FIZZ Options History — June 2016

In June 2016, FIZZ traded between $26.40 and $31.49. ATM implied volatility averaged 42.3%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 18.3% (HV 20d: 24.0%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2016-06-27: Highest Volume — 1,826 contracts
  • 2016-06-24: Largest IV spike — 37.2% change
  • 2016-06-30: Highest IV Rank — 15.4%
  • 2016-06-30: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.31$26.40$31.49$26.40$31.49
Max Pain$22.84$20.00$25.00$25.00$22.50
ATM IV42.3%33.9%56.1%36.2%56.1%
Expected Move12.4%10.0%16.1%10.4%16.1%
HV 20d24.0%19.6%31.4%26.9%31.4%
HV 60d32.2%30.2%38.1%38.0%32.0%
IV Rank8.1%3.6%15.4%4.9%15.4%
IV Percentile29.0%4.8%56.3%10.7%56.3%
Term Structure-2.2%-26.3%4.5%3.4%-26.3%
VWIV46.0%31.5%67.1%37.3%67.1%
Skew 25d5.7%0.0%21.0%0.6%1.2%
Skew 10d12.3%-4.6%57.4%4.7%14.0%
Call IV 25d42.3%35.7%67.8%38.3%67.8%
Put IV 25d48.1%38.9%69.0%38.9%69.0%
Bid-Ask Spread %87.8273.77102.3186.8083.33
Gamma HHI0.360.250.510.430.25
Net GEX198.2K164.1K243.1K176.6K210.4K
Net DEX-7.4M-11.0M-5.6M-5.7M-11.0M
Net VEX-19.3K-21.3K-17.0K-20.8K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.291.721.720.58
Total Volume915.6364581,8264621,236
Total OI6,252.3645,8587,0005,8587,000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$26.40$25.0036.2%10.4%26.9%4.9%37.3%0.6%3.4%176.6K-5.7M-20.8K1.7286.80N/AN/A1702924,0281,830
2016-06-02$26.47$20.0036.0%11.6%27.0%4.8%44.3%4.9%-0.3%173.6K-5.6M-21.0K1.6681.44N/AN/A1722864,0281,858
2016-06-03$26.88$20.0033.9%11.3%26.4%3.6%43.3%2.9%-1.6%188.4K-6.1M-21.3K1.3479.96N/AN/A2283064,0561,894
2016-06-06$27.71$20.0036.0%11.7%27.8%4.8%41.5%8.5%-2.0%191.1K-7.1M-20.3K0.8180.82N/AN/A3903164,0821,892
2016-06-07$27.73$22.5035.6%12.0%22.4%4.6%44.9%4.4%-0.8%191.4K-7.1M-20.5K0.9274.95N/AN/A2982744,0921,900
2016-06-08$28.23$22.5041.4%11.9%22.8%7.6%37.5%3.4%-6.9%195.1K-7.6M-19.3K0.7379.62N/AN/A3842804,0761,920
2016-06-09$28.39$22.5042.5%12.2%21.6%8.2%36.8%5.8%-2.6%202.6K-7.7M-20.0K0.7685.04N/AN/A4223204,2681,920
2016-06-10$27.92$22.5039.2%11.2%21.6%6.4%40.4%2.2%1.0%209.7K-7.2M-19.6K0.8692.75N/AN/A3803264,2281,970
2016-06-13$27.53$22.5043.4%12.5%22.1%8.7%43.8%7.2%-1.7%195.3K-6.6M-19.9K0.8187.02N/AN/A4103344,2261,986
2016-06-14$27.83$22.5042.8%12.3%21.8%8.4%48.9%4.8%-0.6%196.0K-6.8M-19.6K0.7290.41N/AN/A4643344,2061,986
2016-06-15$27.86$22.5036.8%10.5%21.4%5.2%46.5%3.6%4.5%243.1K-7.0M-18.7K1.1099.65N/AN/A4484924,1761,986
2016-06-16$27.93$22.5045.1%12.9%19.6%9.6%44.7%1.2%1.7%164.1K-6.7M-19.3K0.4793.92N/AN/A1,0384924,1682,164
2016-06-17$27.39$22.5042.6%12.2%21.0%8.3%42.2%6.2%-0.7%190.0K-5.9M-19.0K0.5179.45N/AN/A6203184,6162,162
2016-06-20$27.73$22.5048.9%14.0%21.1%11.6%52.2%8.0%-2.1%184.9K-6.4M-19.4K1.0395.39N/AN/A4804944,2121,668
2016-06-21$28.61$25.0044.8%12.9%22.8%9.5%50.4%4.7%-3.4%205.4K-7.2M-18.8K1.0491.48N/AN/A5445684,2281,888
2016-06-22$28.50$25.0046.6%13.4%23.0%10.4%47.2%8.2%4.2%198.9K-7.2M-19.3K1.30100.63N/AN/A4505864,2401,970
2016-06-23$28.89$25.0034.9%10.0%22.8%4.2%51.8%0.0%4.4%211.2K-7.6M-18.3K1.51101.88N/AN/A3965964,2681,992
2016-06-24$29.31$25.0047.9%13.7%22.9%11.1%31.5%21.0%-5.8%194.7K-7.7M-19.3K0.82102.31N/AN/A4263484,3062,004
2016-06-27$30.49$25.0048.6%13.9%25.9%11.4%55.3%3.3%-5.5%201.5K-9.4M-17.4K0.2978.18N/AN/A1,4204064,3402,038
2016-06-28$29.64$22.5044.9%12.9%27.5%9.5%55.5%12.4%-3.4%218.5K-9.4M-18.1K0.5093.22N/AN/A1,0725364,6862,036
2016-06-29$29.98$22.5046.7%13.4%27.5%10.4%48.7%11.8%-4.9%218.3K-9.4M-18.0K1.4173.77N/AN/A3284644,7662,192
2016-06-30$31.49$22.5056.1%16.1%31.4%15.4%67.1%1.2%-26.3%210.4K-11.0M-17.0K0.5883.33N/AN/A7824544,7842,216