FIZZ Options History — December 2016

In December 2016, FIZZ traded between $23.88 and $26.13. ATM implied volatility averaged 44.5%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 0.9% (HV 20d: 43.6%). Max pain ranged from $21.75 to $26.75. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2016-12-02: Highest Volume — 10,228 contracts
  • 2016-12-14: Largest IV drop — 20.4% change
  • 2016-12-12: Highest IV Rank — 15.9%
  • 2016-12-02: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.34$23.88$26.13$23.88$25.59
Max Pain$22.23$21.75$26.75$26.75$21.75
ATM IV44.5%39.6%55.4%46.4%41.5%
Expected Move12.2%11.4%13.4%13.3%11.9%
HV 20d43.6%35.0%47.8%39.7%35.0%
HV 60d39.1%36.0%41.6%39.4%36.5%
IV Rank9.4%6.5%15.9%10.5%7.6%
IV Percentile41.8%24.2%74.2%47.2%34.9%
Term Structure1.9%-3.4%10.7%-3.4%-0.3%
VWIV43.8%36.6%58.9%58.9%43.6%
Skew 25d2.0%-3.1%4.6%-3.1%2.2%
Skew 10d3.6%-4.2%19.1%-1.7%3.2%
Call IV 25d43.8%40.5%53.6%53.6%41.4%
Put IV 25d45.8%42.4%51.3%50.5%43.6%
Bid-Ask Spread %74.1762.7789.6888.7983.14
Gamma HHI0.280.210.460.240.23
Net GEX844.2K-850.7K1.7M1.7M742.1K
Net DEX-40.8M-79.2M-25.0M-54.0M-38.6M
Net VEX-142.2K-225.5K-100.0K-225.5K-104.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.441.480.940.89
Total Volume3,849.6191,89810,2288,5562,500
Total OI46,027.90539,68466,39266,39240,488

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$23.88$26.7546.4%13.3%39.7%10.5%58.9%-3.1%-3.4%1.7M-54.0M-225.5K0.9488.79N/AN/A4,4184,13851,40814,984
2016-12-02$24.11$26.7546.8%13.4%39.6%10.8%50.1%-0.6%-1.2%1.7M-56.3M-210.8K1.1989.68N/AN/A4,6745,55451,10812,858
2016-12-05$25.92$21.7548.3%12.2%46.5%11.7%45.1%3.8%0.5%1.7M-79.2M-203.8K0.4474.82N/AN/A5,4962,40850,86411,842
2016-12-06$25.67$21.7545.1%12.4%46.8%9.8%47.0%1.8%0.4%1.4M-69.5M-193.5K1.2964.00N/AN/A1,2901,67046,23812,930
2016-12-07$26.13$21.7549.0%12.9%47.0%12.1%41.7%4.6%-0.1%781.4K-42.4M-157.5K1.2365.57N/AN/A1,4921,84231,94413,054
2016-12-08$25.79$21.7548.3%12.8%47.5%11.7%47.1%2.5%2.4%784.8K-39.7M-157.6K1.3762.77N/AN/A1,5062,05631,41013,360
2016-12-09$25.89$21.7551.7%12.7%47.2%13.7%44.2%3.7%2.0%723.2K-37.3M-140.5K0.9071.62N/AN/A2,0141,81429,41813,836
2016-12-12$25.39$21.7555.4%12.5%47.8%15.9%45.4%2.8%2.4%706.8K-33.0M-137.8K0.8466.34N/AN/A2,1941,83629,34214,156
2016-12-13$25.30$21.7553.3%12.5%47.6%14.6%47.4%1.8%2.3%657.3K-32.1M-135.9K0.6264.59N/AN/A2,2601,39229,13814,396
2016-12-14$24.39$21.7542.4%12.2%47.7%8.2%49.5%1.9%10.7%688.6K-25.0M-136.5K0.9176.88N/AN/A1,8601,69429,58014,412
2016-12-15$24.80$21.7541.1%11.8%47.3%7.4%44.4%1.9%9.9%606.4K-26.6M-131.6K1.1773.13N/AN/A1,7061,99629,51214,932
2016-12-16$24.97$21.7541.3%11.8%46.7%7.5%38.1%2.8%3.2%-850.7K-29.6M-128.8K1.1669.26N/AN/A1,9202,23229,43414,918
2016-12-19$25.37$21.7539.6%11.4%46.3%6.5%38.5%2.4%1.4%837.2K-34.6M-122.5K1.0773.66N/AN/A1,0981,17427,81012,350
2016-12-20$25.27$21.7540.5%11.6%42.8%7.0%41.3%1.8%0.7%846.1K-34.0M-124.9K1.4674.16N/AN/A7721,12628,04412,404
2016-12-21$25.38$21.7539.8%11.4%42.8%6.6%42.5%1.9%0.8%856.5K-35.8M-122.5K1.4879.42N/AN/A7861,16428,09212,408
2016-12-22$25.54$21.7540.6%11.6%39.4%7.1%36.6%1.4%1.3%819.4K-35.9M-122.9K1.3777.44N/AN/A1,0181,39428,12612,512
2016-12-23$25.50$21.7540.5%11.6%38.9%7.0%41.4%1.9%1.3%768.2K-36.3M-112.2K1.3879.03N/AN/A9001,24027,05012,728
2016-12-27$25.93$21.7541.7%12.0%39.2%7.7%40.0%2.7%1.9%721.8K-39.9M-107.4K0.9472.92N/AN/A1,3481,26227,08212,602
2016-12-28$25.45$21.7540.8%11.7%39.9%7.2%37.1%1.0%1.5%789.6K-36.9M-108.1K0.8174.42N/AN/A1,4641,18427,05012,676
2016-12-29$25.91$21.7540.9%11.7%40.4%7.2%39.9%1.6%1.7%672.7K-41.1M-100.0K0.6775.84N/AN/A1,7641,18627,28412,806
2016-12-30$25.59$21.7541.5%11.9%35.0%7.6%43.6%2.2%-0.3%742.1K-38.6M-104.7K0.8983.14N/AN/A1,3221,17827,61812,870