FIZZ Options History — February 2017

In February 2017, FIZZ traded between $24.93 and $29.59. ATM implied volatility averaged 37.2%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 13.1% (HV 20d: 24.0%). Max pain ranged from $25.00 to $29.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.10.

Notable Days

  • 2017-02-24: Highest Volume — 7,790 contracts
  • 2017-02-27: Largest IV spike — 9.2% change
  • 2017-02-28: Highest IV Rank — 21.6%
  • 2017-02-02: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.18$24.93$29.59$24.93$29.24
Max Pain$28.57$25.00$29.25$25.00$27.50
ATM IV37.2%35.2%40.4%36.2%40.4%
Expected Move10.8%10.1%12.3%10.4%11.6%
HV 20d24.0%20.1%30.3%27.2%20.3%
HV 60d33.2%30.5%35.3%33.9%30.5%
IV Rank14.1%7.3%21.6%8.3%21.6%
IV Percentile19.6%7.1%37.7%13.9%37.7%
Term Structure-1.7%-5.1%4.4%4.4%-4.9%
VWIV39.4%36.3%43.6%37.4%43.6%
Skew 25d1.9%-3.1%4.7%1.9%2.3%
Skew 10d1.8%-21.8%11.3%3.3%-12.1%
Call IV 25d38.1%36.3%42.4%38.4%41.1%
Put IV 25d40.1%37.9%43.4%40.3%43.4%
Bid-Ask Spread %72.0359.4785.1074.5585.10
Gamma HHI0.180.150.200.200.17
Net GEX216.9K80.7K383.6K80.7K304.6K
Net DEX-13.1M-19.2M-857.8K-857.8K-16.6M
Net VEX-95.2K-117.3K-85.2K-97.4K-115.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.311.450.890.90
Total Volume3,449.5791,9527,7902,6965,720
Total OI23,915.26321,99227,44422,50227,432

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$24.93$25.0036.2%10.4%27.2%8.3%37.4%1.9%4.4%80.7K-857.8K-97.4K0.8974.55N/AN/A1,4261,27011,27611,226
2017-02-02$25.70$29.2537.1%12.3%29.4%9.3%42.4%4.7%-3.0%109.4K-2.9M-98.8K0.9569.40N/AN/A1,3561,28211,27411,280
2017-02-03$26.50$29.2535.3%10.8%30.3%7.3%39.7%0.8%0.5%180.5K-7.1M-98.0K0.9565.97N/AN/A1,5001,42611,28811,282
2017-02-06$26.72$29.2536.6%10.9%29.9%8.7%39.8%2.7%-1.0%144.2K-6.9M-98.5K1.1371.22N/AN/A1,4141,59811,43011,634
2017-02-07$27.60$29.2535.9%10.8%27.5%10.3%40.3%2.5%-0.6%211.4K-10.9M-97.1K1.0961.22N/AN/A1,4781,60811,55211,780
2017-02-08$28.00$29.2537.2%10.7%27.3%14.0%40.1%2.1%1.9%216.7K-12.5M-94.6K1.3265.49N/AN/A1,1661,54411,76011,752
2017-02-09$28.24$29.2537.7%10.8%25.4%14.8%39.2%1.9%-1.3%235.6K-13.7M-94.6K1.4475.74N/AN/A1,1381,63411,82211,798
2017-02-10$28.52$29.2535.2%10.1%23.6%10.7%36.9%1.8%-1.4%230.8K-15.0M-91.3K1.2972.06N/AN/A8961,16011,86811,936
2017-02-13$28.52$29.2536.8%10.6%23.8%15.0%36.6%3.0%-2.6%219.4K-15.1M-90.1K1.4371.56N/AN/A8041,14811,86611,956
2017-02-14$28.41$29.2536.4%10.4%22.9%14.2%37.8%2.9%-2.3%230.7K-14.9M-88.4K1.1760.35N/AN/A1,0641,25011,89411,984
2017-02-15$28.34$29.2538.4%11.0%22.0%18.0%39.2%-3.1%-2.4%230.1K-14.9M-88.7K1.3973.04N/AN/A1,0741,49211,96212,108
2017-02-16$28.71$29.2535.7%10.2%22.0%12.9%36.8%1.6%-2.3%214.1K-16.0M-87.8K1.4575.05N/AN/A1,1121,60811,95012,306
2017-02-17$28.84$29.2536.6%10.5%22.0%14.7%36.3%2.1%-2.2%156.0K-16.7M-88.7K1.1859.47N/AN/A1,0981,30012,14812,556
2017-02-21$29.41$29.2538.7%11.1%21.0%18.4%40.4%4.1%-3.1%169.5K-14.7M-86.0K1.1375.44N/AN/A1,6061,82210,83611,156
2017-02-22$29.59$27.5038.0%10.9%20.5%17.1%40.1%1.5%-3.1%254.8K-16.9M-85.2K1.3381.67N/AN/A1,0601,40611,47211,480
2017-02-23$29.45$27.5037.6%10.8%20.1%16.5%39.1%1.7%-2.4%246.2K-16.1M-88.9K0.3173.35N/AN/A4,8761,49211,65011,652
2017-02-24$29.30$27.5036.6%10.5%20.7%14.5%41.3%1.3%-1.7%383.6K-19.2M-102.3K0.6081.64N/AN/A4,8762,91413,83011,750
2017-02-27$29.33$27.5039.9%11.4%20.5%20.7%42.1%0.9%-5.1%301.8K-17.1M-117.3K0.8776.28N/AN/A3,1622,76213,88413,560
2017-02-28$29.24$27.5040.4%11.6%20.3%21.6%43.6%2.3%-4.9%304.6K-16.6M-115.2K0.9085.10N/AN/A3,0182,70213,88213,550