FIZZ Options History — April 2017

In April 2017, FIZZ traded between $42.27 and $45.58. ATM implied volatility averaged 34.6%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 11.5% (HV 20d: 23.1%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.78.

Notable Days

  • 2017-04-21: Highest Volume — 7,058 contracts
  • 2017-04-28: Largest IV drop — 8.6% change
  • 2017-04-21: Highest IV Rank — 20.9%
  • 2017-04-21: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.31$42.27$45.58$42.27$44.42
Max Pain$42.11$40.00$42.50$40.00$42.50
ATM IV34.6%31.5%36.8%36.2%31.5%
Expected Move10.0%9.0%10.5%10.4%9.0%
HV 20d23.1%11.3%39.5%39.5%29.8%
HV 60d30.3%28.6%32.1%31.7%32.1%
IV Rank15.3%7.3%20.9%19.3%7.3%
IV Percentile13.7%5.6%29.8%21.0%5.6%
Term Structure0.2%-2.3%4.2%-1.4%1.2%
VWIV36.4%34.3%38.6%36.6%34.3%
Skew 25d3.7%2.0%6.2%3.6%4.1%
Skew 10d7.5%0.6%13.9%11.3%13.9%
Call IV 25d34.4%32.6%35.5%35.2%32.6%
Put IV 25d38.1%36.4%41.7%38.8%36.7%
Bid-Ask Spread %69.5956.8084.9384.9375.17
Gamma HHI0.260.120.480.270.24
Net GEX43.0K-320.6K656.3K-282.1K300.8K
Net DEX-57.8M-73.6M-46.9M-53.9M-52.4M
Net VEX-89.7K-104.1K-75.9K-99.4K-86.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.541.070.600.64
Total Volume4,460.9473,5147,0585,1303,892
Total OI40,183.78933,43244,72440,21834,578

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$42.27$40.0036.2%10.4%39.5%19.3%36.6%3.6%-1.4%-282.1K-53.9M-99.4K0.6084.93N/AN/A3,2141,91618,41821,800
2017-04-04$42.64$40.0035.1%10.1%39.5%16.4%37.3%4.2%-0.2%-235.6K-56.0M-97.4K0.5679.11N/AN/A2,8861,62618,51821,884
2017-04-05$42.82$40.0035.4%10.2%39.0%17.4%38.0%4.5%-0.3%-213.7K-57.5M-93.0K0.8682.63N/AN/A2,1921,88418,72822,130
2017-04-06$42.38$42.5034.0%10.0%23.2%13.6%38.3%3.9%-0.7%-294.3K-53.9M-104.1K0.8856.80N/AN/A1,9561,72618,74622,620
2017-04-07$42.48$42.5033.7%9.6%14.9%12.9%37.2%3.1%0.2%-320.6K-55.0M-97.4K1.0766.01N/AN/A2,0542,19418,81422,888
2017-04-10$42.90$42.5034.8%10.1%13.5%15.6%35.4%3.1%-1.8%-241.4K-58.9M-90.1K1.0758.60N/AN/A2,3542,50818,91823,056
2017-04-11$42.80$42.5033.7%9.7%14.0%12.8%35.6%3.6%0.0%-245.2K-58.4M-91.8K1.0762.51N/AN/A2,0262,16619,09423,296
2017-04-12$42.78$42.5034.8%10.0%11.9%15.7%35.8%3.3%-0.8%-242.2K-58.3M-89.9K0.9163.60N/AN/A2,2862,08219,12623,338
2017-04-13$42.84$42.5034.6%9.9%12.1%15.3%35.7%2.0%0.5%-69.8K-60.8M-86.3K0.7766.16N/AN/A2,6782,05019,06823,530
2017-04-17$42.87$42.5036.4%10.4%11.3%19.7%38.6%3.1%-1.1%-57.3K-60.3M-85.0K0.7769.38N/AN/A2,6442,02819,36823,536
2017-04-18$44.50$42.5034.8%10.0%15.9%15.7%37.1%3.9%-0.5%493.1K-70.1M-75.9K0.6665.50N/AN/A2,8741,90219,51823,778
2017-04-19$45.58$42.5034.7%9.9%17.0%15.5%35.0%4.6%-0.5%520.6K-73.6M-85.1K0.6970.58N/AN/A2,9962,07419,68024,162
2017-04-20$45.13$42.5035.3%10.1%18.0%16.9%36.6%2.9%-2.3%656.3K-72.4M-77.8K0.7858.96N/AN/A2,5922,01219,78224,594
2017-04-21$42.84$42.5036.8%10.5%27.5%20.9%38.3%6.2%2.2%132.9K-60.4M-91.1K0.8366.66N/AN/A3,8563,20219,87824,846
2017-04-24$43.72$42.5035.5%10.2%28.1%17.7%35.8%4.8%1.6%237.4K-50.1M-84.8K0.6470.12N/AN/A2,4381,55816,25817,174
2017-04-25$43.83$42.5033.3%9.5%27.8%11.8%34.6%3.6%-1.3%256.5K-50.8M-86.9K0.5469.91N/AN/A2,4561,33616,55417,326
2017-04-26$43.14$42.5033.4%9.6%28.1%12.1%36.5%3.7%4.2%216.2K-48.1M-87.1K0.7878.60N/AN/A2,0121,57416,66817,386
2017-04-27$43.02$42.5034.5%9.9%27.8%14.9%36.0%2.5%4.0%205.6K-46.9M-95.6K0.7677.01N/AN/A1,9961,51816,72417,710
2017-04-28$44.42$42.5031.5%9.0%29.8%7.3%34.3%4.1%1.2%300.8K-52.4M-86.3K0.6475.17N/AN/A2,3801,51216,72417,854