FIZZ Options History — March 2016

In March 2016, FIZZ traded between $19.19 and $21.59. ATM implied volatility averaged 52.2%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 6.2% (HV 20d: 46.0%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.03.

Notable Days

  • 2016-03-23: Highest Volume — 622 contracts
  • 2016-03-02: Largest IV drop — 24.0% change
  • 2016-03-01: Highest IV Rank — 29.1%
  • 2016-03-01: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.49$19.19$21.59$19.64$21.23
Max Pain$22.05$17.50$22.50$17.50$22.50
ATM IV52.2%39.1%81.7%81.7%45.2%
Expected Move14.3%11.2%23.4%23.4%13.0%
HV 20d46.0%29.2%54.6%54.5%45.8%
HV 60d51.2%48.3%52.7%51.8%49.1%
IV Rank13.4%6.4%29.1%29.1%9.7%
IV Percentile28.8%10.7%69.0%69.0%20.6%
Term Structure-4.6%-28.7%6.7%-28.7%6.7%
VWIV52.1%39.9%81.7%81.7%46.9%
Skew 25d8.0%-1.7%31.3%19.9%-0.0%
Skew 10d14.4%-18.3%50.9%12.4%2.2%
Call IV 25d47.1%39.1%62.3%62.3%44.6%
Put IV 25d55.1%43.0%82.2%82.2%44.6%
Bid-Ask Spread %94.3088.10103.5199.4793.24
Gamma HHI0.280.230.310.300.31
Net GEX-23.7K-52.3K-1.1K-13.7K-52.3K
Net DEX1.0M86.1K1.6M1.3M1.1M
Net VEX-8.3K-9.7K-7.0K-8.7K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.030.664.180.661.47
Total Volume493.909398622422470
Total OI4,274.6363,9864,4324,1184,360

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$19.64$17.5081.7%23.4%54.5%29.1%81.7%19.9%-28.7%-13.7K1.3M-8.7K0.6699.47N/AN/A2541682,0002,118
2016-03-02$19.34$17.5062.1%17.8%54.6%18.6%64.5%4.2%-9.4%-11.9K1.4M-8.3K0.7491.79N/AN/A2541882,0022,118
2016-03-03$19.39$22.5062.3%17.3%54.3%18.7%61.9%1.2%-13.7%-10.1K971.3K-9.0K1.4799.91N/AN/A2503682,0022,098
2016-03-04$19.78$22.5062.2%15.8%52.0%18.7%56.5%7.1%-5.3%-12.8K1.2M-9.1K1.3689.67N/AN/A2383242,0262,180
2016-03-07$19.37$22.5070.3%14.8%42.9%23.0%53.9%9.9%-3.0%-19.1K1.4M-8.2K0.9293.98N/AN/A2382202,0302,292
2016-03-08$19.50$22.5071.2%14.3%37.4%23.5%55.8%31.3%-1.5%-17.8K1.6M-7.9K0.9590.73N/AN/A2382262,0302,284
2016-03-09$19.57$22.5057.8%16.6%29.2%16.3%57.9%10.2%-9.5%-16.4K1.1M-8.9K1.1896.56N/AN/A1862202,0282,294
2016-03-10$19.19$22.5056.4%16.2%29.4%15.6%57.7%9.8%-3.1%-19.1K1.5M-8.0K1.2388.87N/AN/A1982442,0342,300
2016-03-11$21.34$22.5043.0%12.3%46.6%8.5%47.9%8.5%3.2%-7.1K289.4K-9.6K1.3690.59N/AN/A2223022,0502,248
2016-03-14$21.59$22.5045.1%12.9%45.3%9.6%48.9%13.8%2.8%-9.9K86.1K-9.7K2.1394.00N/AN/A1583362,0802,290
2016-03-15$20.64$22.5045.5%13.0%48.5%9.8%50.9%13.0%-1.2%-9.4K855.7K-8.6K2.6193.50N/AN/A1503922,0682,324
2016-03-16$20.56$22.5041.4%11.9%48.4%7.6%59.7%4.2%1.8%-1.1K583.7K-8.1K2.53101.18N/AN/A1503802,0702,318
2016-03-17$21.00$22.5046.9%13.4%48.2%10.6%54.7%-1.7%-6.4%-10.2K396.7K-8.9K2.3193.35N/AN/A1503462,0702,358
2016-03-18$21.04$22.5045.7%13.1%47.4%9.9%44.4%6.4%-5.4%-22.9K545.0K-8.2K2.8694.31N/AN/A1524342,0742,358
2016-03-21$21.20$22.5053.8%15.4%46.8%14.2%48.7%4.5%-16.7%-25.8K818.2K-8.4K2.1688.10N/AN/A1262721,7942,192
2016-03-22$21.02$22.5042.8%12.3%46.7%8.4%42.5%9.8%-4.4%-33.0K1.1M-7.7K4.0296.98N/AN/A1204821,7982,210
2016-03-23$20.84$22.5042.2%12.1%46.5%8.1%41.3%6.2%1.0%-45.7K1.6M-7.4K4.18103.51N/AN/A1205021,8262,436
2016-03-24$20.80$22.5042.3%12.1%46.5%8.1%42.8%5.8%2.6%-43.1K1.3M-8.3K2.6197.43N/AN/A1142981,8302,458
2016-03-28$21.32$22.5041.3%11.9%47.0%7.6%44.2%3.8%-4.4%-43.3K963.9K-7.9K3.2695.68N/AN/A1223981,8462,444
2016-03-29$21.14$22.5049.5%14.2%47.2%12.0%44.1%4.9%-9.3%-45.5K1.1M-7.6K2.6990.69N/AN/A1183181,8502,476
2016-03-30$21.27$22.5039.1%11.2%46.3%6.4%39.9%3.8%2.3%-50.7K1.0M-7.8K2.0091.12N/AN/A1402801,8542,524
2016-03-31$21.23$22.5045.2%13.0%45.8%9.7%46.9%-0.0%6.7%-52.3K1.1M-7.0K1.4793.24N/AN/A1902801,8342,526