FIZZ Options History — September 2016

In September 2016, FIZZ traded between $21.50 and $26.39. ATM implied volatility averaged 50.3%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 9.8% (HV 20d: 40.5%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2016-09-28: Highest Volume — 27,192 contracts
  • 2016-09-12: Largest IV spike — 22.2% change
  • 2016-09-12: Highest IV Rank — 20.0%
  • 2016-09-28: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.69$21.50$26.39$24.42$22.11
Max Pain$25.24$25.00$27.50$27.50$25.00
ATM IV50.3%42.3%61.0%43.7%50.4%
Expected Move13.8%11.8%16.9%12.5%14.4%
HV 20d40.5%30.5%46.9%45.3%43.5%
HV 60d38.2%36.9%39.8%37.0%39.8%
IV Rank13.5%8.1%20.0%8.8%13.5%
IV Percentile62.3%42.5%76.6%49.6%64.7%
Term Structure-2.9%-8.9%10.7%-6.8%10.7%
VWIV52.4%44.8%63.1%54.0%52.0%
Skew 25d3.2%-3.2%11.7%-1.1%4.5%
Skew 10d6.5%-11.0%52.2%-6.7%12.7%
Call IV 25d50.8%44.1%60.9%45.4%50.5%
Put IV 25d53.9%44.3%71.3%44.3%55.1%
Bid-Ask Spread %84.4176.8793.9693.9680.49
Gamma HHI0.300.200.360.310.20
Net GEX265.0K-231.8K450.4K210.1K295.4K
Net DEX-4.3M-10.7M9.9M-943.9K-9.6M
Net VEX-67.4K-136.0K-29.4K-33.5K-136.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.151.371.180.57
Total Volume5,528.57179427,1927946,306
Total OI23,32812,97249,12012,97249,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$24.42$27.5043.7%12.5%45.3%8.8%54.0%-1.1%-6.8%210.1K-943.9K-33.5K1.1893.96N/AN/A3644308,8924,080
2016-09-02$24.44$27.5042.3%12.1%45.4%8.1%45.7%-0.8%-2.0%213.3K-373.8K-31.2K0.6288.71N/AN/A1,0966848,8804,110
2016-09-06$24.23$25.0049.2%12.2%45.3%11.8%46.6%2.8%-4.3%200.3K-322.5K-33.2K0.4176.87N/AN/A1,2825249,3324,370
2016-09-07$23.77$25.0047.6%11.8%45.5%12.1%45.9%2.6%-2.3%200.1K1.4M-30.0K0.2984.73N/AN/A2,53673410,1824,586
2016-09-08$23.91$25.0044.6%12.6%38.4%10.3%47.9%2.8%-4.3%154.4K1.4M-29.4K0.3579.72N/AN/A3,2481,1388,8504,934
2016-09-09$24.74$25.0049.9%12.5%41.0%13.5%46.1%2.3%-1.4%306.3K-3.2M-51.5K0.1581.98N/AN/A5,14676611,5465,648
2016-09-12$26.23$25.0061.0%13.9%46.9%20.0%48.4%4.0%-5.0%450.4K-9.0M-65.7K0.1786.11N/AN/A4,41276013,2605,914
2016-09-13$26.05$25.0060.7%14.1%46.7%19.8%53.1%-3.2%-2.4%383.2K-8.6M-62.3K0.1585.00N/AN/A7,7081,12412,7545,930
2016-09-14$26.20$25.0052.4%15.0%41.5%14.9%54.6%-0.9%-6.9%430.5K-9.6M-75.4K0.5181.43N/AN/A2,8161,43414,5906,478
2016-09-15$26.30$25.0051.5%14.8%41.1%14.4%56.0%-1.1%-8.9%403.4K-10.1M-77.1K1.0277.39N/AN/A2,2262,27614,9747,060
2016-09-16$26.27$25.0048.9%14.0%41.1%12.9%54.8%5.8%-6.2%395.3K-10.7M-81.2K0.5878.24N/AN/A2,4101,40615,4187,572
2016-09-19$26.39$25.0047.8%13.7%38.3%12.2%53.2%-0.7%-3.5%397.4K-9.7M-79.7K0.2978.84N/AN/A2,00658613,8127,628
2016-09-20$26.34$25.0047.4%13.6%37.6%12.0%51.2%1.1%-3.0%399.5K-9.4M-75.6K0.3578.07N/AN/A1,65058213,7827,664
2016-09-21$25.75$25.0044.9%12.9%37.3%10.5%54.6%4.5%3.3%355.9K-7.2M-69.8K0.4191.12N/AN/A2,6941,09413,8247,732
2016-09-22$25.73$25.0047.0%13.5%30.5%11.5%48.8%1.0%-1.4%336.2K-6.7M-71.0K0.5190.00N/AN/A2,4201,22414,5608,248
2016-09-23$25.08$25.0045.7%13.1%31.7%10.7%44.8%7.5%1.7%254.5K-3.7M-68.4K0.1888.14N/AN/A5,9141,04014,8308,852
2016-09-26$23.88$25.0051.4%14.8%34.9%14.2%54.0%2.8%-8.3%226.1K-2.1M-75.7K1.3793.64N/AN/A2,4203,30819,1269,428
2016-09-27$23.29$25.0053.8%15.4%35.6%15.5%62.8%10.8%-5.2%-28.7K3.6M-73.7K0.5185.85N/AN/A2,9021,48019,45411,690
2016-09-28$21.80$25.0058.8%16.9%41.9%18.5%62.6%10.5%-2.3%-231.8K9.9M-64.5K0.3789.03N/AN/A19,8167,37620,09812,182
2016-09-29$21.50$25.0057.6%16.5%41.9%17.8%63.1%11.7%-1.7%214.5K-6.0M-130.0K1.0583.26N/AN/A4,2844,47835,20813,290
2016-09-30$22.11$25.0050.4%14.4%43.5%13.5%52.0%4.5%10.7%295.4K-9.6M-136.0K0.5780.49N/AN/A4,0042,30235,91413,206