FIZZ Options History — January 2016

In January 2016, FIZZ traded between $19.13 and $21.69. ATM implied volatility averaged 82.1%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 29.3% (HV 20d: 52.8%). Max pain ranged from $22.50 to $27.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2016-01-15: Highest Volume — 1,464 contracts
  • 2016-01-13: Largest IV drop — 56.6% change
  • 2016-01-12: Highest IV Rank — 90.3%
  • 2016-01-14: Largest Expected Move — 25.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.56$19.13$21.69$21.23$20.48
Max Pain$24.74$22.50$27.50$27.50$22.50
ATM IV82.1%40.3%196.9%83.3%54.2%
Expected Move19.5%11.6%25.4%20.5%15.6%
HV 20d52.8%43.6%57.6%55.2%54.3%
HV 60d50.3%46.9%53.2%48.0%51.9%
IV Rank29.3%7.1%90.3%29.9%14.5%
IV Percentile59.0%15.1%99.6%71.4%32.1%
Term Structure4.3%-19.8%61.5%-2.0%3.4%
VWIV75.6%53.6%92.7%79.1%73.2%
Skew 25d9.1%-23.1%32.3%-0.0%26.9%
Skew 10d1.9%-39.3%66.0%-12.0%5.6%
Call IV 25d68.7%48.8%101.8%73.6%61.7%
Put IV 25d77.8%54.8%111.3%73.6%88.6%
Bid-Ask Spread %101.8691.20114.1595.78102.75
Gamma HHI0.590.480.700.550.50
Net GEX-40.1K-51.5K-30.8K-38.4K-32.1K
Net DEX1.7M738.7K2.8M1.2M1.6M
Net VEX-15.4K-17.3K-13.5K-17.1K-15.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.361.290.490.62
Total Volume864.7375501,464968588
Total OI4,748.8424,1325,1685,0004,620

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$21.23$27.5083.3%20.5%55.2%29.9%79.1%-0.0%-2.0%-38.4K1.2M-17.1K0.4995.78N/AN/A6503181,6983,302
2016-01-05$21.50$27.5071.0%19.5%54.1%23.4%64.4%-4.0%-6.1%-41.5K1.2M-17.0K0.5091.20N/AN/A5902961,7603,278
2016-01-06$21.69$27.5096.1%19.5%54.2%36.7%81.5%-23.1%-10.9%-41.5K1.2M-17.3K0.45114.15N/AN/A5902661,8143,306
2016-01-07$20.57$27.5081.7%23.4%50.2%29.0%74.2%2.5%-9.5%-46.2K1.9M-16.1K0.66100.69N/AN/A5703741,8143,314
2016-01-08$21.02$27.50122.2%20.5%50.9%50.5%85.2%9.7%14.6%-30.8K738.7K-16.4K0.58101.52N/AN/A5703301,8343,328
2016-01-11$20.44$27.50146.7%23.4%49.9%63.6%85.4%25.1%-9.7%-49.6K1.9M-15.2K0.48102.07N/AN/A5502641,8323,316
2016-01-12$20.54$27.50196.9%25.2%48.1%90.3%79.8%10.3%-19.8%-43.7K1.9M-15.2K0.43105.10N/AN/A6022601,8403,300
2016-01-13$20.47$25.0085.4%24.5%44.5%31.0%91.0%15.4%-7.1%-41.1K1.6M-15.2K0.38108.24N/AN/A6942641,8683,300
2016-01-14$20.90$25.0088.8%25.4%43.6%32.8%78.6%-0.7%-13.3%-51.5K1.8M-14.7K0.36104.11N/AN/A6982521,8763,288
2016-01-15$19.13$25.0046.0%13.2%53.1%10.1%73.3%3.8%61.5%-39.4K2.8M-13.5K0.40110.84N/AN/A1,0464181,8723,296
2016-01-19$20.23$22.5054.7%15.7%57.6%14.7%57.1%32.3%-6.7%-44.7K2.2M-14.1K0.43112.69N/AN/A6902981,3922,740
2016-01-20$20.20$22.5074.8%21.5%57.5%25.4%79.6%-8.3%5.1%-35.5K1.7M-15.5K0.39100.92N/AN/A6742621,4662,752
2016-01-21$20.10$22.5056.9%16.3%57.4%15.9%79.8%6.6%6.4%-41.8K2.0M-14.6K0.5691.53N/AN/A6263481,4622,742
2016-01-22$20.66$22.5072.2%20.7%54.9%24.0%92.7%25.6%-12.2%-41.1K1.7M-15.2K0.5299.45N/AN/A6263281,5102,750
2016-01-25$20.59$22.5079.2%22.7%54.9%27.7%83.0%9.5%13.1%-38.1K1.6M-15.1K1.29103.31N/AN/A2403101,5602,740
2016-01-26$20.44$22.5040.3%11.6%54.6%7.1%53.6%17.3%52.7%-33.0K1.6M-15.0K1.0896.88N/AN/A2662861,5782,740
2016-01-27$20.06$22.5053.4%15.3%54.2%14.0%61.3%19.9%16.8%-36.8K1.8M-14.6K0.9295.65N/AN/A3643341,6242,760
2016-01-28$20.43$22.5055.8%16.0%54.4%15.3%63.6%4.3%4.6%-34.5K1.7M-15.4K0.6298.57N/AN/A3622261,7622,794
2016-01-29$20.48$22.5054.2%15.6%54.3%14.5%73.2%26.9%3.4%-32.1K1.6M-15.7K0.62102.75N/AN/A3622261,8282,792