FIZZ Options History — January 2017

In January 2017, FIZZ traded between $22.98 and $25.49. ATM implied volatility averaged 40.2%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 14.0% (HV 20d: 26.2%). Max pain ranged from $21.75 to $25.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2017-01-09: Highest Volume — 7,396 contracts
  • 2017-01-09: Largest IV spike — 8.2% change
  • 2017-01-17: Highest IV Rank — 16.0%
  • 2017-01-09: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.26$22.98$25.49$25.46$25.13
Max Pain$24.68$21.75$25.00$21.75$25.00
ATM IV40.2%35.5%43.6%42.6%36.7%
Expected Move11.6%10.2%12.4%12.2%10.5%
HV 20d26.2%23.0%35.0%35.0%27.1%
HV 60d34.7%33.6%36.5%36.5%33.9%
IV Rank10.3%6.9%16.0%8.3%8.9%
IV Percentile29.4%8.3%46.0%39.3%15.1%
Term Structure3.2%0.2%8.0%1.0%2.7%
VWIV41.3%35.8%44.9%44.9%37.7%
Skew 25d1.9%-1.1%6.7%1.0%6.7%
Skew 10d4.0%-5.8%16.2%8.3%16.2%
Call IV 25d41.8%35.9%45.4%45.4%38.5%
Put IV 25d43.7%39.7%47.5%46.4%45.1%
Bid-Ask Spread %77.5960.2093.2780.7260.20
Gamma HHI0.290.170.620.250.19
Net GEX548.1K-46.1K1.2M800.9K80.1K
Net DEX-18.5M-40.4M1.1M-36.9M-1.0M
Net VEX-93.0K-112.0K-75.7K-103.1K-98.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.201.940.260.74
Total Volume3,905.72,8267,3965,6682,844
Total OI34,582.918,34243,14240,65622,324

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$25.46$21.7542.6%12.2%35.0%8.3%44.9%1.0%1.0%800.9K-36.9M-103.1K0.2680.72N/AN/A4,4901,17827,73812,918
2017-01-04$25.49$21.7542.5%12.2%23.5%8.2%39.0%0.8%0.3%847.5K-40.4M-112.0K0.3582.40N/AN/A3,3201,17029,59612,956
2017-01-05$25.02$25.0041.4%12.1%24.1%7.6%42.9%0.1%3.3%929.0K-37.1M-109.9K0.3465.69N/AN/A3,3741,14429,64412,966
2017-01-06$24.75$25.0040.3%12.0%23.2%6.9%44.6%0.4%4.2%1.0M-34.9M-110.5K0.3969.57N/AN/A3,3921,33029,79412,978
2017-01-09$23.86$25.0043.6%12.4%26.0%8.9%44.0%-1.1%4.1%1.1M-27.1M-100.5K0.2075.67N/AN/A6,1881,20829,83013,224
2017-01-10$24.30$25.0041.6%12.0%27.0%7.7%43.3%4.5%7.7%827.5K-29.3M-99.3K0.8879.08N/AN/A1,6921,49428,22013,274
2017-01-11$23.82$25.0042.1%12.1%27.0%8.0%42.9%1.3%2.4%921.1K-26.6M-97.0K0.8174.29N/AN/A1,6221,30828,26613,438
2017-01-12$23.44$25.0041.6%11.9%27.4%14.3%42.9%1.5%1.4%1.0M-22.2M-96.0K0.8473.57N/AN/A1,5521,31028,31613,452
2017-01-13$23.52$25.0041.2%11.8%24.6%13.9%41.4%1.5%1.3%960.9K-25.2M-90.7K0.7480.38N/AN/A1,7721,31828,60413,458
2017-01-17$23.22$25.0043.1%12.4%23.9%16.0%43.6%3.0%0.9%1.1M-19.5M-88.1K1.0079.19N/AN/A1,5361,53428,64613,436
2017-01-18$22.98$25.0041.7%11.9%23.7%14.4%44.2%0.9%3.3%1.2M-20.8M-80.4K0.9480.76N/AN/A1,5921,50428,62213,664
2017-01-19$23.15$25.0041.9%12.0%23.0%14.7%42.9%0.6%2.2%-46.1K-24.5M-75.7K0.7885.57N/AN/A2,1401,66028,65813,974
2017-01-20$23.55$25.0042.3%12.1%24.2%15.1%41.8%2.1%0.2%-21.6K-25.7M-77.4K0.9081.61N/AN/A2,2402,02628,92614,216
2017-01-23$24.27$25.0038.9%11.2%27.0%11.4%40.1%2.8%3.8%6.6K730.8K-81.4K0.6184.70N/AN/A2,6741,6329,5628,780
2017-01-24$24.80$25.0037.5%10.8%28.1%9.8%38.9%0.5%3.6%59.1K-938.7K-83.4K0.6779.76N/AN/A2,1961,48210,1149,132
2017-01-25$24.57$25.0035.5%10.2%28.2%7.5%38.6%2.1%8.0%61.1K-647.0K-82.9K0.7062.25N/AN/A1,8221,26810,3249,148
2017-01-26$24.72$25.0036.1%10.3%27.5%8.2%36.6%5.5%3.6%78.5K-757.4K-82.5K1.9477.32N/AN/A1,7503,39810,4729,210
2017-01-27$24.66$25.0035.5%10.2%26.8%7.6%35.8%1.7%7.5%16.3K1.1M-95.3K0.6785.88N/AN/A1,8681,26010,50211,150
2017-01-30$24.54$25.0037.1%10.6%25.8%9.4%39.8%1.6%3.3%19.3K1.0M-96.5K0.8493.27N/AN/A1,5381,28810,89811,228
2017-01-31$25.13$25.0036.7%10.5%27.1%8.9%37.7%6.7%2.7%80.1K-1.0M-98.1K0.7460.20N/AN/A1,6321,21211,10811,216