FIZZ Options History — October 2016

In October 2016, FIZZ traded between $22.21 and $24.96. ATM implied volatility averaged 46.7%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 4.9% (HV 20d: 41.8%). 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 16 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2016-10-04: Highest Volume — 7,904 contracts
  • 2016-10-31: Largest IV spike — 11.2% change
  • 2016-10-10: Highest IV Rank — 15.1%
  • 2016-10-31: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.89$22.21$24.96$22.21$23.70
Max Pain$23.69$22.50$25.00$25.00$25.00
ATM IV46.7%42.6%53.0%46.1%49.1%
Expected Move13.3%12.2%14.1%13.2%14.1%
HV 20d41.8%30.6%45.6%43.5%34.1%
HV 60d40.6%38.8%41.5%39.6%41.1%
IV Rank11.1%8.3%15.1%11.0%12.1%
IV Percentile54.4%39.3%68.3%53.6%64.7%
Term Structure1.5%-2.1%6.7%2.0%4.3%
VWIV48.0%36.1%58.8%47.7%50.9%
Skew 25d6.4%0.1%21.4%21.4%5.9%
Skew 10d12.7%-1.5%24.9%21.2%15.2%
Call IV 25d47.7%43.3%54.6%47.2%47.3%
Put IV 25d54.0%48.9%68.7%68.7%53.2%
Bid-Ask Spread %74.0266.8286.5186.5180.25
Gamma HHI0.310.200.460.200.40
Net GEX654.9K302.0K955.8K302.0K685.8K
Net DEX-24.0M-31.1M-10.9M-11.0M-22.9M
Net VEX-141.5K-154.5K-130.4K-133.5K-130.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.351.640.640.70
Total Volume3,354.5711,9527,9045,4022,412
Total OI46,818.76233,37853,28449,44234,314

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$22.21$25.0046.1%13.2%43.5%11.0%47.7%21.4%2.0%302.0K-11.0M-133.5K0.6486.51N/AN/A3,3002,10236,30013,142
2016-10-04$22.29$25.0048.2%13.8%43.6%12.2%48.3%3.4%1.4%404.4K-10.9M-134.1K1.0983.37N/AN/A3,7784,12636,57812,796
2016-10-05$22.52$25.0047.7%13.7%43.5%11.9%48.8%7.8%0.1%400.8K-12.8M-142.9K0.8585.11N/AN/A3,1562,68437,11814,382
2016-10-06$22.54$22.5048.6%13.5%43.4%12.5%49.3%5.7%-1.9%380.8K-12.4M-143.9K0.9471.54N/AN/A1,3121,22837,34014,374
2016-10-07$22.70$22.5049.0%13.5%41.4%12.7%51.5%6.1%-0.7%369.6K-13.7M-145.1K0.3569.47N/AN/A3,5601,24437,27414,408
2016-10-10$24.39$22.5053.0%13.6%44.3%15.1%49.9%6.0%1.0%891.2K-29.5M-152.4K0.9367.59N/AN/A1,4861,37838,80614,392
2016-10-11$23.98$22.5049.4%13.8%44.5%12.9%53.5%9.2%0.3%763.3K-25.7M-154.5K0.9570.96N/AN/A1,2741,21438,52814,348
2016-10-12$24.26$22.5047.1%13.5%44.8%11.6%58.8%9.5%-1.2%869.0K-28.3M-150.3K0.3983.13N/AN/A2,8221,11038,54814,390
2016-10-13$24.28$22.5047.7%13.7%44.7%12.0%54.3%0.1%0.7%647.5K-28.2M-147.9K0.9868.67N/AN/A1,1321,10637,37614,408
2016-10-14$24.27$22.5047.7%13.7%44.7%12.0%49.8%0.7%-2.1%609.8K-25.4M-148.5K1.1380.05N/AN/A9801,11037,40014,392
2016-10-17$24.27$22.5048.8%14.0%44.6%12.6%50.5%3.7%-1.5%701.1K-27.4M-144.6K0.5467.55N/AN/A2,1701,18037,36414,416
2016-10-18$24.81$22.5047.0%13.5%45.6%11.5%46.6%11.3%0.3%955.8K-30.5M-141.4K0.5767.09N/AN/A2,2181,26837,87414,438
2016-10-19$24.59$22.5046.4%13.3%45.1%10.5%43.5%5.4%3.0%706.6K-29.0M-140.8K0.9766.82N/AN/A1,2141,18037,83214,478
2016-10-20$24.34$22.5043.7%12.5%45.2%8.9%36.1%5.9%4.0%905.1K-28.7M-138.3K1.6469.75N/AN/A1,2582,06038,25614,476
2016-10-21$24.58$25.0043.6%12.5%44.5%8.9%41.2%3.9%1.8%683.9K-27.0M-138.1K0.9969.75N/AN/A1,4381,42838,28415,000
2016-10-24$24.96$25.0042.6%12.2%41.0%8.3%43.4%5.6%3.9%660.2K-30.8M-140.5K1.2167.46N/AN/A9881,19626,0427,336
2016-10-25$24.93$25.0043.0%12.3%39.8%8.5%37.7%4.3%6.7%704.4K-31.1M-136.8K1.0971.59N/AN/A9321,02026,3187,572
2016-10-26$24.71$25.0043.0%12.3%30.6%8.5%46.8%5.5%3.6%715.7K-30.7M-139.0K0.7974.33N/AN/A1,24498626,4827,664
2016-10-27$23.63$25.0045.1%12.9%35.1%9.8%48.5%6.5%2.9%711.9K-23.8M-135.6K0.5575.28N/AN/A2,0321,10826,6387,806
2016-10-28$23.82$25.0044.2%12.7%34.0%9.2%51.0%5.8%3.2%684.7K-23.7M-132.8K0.4878.07N/AN/A2,03497826,3207,984
2016-10-31$23.70$25.0049.1%14.1%34.1%12.1%50.9%5.9%4.3%685.8K-22.9M-130.4K0.7080.25N/AN/A1,42099226,3207,994