FIZZ Options History — November 2016

In November 2016, FIZZ traded between $22.75 and $26.68. ATM implied volatility averaged 54.0%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 21.9% (HV 20d: 32.1%). Max pain ranged from $22.50 to $27.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2016-11-30: Highest Volume — 8,858 contracts
  • 2016-11-30: Largest IV drop — 27.1% change
  • 2016-11-29: Highest IV Rank — 23.1%
  • 2016-11-29: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.26$22.75$26.68$22.93$25.23
Max Pain$24.14$22.50$27.50$25.00$26.75
ATM IV54.0%46.5%67.5%51.0%49.2%
Expected Move15.4%13.3%19.4%14.6%14.1%
HV 20d32.1%24.7%39.6%36.5%33.7%
HV 60d38.1%35.7%41.6%41.5%38.0%
IV Rank15.1%10.6%23.1%13.3%12.2%
IV Percentile69.5%49.2%84.9%67.9%58.7%
Term Structure-6.9%-44.9%2.0%1.8%0.7%
VWIV55.2%43.9%66.3%66.3%61.7%
Skew 25d5.3%-7.7%26.5%16.3%26.5%
Skew 10d9.2%-32.1%30.8%30.8%5.6%
Call IV 25d53.8%48.5%66.4%50.9%51.3%
Put IV 25d59.2%53.0%77.8%67.2%77.8%
Bid-Ask Spread %78.3058.3896.0682.8393.45
Gamma HHI0.360.170.440.420.18
Net GEX895.1K658.2K1.6M693.4K1.6M
Net DEX-36.4M-84.0M-18.6M-19.2M-71.7M
Net VEX-144.0K-233.6K-122.0K-128.1K-233.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.462.810.750.92
Total Volume4,485.5242,0348,8582,4588,858
Total OI42,057.23833,33868,41034,70068,410

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$22.93$25.0051.0%14.6%36.5%13.3%66.3%16.3%1.8%693.4K-19.2M-128.1K0.7582.83N/AN/A1,4021,05626,7107,990
2016-11-02$23.15$25.0052.8%15.1%36.5%14.3%55.0%-7.4%-0.5%700.9K-21.3M-130.3K1.4596.06N/AN/A9461,36826,9768,090
2016-11-03$22.96$22.5051.2%15.3%36.6%13.4%54.1%4.7%2.0%658.2K-20.4M-128.4K1.0985.98N/AN/A9721,06227,0048,360
2016-11-04$22.75$22.5050.4%15.0%36.7%12.9%54.5%5.0%-1.8%667.7K-18.6M-124.8K1.1458.38N/AN/A1,0341,17427,0428,394
2016-11-07$22.90$22.5054.8%15.1%25.4%15.5%56.0%7.4%-3.2%678.3K-18.8M-124.4K0.6868.92N/AN/A1,6601,13427,1268,594
2016-11-08$23.14$22.5056.7%14.8%25.2%16.6%52.4%5.7%-1.2%660.8K-21.2M-126.9K1.4167.15N/AN/A1,0841,53227,8088,548
2016-11-09$23.14$22.5053.0%15.2%24.7%14.5%54.7%5.3%-2.6%756.8K-20.8M-124.5K1.3481.67N/AN/A1,1141,49227,8488,550
2016-11-10$22.99$22.5053.5%15.3%24.7%14.8%52.4%5.2%-2.7%713.4K-19.3M-122.0K1.4474.52N/AN/A1,0541,52227,8568,548
2016-11-11$23.46$22.5054.3%15.6%26.1%15.2%54.1%1.7%-3.7%734.2K-22.4M-124.3K1.3783.41N/AN/A1,1221,53427,9028,562
2016-11-14$23.82$22.5052.1%14.9%26.8%13.9%55.1%5.9%-4.1%809.8K-24.6M-122.2K0.9479.35N/AN/A1,1101,04427,9128,570
2016-11-15$24.76$22.5052.1%14.9%29.1%13.9%52.3%6.8%-2.1%837.6K-30.9M-124.2K0.4671.67N/AN/A2,2641,03227,9148,738
2016-11-16$24.20$22.5054.0%15.5%30.1%15.1%56.3%6.4%-5.5%898.5K-29.3M-126.0K0.5072.51N/AN/A2,0341,02228,8808,762
2016-11-17$24.75$22.5050.0%14.3%30.9%12.7%43.9%9.6%-0.6%973.6K-31.7M-123.5K1.4176.21N/AN/A1,0341,45428,9068,812
2016-11-18$25.34$25.0051.4%14.7%31.8%13.5%50.2%6.4%-4.3%800.6K-38.1M-123.3K2.8180.30N/AN/A1,3343,74628,8848,872
2016-11-21$26.56$25.0049.4%14.2%35.4%12.3%49.9%5.9%-4.5%744.9K-40.9M-128.5K1.4878.55N/AN/A2,3663,51026,3347,334
2016-11-22$26.68$25.0046.5%13.3%35.4%10.6%48.3%4.5%-3.2%756.6K-41.7M-122.6K0.9474.21N/AN/A4,1783,93025,8627,476
2016-11-23$25.43$27.5056.2%16.1%39.6%16.3%54.4%-1.1%-6.7%867.9K-37.8M-126.2K0.9481.50N/AN/A4,2203,95627,4147,840
2016-11-25$24.99$26.7562.0%17.8%36.4%19.8%58.2%-7.7%-44.9%1.3M-84.0M-206.4K0.9477.34N/AN/A4,2163,95853,07615,010
2016-11-28$25.10$26.7566.6%19.1%36.4%22.5%64.9%5.0%-30.1%1.5M-77.0M-224.4K0.9479.00N/AN/A4,2383,97653,09615,010
2016-11-29$25.24$26.7567.5%19.4%36.3%23.1%65.2%0.2%-28.3%1.5M-75.2M-230.0K0.9181.24N/AN/A4,4344,02053,13015,052
2016-11-30$25.23$26.7549.2%14.1%33.7%12.2%61.7%26.5%0.7%1.6M-71.7M-233.6K0.9293.45N/AN/A4,6044,25453,29815,112