FIZZ Options History — April 2016

In April 2016, FIZZ traded between $20.79 and $23.40. ATM implied volatility averaged 37.9%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 0.2% (HV 20d: 38.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.96.

Notable Days

  • 2016-04-22: Highest Volume — 2,218 contracts
  • 2016-04-22: Largest IV drop — 23.6% change
  • 2016-04-12: Highest IV Rank — 9.1%
  • 2016-04-21: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.38$20.79$23.40$21.80$23.40
Max Pain$21.07$20.00$22.50$22.50$22.50
ATM IV37.9%33.7%44.2%38.9%39.6%
Expected Move10.7%9.7%12.7%11.2%11.3%
HV 20d38.1%27.1%48.9%46.4%41.4%
HV 60d46.9%43.6%49.8%49.3%47.1%
IV Rank5.8%3.6%9.1%6.3%6.7%
IV Percentile11.2%4.4%23.4%10.7%17.5%
Term Structure-0.4%-9.2%4.6%-3.9%-0.9%
VWIV39.8%34.7%44.9%41.0%43.9%
Skew 25d4.3%-0.4%15.1%2.9%4.4%
Skew 10d13.0%-1.4%36.0%1.6%6.4%
Call IV 25d37.4%28.1%40.6%40.6%39.2%
Put IV 25d41.8%33.8%47.1%43.4%43.6%
Bid-Ask Spread %90.9181.13104.9586.2092.65
Gamma HHI0.330.220.450.320.43
Net GEX-14.4K-72.9K54.4K-60.2K54.4K
Net DEX-292.8K-1.5M1.4M688.1K-1.5M
Net VEX-7.3K-11.9K-4.7K-6.9K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.395.131.601.30
Total Volume635.7143602,218474446
Total OI3,654.0951,9384,5704,4323,628

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$21.80$22.5038.9%11.2%46.4%6.3%41.0%2.9%-3.9%-60.2K688.1K-6.9K1.6086.20N/AN/A1822921,8562,576
2016-04-04$22.63$20.0039.0%10.5%47.5%6.3%37.3%3.8%-4.7%-50.8K-411.1K-7.0K1.6083.70N/AN/A2443901,9362,574
2016-04-05$21.95$20.0037.2%11.1%48.3%5.4%38.2%5.8%-4.5%-49.8K241.5K-7.2K1.0791.25N/AN/A2742941,8762,478
2016-04-06$22.14$20.0038.4%10.4%48.3%6.1%39.1%2.3%2.8%-41.7K43.5K-7.4K1.0498.79N/AN/A2442541,9142,432
2016-04-07$21.86$20.0041.8%11.0%48.7%7.9%39.8%5.9%1.2%-38.1K378.0K-7.2K1.0388.38N/AN/A2362421,9162,414
2016-04-08$22.64$20.0038.3%10.9%48.9%6.0%39.5%4.5%-0.8%-34.4K-735.6K-6.9K0.9990.84N/AN/A2042021,9162,406
2016-04-11$22.50$20.0041.1%10.9%32.5%7.5%40.2%5.7%3.1%-42.8K-631.6K-6.3K1.5487.07N/AN/A2143301,8742,412
2016-04-12$22.56$20.0044.2%11.0%32.3%9.1%39.1%6.5%2.7%-44.4K-709.4K-6.6K1.6883.62N/AN/A2023401,9642,550
2016-04-13$22.57$20.0035.8%10.3%27.1%4.6%38.6%4.2%4.6%-68.7K-661.0K-6.1K2.0193.95N/AN/A2024061,9602,590
2016-04-14$22.23$20.0036.0%10.3%27.9%4.8%34.9%5.8%2.5%-72.9K579.6K-5.5K1.8987.47N/AN/A1863521,9602,610
2016-04-15$22.37$20.0035.1%10.1%27.1%4.3%38.8%2.8%3.5%3.5K1.4M-4.7K5.1397.57N/AN/A784001,9622,592
2016-04-18$22.55$20.0035.4%10.1%27.2%4.4%37.3%-0.4%2.6%6.6K-257.5K-4.9K4.6381.13N/AN/A642968441,094
2016-04-19$22.44$20.0034.9%10.0%27.3%4.2%34.7%-0.4%-1.7%5.2K-249.8K-4.7K3.0093.96N/AN/A1564688481,122
2016-04-20$21.72$22.5037.5%10.7%29.8%5.5%38.2%3.6%-3.0%-9.6K95.0K-5.1K2.8897.50N/AN/A1664789001,246
2016-04-21$20.79$22.5044.2%12.7%33.8%9.1%42.8%8.9%-9.2%-16.1K334.0K-5.2K3.8293.84N/AN/A1204589101,258
2016-04-22$22.14$22.5033.7%9.7%40.4%3.6%40.7%15.1%0.5%-11.3K65.7K-4.9K0.3987.28N/AN/A1,5926269101,294
2016-04-25$22.97$22.5036.1%10.4%41.5%4.8%40.5%0.2%-0.3%32.8K-1.0M-10.2K0.5389.63N/AN/A6723561,7601,458
2016-04-26$22.98$22.5036.5%10.5%41.3%5.1%43.0%4.3%-1.3%44.0K-1.1M-11.7K1.6287.27N/AN/A2123442,0381,490
2016-04-27$23.02$22.5036.1%10.4%41.3%4.8%44.9%1.4%-0.6%47.7K-1.3M-11.9K1.79104.95N/AN/A1983542,0841,480
2016-04-28$22.80$22.5036.1%10.4%41.5%4.8%43.7%3.5%-1.1%45.1K-1.3M-11.9K1.6792.13N/AN/A2163602,1101,494
2016-04-29$23.40$22.5039.6%11.3%41.4%6.7%43.9%4.4%-0.9%54.4K-1.5M-11.6K1.3092.65N/AN/A1942522,1081,520