FIZZ Options History — August 2016

In August 2016, FIZZ traded between $23.54 and $28.50. ATM implied volatility averaged 39.5%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 2.4% (HV 20d: 37.1%). Max pain ranged from $27.50 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.08.

Notable Days

  • 2016-08-24: Highest Volume — 4,114 contracts
  • 2016-08-03: Largest IV spike — 20.7% change
  • 2016-08-23: Highest IV Rank — 10.4%
  • 2016-08-23: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.17$23.54$28.50$28.34$24.94
Max Pain$28.04$27.50$30.00$30.00$27.50
ATM IV39.5%34.3%46.6%35.8%42.7%
Expected Move11.4%9.8%13.3%10.3%12.2%
HV 20d37.1%26.5%47.2%28.4%45.5%
HV 60d33.2%29.0%37.7%30.0%37.0%
IV Rank6.7%3.8%10.4%4.7%8.3%
IV Percentile30.2%9.1%54.0%13.9%45.2%
Term Structure-2.2%-7.5%2.2%0.3%-2.8%
VWIV40.0%35.5%48.4%36.8%48.4%
Skew 25d3.3%-4.0%10.2%3.7%7.7%
Skew 10d8.4%-6.6%39.4%4.8%7.8%
Call IV 25d40.1%34.6%44.4%34.6%44.4%
Put IV 25d43.4%37.3%52.1%38.3%52.1%
Bid-Ask Spread %91.1278.67105.9396.6297.57
Gamma HHI0.260.210.340.220.34
Net GEX70.5K1.0K244.4K29.1K233.8K
Net DEX-764.8K-2.8M2.2M-2.2M-1.8M
Net VEX-20.6K-32.6K-16.5K-17.0K-32.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.061.941.220.95
Total Volume1,522.2617384,1148402,010
Total OI7,736.5225,69412,1525,69412,152

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$28.34$30.0035.8%10.3%28.4%4.7%36.8%3.7%0.3%29.1K-2.2M-17.0K1.2296.62N/AN/A3784623,2762,418
2016-08-02$27.36$30.0034.3%9.8%29.8%3.8%37.6%1.3%2.2%11.2K-1.2M-16.5K1.9494.41N/AN/A3226243,2862,426
2016-08-03$26.80$30.0041.4%11.9%30.2%7.6%42.9%4.8%-6.0%1.0K-568.2K-16.9K0.6787.79N/AN/A7324903,2562,618
2016-08-04$27.20$30.0037.7%11.2%31.2%5.7%39.1%1.7%-1.4%9.5K-1.2M-16.9K1.6384.88N/AN/A3105063,4442,480
2016-08-05$27.04$30.0034.6%10.9%30.3%4.0%39.2%10.2%-3.1%4.5K-993.6K-17.1K1.4885.80N/AN/A3445103,4562,490
2016-08-08$27.16$27.5036.6%11.1%27.6%5.1%39.2%4.8%-2.8%2.8K-935.7K-16.7K1.6678.67N/AN/A3485763,5222,490
2016-08-09$26.82$27.5040.1%10.4%26.5%6.9%39.4%1.2%-0.3%9.0K-743.5K-17.0K1.5788.92N/AN/A3124903,5582,526
2016-08-10$28.50$27.5039.8%11.4%35.4%6.8%39.2%3.9%-2.9%42.3K-2.8M-16.6K0.9584.23N/AN/A6386083,5822,536
2016-08-11$27.91$27.5040.0%11.5%36.0%6.9%39.8%3.2%-2.6%8.0K-2.2M-17.2K0.6581.94N/AN/A1,0286723,8542,524
2016-08-12$27.91$27.5039.0%11.2%33.9%6.3%38.2%3.8%-3.6%27.5K-2.5M-19.0K0.6487.69N/AN/A9446004,3382,540
2016-08-15$27.46$27.5039.4%11.3%34.0%6.6%38.5%3.5%-3.6%19.3K-2.1M-18.3K1.1793.31N/AN/A6047084,3622,542
2016-08-16$25.86$27.5041.4%11.9%39.2%7.6%39.4%5.3%-3.4%52.0K232.6K-18.9K1.3495.93N/AN/A7309784,5382,778
2016-08-17$25.48$27.5042.7%12.2%39.2%8.3%42.1%-4.0%-4.9%15.6K1.5M-16.8K1.12105.93N/AN/A4404924,5723,052
2016-08-18$25.52$27.5042.9%12.3%39.1%8.4%44.8%6.9%-6.2%31.1K1.6M-19.0K0.1487.66N/AN/A650884,6903,368
2016-08-19$24.55$27.5040.9%11.7%38.7%7.4%35.5%3.7%-2.5%45.8K2.2M-18.5K1.6594.25N/AN/A9061,4945,2103,322
2016-08-22$24.14$27.5040.5%11.6%38.7%7.2%36.8%7.5%-3.2%33.9K1.5M-18.6K1.6886.28N/AN/A5869864,4523,008
2016-08-23$23.54$27.5046.6%13.3%37.9%10.4%41.7%5.9%-7.5%43.4K1.9M-18.0K1.0693.81N/AN/A8589104,6962,976
2016-08-24$25.05$27.5040.5%11.6%45.8%7.1%43.0%-1.0%1.9%87.3K-708.8K-23.4K0.0693.49N/AN/A3,8942205,1363,010
2016-08-25$24.82$27.5037.3%10.7%45.7%5.4%41.3%-0.3%1.2%202.3K-910.1K-27.9K0.3094.79N/AN/A2,1486347,3223,102
2016-08-26$25.45$27.5037.5%10.8%47.2%5.6%38.7%-0.5%0.9%244.4K-2.3M-30.8K0.6196.12N/AN/A9745987,6943,170
2016-08-29$25.12$27.5037.6%10.8%47.2%5.6%38.7%0.6%-0.7%238.3K-1.6M-29.2K1.2792.06N/AN/A4565807,8823,184
2016-08-30$25.05$27.5040.3%11.6%45.9%7.1%39.7%3.1%-0.4%229.4K-1.8M-30.1K1.1793.69N/AN/A1,0021,1727,8803,222
2016-08-31$24.94$27.5042.7%12.2%45.5%8.3%48.4%7.7%-2.8%233.8K-1.8M-32.6K0.9597.57N/AN/A1,0309808,5143,638