/A9382161,790436
2015-12-07$21.27$10.0076.4%15.1%54.4%26.2%44.7%10.4%0.3%63.6K-2.4M-4.1K1.00105.58N/AN/A54541,782436
2015-12-08$22.89$10.0085.0%16.6%59.2%30.8%54.4%-2.4%-1.9%53.0K-3.0M-4.3K0.43103.12N/AN/A6382741,822448
2015-12-09$23.05$10.0048.5%13.9%59.2%11.4%53.9%-13.1%18.6%48.9K-3.1M-4.5K1.06100.10N/AN/A5625941,828548
2015-12-10$22.14$15.0074.6%21.4%61.9%25.3%86.2%13.6%-0.6%30.3K-2.3M-6.3K0.74105.81N/AN/A7445521,824970
2015-12-11$22.89$15.0063.9%18.3%58.3%19.6%69.5%21.9%-5.5%17.0K-2.4M-7.2K0.52102.47N/AN/A6903601,8661,232
2015-12-14$21.69$15.0076.6%22.0%62.8%26.4%95.3%-9.7%5.4%11.2K-1.5M-8.0K0.62106.64N/AN/A5103181,8061,282
2015-12-15$22.36$15.0052.4%15.0%63.3%13.5%53.8%10.2%4.2%16.9K-1.6M-7.6K0.52103.02N/AN/A8004121,6961,304
2015-12-16$22.01$17.5049.1%14.1%63.8%11.7%52.3%16.3%15.3%20.5K-1.5M-8.1K0.56106.92N/AN/A6983921,9041,364
2015-12-17$21.86$17.5071.9%20.6%64.0%23.9%77.3%-1.5%-12.2%108.6K-1.7M-8.1K0.36110.08N/AN/A1,0363761,9101,368
2015-12-18$22.00$17.5070.0%20.1%63.7%22.8%63.7%9.5%-13.3%10.6K-1.2M-7.8K0.56102.79N/AN/A7544201,9041,376
2015-12-21$22.07$17.5072.1%20.7%63.8%23.9%79.1%26.3%-5.9%14.9K-1.4M-8.2K0.56105.06N/AN/A5262941,6221,104
2015-12-22$23.25$17.5056.7%16.2%65.5%15.8%75.9%-12.4%18.5%14.7K-1.6M-8.4K0.88112.53N/AN/A5144521,6421,140
2015-12-23$23.03$17.5069.1%19.8%65.9%22.4%80.8%11.1%-2.4%11.9K-1.8M-8.9K0.81110.37N/AN/A5364321,6641,292
2015-12-24$23.20$17.5070.8%20.3%65.8%23.3%92.7%-43.8%10.1%8.8K-1.6M-9.9K0.58111.34N/AN/A5363121,6921,422
2015-12-28$23.54$20.0053.9%15.5%65.8%14.3%49.6%-4.8%-1.8%12.1K-1.4M-9.0K0.7590.37N/AN/A5364001,5521,424
2015-12-29$23.91$20.0066.6%19.1%50.4%21.1%89.8%-32.8%-14.8%12.4K-1.4M-10.6K1.51107.82N/AN/A5027561,6361,574
2015-12-30$23.45$20.0067.5%19.3%46.6%21.5%92.4%-47.8%11.0%-30.0K152.8K-18.5K0.71105.74N/AN/A5023541,6823,232
2015-12-31$22.79$20.0073.0%20.9%48.2%24.4%83.2%-50.0%-11.2%-42.5K575.9K-18.1K0.58109.29N/AN/A5183001,6783,294