FIZZ Options History — May 2016

In May 2016, FIZZ traded between $23.63 and $26.71. ATM implied volatility averaged 39.0%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 4.2% (HV 20d: 34.8%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2016-05-11: Highest Volume — 2,612 contracts
  • 2016-05-05: Largest IV drop — 17.8% change
  • 2016-05-02: Highest IV Rank — 10.5%
  • 2016-05-02: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.72$23.63$26.71$23.63$26.08
Max Pain$23.69$22.50$25.00$22.50$25.00
ATM IV39.0%35.1%46.8%46.8%39.7%
Expected Move11.2%9.8%13.4%13.4%11.4%
HV 20d34.8%25.6%40.6%39.6%26.9%
HV 60d39.3%38.2%46.0%46.0%38.4%
IV Rank6.4%4.3%10.5%10.5%6.8%
IV Percentile16.6%6.3%31.3%31.3%21.8%
Term Structure3.2%-5.2%10.5%-4.1%2.0%
VWIV41.7%37.4%50.9%44.9%40.4%
Skew 25d1.1%-7.0%5.5%3.8%3.7%
Skew 10d2.3%-13.7%62.7%2.6%4.6%
Call IV 25d39.4%34.9%44.2%38.5%37.7%
Put IV 25d40.5%33.2%47.4%42.3%41.3%
Bid-Ask Spread %86.9778.96100.6691.4785.28
Gamma HHI0.440.390.560.460.42
Net GEX131.5K65.2K239.0K66.3K162.3K
Net DEX-4.2M-6.0M-1.7M-1.8M-5.2M
Net VEX-17.2K-21.6K-11.2K-12.1K-20.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.252.491.940.81
Total Volume875.3334222,612512726
Total OI5,090.2863,7146,6803,7145,684

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$23.63$22.5046.8%13.4%39.6%10.5%44.9%3.8%-4.1%66.3K-1.8M-12.1K1.9491.47N/AN/A1743382,1681,546
2016-05-03$23.64$22.5042.0%12.1%37.8%8.0%41.8%3.0%-1.3%65.2K-1.7M-12.7K1.9788.14N/AN/A1422802,1821,662
2016-05-04$23.80$22.5044.0%12.6%37.7%9.0%42.5%-3.0%-5.2%71.7K-1.8M-12.2K1.6596.97N/AN/A1702802,1881,664
2016-05-05$24.36$22.5036.2%10.2%37.8%4.9%50.9%5.5%4.4%83.1K-2.2M-12.5K0.6885.91N/AN/A3602462,1781,664
2016-05-06$24.66$22.5035.1%9.8%36.3%4.3%40.7%2.6%6.9%95.0K-2.3M-11.3K1.3181.88N/AN/A1922522,1141,698
2016-05-09$25.93$22.5038.5%10.8%39.5%6.1%38.9%-2.1%7.2%98.6K-3.1M-11.2K0.3178.96N/AN/A9723022,1081,722
2016-05-10$26.25$25.0035.1%11.8%39.5%4.3%38.0%5.4%-1.0%106.6K-3.6M-13.1K1.6281.70N/AN/A3605842,4421,808
2016-05-11$25.84$25.0037.0%10.6%40.3%5.3%42.3%4.8%10.0%108.6K-3.1M-12.7K0.2587.57N/AN/A2,0865262,4501,936
2016-05-12$26.48$25.0039.0%11.2%39.8%6.3%39.9%-5.4%5.2%124.6K-4.8M-16.9K0.7882.11N/AN/A6625163,1542,008
2016-05-13$26.30$25.0039.8%11.4%40.2%6.8%41.8%-0.0%3.1%150.8K-5.1M-20.0K0.9084.18N/AN/A5544983,6602,072
2016-05-16$26.71$25.0037.6%10.8%40.3%5.6%38.4%-1.3%6.1%158.2K-5.5M-18.9K0.3984.36N/AN/A1,2724903,7662,088
2016-05-17$26.45$22.5036.8%10.5%40.6%5.2%37.4%0.3%10.5%239.0K-6.0M-20.6K0.4386.29N/AN/A1,1544924,2142,116
2016-05-18$25.92$22.5043.3%12.4%39.1%8.6%50.8%4.0%-4.3%199.8K-5.4M-21.6K1.2892.59N/AN/A3724784,4522,124
2016-05-19$25.76$22.5038.8%11.1%34.4%6.2%39.3%1.1%5.7%178.3K-5.2M-21.4K2.4983.25N/AN/A1844584,5022,154
2016-05-20$26.04$22.5043.0%12.3%28.4%8.5%49.5%0.2%-4.5%128.8K-5.6M-21.0K1.6786.80N/AN/A2003344,5222,158
2016-05-23$26.50$22.5036.8%10.5%26.5%5.2%38.5%3.8%5.8%135.0K-5.1M-20.6K1.2883.59N/AN/A2082663,5701,608
2016-05-24$26.61$25.0036.5%10.5%26.4%5.1%40.8%-2.8%5.5%134.0K-5.3M-20.3K1.0990.39N/AN/A2422643,5521,670
2016-05-25$26.39$25.0039.4%11.3%27.0%6.6%40.6%4.0%5.8%140.3K-5.1M-20.7K1.1485.71N/AN/A2382723,6401,666
2016-05-26$26.32$25.0035.4%10.1%26.5%4.4%39.5%2.2%6.7%142.3K-5.0M-21.0K0.5988.68N/AN/A4642743,6701,686
2016-05-27$26.53$25.0038.0%10.9%25.6%5.8%39.0%-7.0%2.7%172.2K-5.8M-20.4K1.23100.66N/AN/A2242763,8761,754
2016-05-31$26.08$25.0039.7%11.4%26.9%6.8%40.4%3.7%2.0%162.3K-5.2M-20.7K0.8185.28N/AN/A4003263,9021,782