FIZZ Options History — February 2016

In February 2016, FIZZ traded between $16.68 and $20.36. ATM implied volatility averaged 76.5%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded above realized volatility by 22.0% (HV 20d: 54.5%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2016-02-05: Highest Volume — 1,596 contracts
  • 2016-02-05: Largest IV spike — 135.1% change
  • 2016-02-05: Highest IV Rank — 48.8%
  • 2016-02-02: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.49$16.68$20.36$20.21$19.07
Max Pain$18.50$17.50$22.50$22.50$17.50
ATM IV76.5%50.6%118.9%83.4%83.0%
Expected Move21.5%16.6%28.4%23.9%23.8%
HV 20d54.5%48.1%62.6%53.8%53.3%
HV 60d56.0%51.5%58.6%52.0%51.5%
IV Rank26.3%12.5%48.8%30.0%29.7%
IV Percentile59.8%27.4%92.1%70.6%69.8%
Term Structure-10.2%-49.7%14.5%-25.3%-14.8%
VWIV80.7%62.5%110.7%79.8%93.6%
Skew 25d20.9%-21.9%59.6%59.6%28.8%
Skew 10d17.0%-31.9%62.9%-7.4%8.3%
Call IV 25d67.8%55.6%115.2%61.4%64.8%
Put IV 25d88.6%59.9%130.9%121.0%93.5%
Bid-Ask Spread %92.7165.94118.06108.84100.87
Gamma HHI0.350.270.500.500.27
Net GEX-17.4K-36.7K-7.6K-32.2K-7.6K
Net DEX1.8M857.1K2.7M1.6M857.1K
Net VEX-10.3K-15.0K-7.8K-15.0K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.553.340.770.66
Total Volume742.64221,596648422
Total OI4,449.33,9944,8584,6264,110

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$20.21$22.5083.4%23.9%53.8%30.0%79.8%59.6%-25.3%-32.2K1.6M-15.0K0.77108.84N/AN/A3662821,8342,792
2016-02-02$20.36$22.5099.2%28.4%48.1%38.3%110.7%59.0%-31.6%-36.7K1.9M-14.7K0.65106.63N/AN/A3782461,8702,818
2016-02-03$19.95$22.5089.8%25.7%48.1%33.3%82.8%33.3%-49.7%-32.5K1.9M-14.2K0.68106.20N/AN/A4122801,8902,782
2016-02-04$19.04$20.0050.6%21.5%50.2%12.5%74.3%24.9%-6.5%-34.7K2.3M-13.2K0.5591.11N/AN/A5062761,9182,806
2016-02-05$17.56$20.00118.9%24.1%54.5%48.8%74.5%23.6%-14.2%-20.4K2.7M-10.3K3.3492.21N/AN/A3681,2282,0602,798
2016-02-08$16.68$17.5099.2%20.8%55.4%38.4%77.7%21.2%-5.8%-11.1K2.2M-8.2K1.1582.93N/AN/A5005762,0902,322
2016-02-09$17.90$17.5072.6%23.0%62.1%24.2%83.1%20.0%-11.1%-14.6K2.0M-9.7K0.9980.09N/AN/A4504462,0662,434
2016-02-10$17.59$17.5077.8%22.3%62.1%27.0%87.8%48.1%11.4%-11.7K2.0M-9.5K0.77101.70N/AN/A4963822,1502,390
2016-02-11$17.88$17.5089.3%25.6%62.6%33.1%90.6%24.6%-27.2%-12.6K1.8M-10.1K0.7384.29N/AN/A5423982,1522,374
2016-02-12$17.50$17.5064.1%18.4%62.0%19.7%102.5%-21.9%14.5%-10.5K1.3M-11.0K0.73118.06N/AN/A5584082,1402,418
2016-02-16$18.09$17.5073.7%21.1%55.9%24.8%77.7%20.0%-11.4%-14.0K1.7M-9.4K0.7983.49N/AN/A4723722,1502,394
2016-02-17$17.95$17.5066.7%19.1%51.4%21.1%74.7%11.3%-4.7%-11.1K1.6M-9.2K0.7890.24N/AN/A4003102,2482,356
2016-02-18$17.75$17.5061.0%17.5%51.4%18.0%66.5%4.7%-2.8%-22.3K2.1M-8.4K0.8065.94N/AN/A3823062,2982,376
2016-02-19$18.32$17.5071.8%20.6%53.1%23.8%72.9%13.7%-9.3%-14.4K1.8M-8.7K0.7081.73N/AN/A3842682,3002,360
2016-02-22$18.07$17.5072.8%20.9%51.8%24.3%83.1%15.4%7.8%-14.3K1.9M-7.8K1.1092.62N/AN/A2622881,9022,148
2016-02-23$18.55$17.5068.8%19.7%53.1%22.2%69.6%9.2%-12.1%-13.1K1.6M-8.3K1.0885.40N/AN/A2943181,9142,080
2016-02-24$18.98$17.5065.2%18.7%54.0%20.3%76.4%9.7%-0.9%-10.9K1.3M-9.3K0.6098.79N/AN/A2641581,9642,094
2016-02-25$19.19$17.5058.1%16.6%53.9%16.5%62.5%1.8%-3.3%-11.9K1.3M-9.3K0.6289.98N/AN/A2661661,9802,108
2016-02-26$19.09$17.5063.8%18.3%53.4%19.5%73.0%10.3%-6.4%-11.3K1.3M-9.2K0.6693.03N/AN/A2541681,9962,104
2016-02-29$19.07$17.5083.0%23.8%53.3%29.7%93.6%28.8%-14.8%-7.6K857.1K-10.1K0.66100.87N/AN/A2541682,0002,110