FIZZ Options History — July 2016

In July 2016, FIZZ traded between $28.70 and $31.14. ATM implied volatility averaged 40.7%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 5.8% (HV 20d: 34.8%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.63.

Notable Days

  • 2016-07-15: Highest Volume — 1,608 contracts
  • 2016-07-13: Largest IV drop — 36.4% change
  • 2016-07-11: Highest IV Rank — 20.5%
  • 2016-07-01: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.16$28.70$31.14$30.73$28.70
Max Pain$27.50$22.50$30.00$22.50$30.00
ATM IV40.7%28.7%65.6%46.9%37.2%
Expected Move10.5%8.2%13.4%13.4%10.7%
HV 20d34.8%29.2%37.3%33.4%29.2%
HV 60d31.0%28.4%33.4%32.3%30.1%
IV Rank7.2%0.9%20.5%10.6%5.4%
IV Percentile24.5%0.8%68.7%44.8%21.0%
Term Structure2.3%-4.4%8.4%-4.4%1.0%
VWIV37.2%27.5%45.6%41.4%38.1%
Skew 25d2.4%-0.6%5.6%-0.5%4.4%
Skew 10d2.9%-25.9%15.1%-25.9%8.6%
Call IV 25d36.5%28.4%51.1%51.1%33.4%
Put IV 25d38.9%29.0%50.7%50.7%37.8%
Bid-Ask Spread %79.4565.1794.3081.9294.30
Gamma HHI0.250.180.330.260.19
Net GEX149.8K46.4K247.3K243.0K46.4K
Net DEX-7.0M-11.2M-2.6M-10.8M-2.6M
Net VEX-16.0K-17.8K-13.9K-17.8K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.672.950.691.49
Total Volume1,041.57481,6081,016966
Total OI6,306.54,2608,4787,2665,556

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$30.73$22.5046.9%13.4%33.4%10.6%41.4%-0.5%-4.4%243.0K-10.8M-17.8K0.6981.92N/AN/A6004165,0402,226
2016-07-05$31.11$27.5055.3%12.0%32.3%15.0%42.1%5.6%1.0%239.5K-11.2M-16.2K1.2877.86N/AN/A3284205,0062,226
2016-07-06$30.87$27.5043.5%12.0%32.6%8.8%42.4%4.8%2.2%247.3K-10.4M-17.4K1.7986.82N/AN/A3245805,0222,238
2016-07-07$30.70$27.5056.8%11.5%32.5%15.8%40.7%5.3%2.3%234.4K-10.5M-16.3K2.5172.51N/AN/A2385985,0542,440
2016-07-08$31.14$27.5048.4%12.3%32.6%11.3%41.8%5.6%-1.7%235.3K-11.0M-15.4K1.0870.10N/AN/A4024345,0422,458
2016-07-11$29.86$27.5065.6%12.0%35.9%20.5%45.6%4.3%-1.1%245.7K-9.1M-16.1K1.7865.17N/AN/A4307645,0002,470
2016-07-12$30.38$27.5064.7%12.0%35.6%20.0%43.3%5.6%-2.1%236.5K-9.5M-15.8K1.4068.54N/AN/A3985584,9242,868
2016-07-13$29.99$27.5041.1%11.8%36.0%7.5%42.4%1.8%-0.4%229.8K-8.9M-15.4K2.1166.95N/AN/A3667724,9282,894
2016-07-14$29.82$30.0041.1%11.8%36.2%7.5%44.8%1.7%-0.3%213.9K-8.3M-15.5K1.2171.12N/AN/A7028524,9503,092
2016-07-15$30.71$27.5031.3%9.0%37.3%2.3%36.8%-0.6%3.6%82.6K-11.0M-13.9K1.2374.23N/AN/A7208885,1603,318
2016-07-18$30.33$27.5031.4%9.0%36.8%2.3%34.2%0.3%0.7%87.2K-4.4M-14.7K2.7480.01N/AN/A3048322,6281,632
2016-07-19$30.20$27.5028.7%8.2%36.9%0.9%31.9%0.3%6.5%76.1K-4.2M-16.3K1.9284.68N/AN/A2604982,7181,844
2016-07-20$30.20$27.5028.9%8.3%35.5%1.0%27.8%0.0%7.6%77.1K-4.4M-14.4K1.0384.04N/AN/A5205342,7241,856
2016-07-21$30.27$27.5029.4%8.4%35.4%1.2%27.5%-0.0%8.0%93.6K-4.5M-16.1K1.7593.16N/AN/A3325802,8621,866
2016-07-22$30.97$27.5028.7%8.2%35.9%0.9%28.5%1.4%8.4%102.9K-5.1M-15.3K2.9582.92N/AN/A2226542,8921,938
2016-07-25$30.41$27.5033.2%9.5%36.4%3.3%32.0%2.7%3.0%89.5K-4.5M-15.6K0.6786.94N/AN/A7485042,9081,998
2016-07-26$29.32$27.5033.6%9.6%36.0%3.5%35.0%-0.2%4.1%90.3K-3.7M-16.2K1.2988.81N/AN/A4826203,2882,034
2016-07-27$28.78$27.5032.2%9.2%35.3%2.7%33.3%2.3%4.4%68.0K-2.9M-17.3K1.8068.92N/AN/A3406123,2662,180
2016-07-28$28.73$27.5035.2%10.1%34.9%4.3%35.4%2.8%3.3%56.6K-2.8M-17.1K1.9789.96N/AN/A3486843,2782,306
2016-07-29$28.70$30.0037.2%10.7%29.2%5.4%38.1%4.4%1.0%46.4K-2.6M-17.0K1.4994.30N/AN/A3885783,2082,348