FIZZ Options History — June 2017 In June 2017, FIZZ traded between $43.63 and $47.42. ATM implied volatility averaged 40.0%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 7.6% (HV 20d: 32.4%). Max pain ranged from $26.75 to $40.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.86.
Notable Days 2017-06-02 : Highest Volume — 6,254 contracts2017-06-06 : Largest IV drop — 14.6% change2017-06-12 : Highest IV Rank — 45.5%2017-06-30 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $45.94 $43.63 $47.42 $46.88 $47.05 Max Pain $35.58 $26.75 $40.00 $26.75 $40.00 ATM IV 40.0% 35.2% 46.4% 35.2% 41.4% Expected Move 11.3% 10.1% 11.9% 10.1% 11.9% HV 20d 32.4% 25.6% 40.4% 40.4% 32.3% HV 60d 33.7% 30.2% 38.2% 38.2% 34.2% IV Rank 29.3% 16.8% 45.5% 16.8% 32.7% IV Percentile 47.9% 21.8% 71.4% 21.8% 57.9% Term Structure -1.3% -4.2% 3.0% 3.0% -2.3% VWIV 41.6% 39.3% 45.6% 40.8% 42.3% Skew 25d 2.4% 1.1% 4.3% 2.7% 1.1% Skew 10d 6.4% 3.4% 15.1% 3.5% 4.2% Call IV 25d 39.8% 37.0% 42.5% 38.6% 42.2% Put IV 25d 42.2% 40.3% 44.2% 41.3% 43.3% Bid-Ask Spread % 49.58 24.62 69.95 69.10 35.14 Gamma HHI 0.14 0.09 0.43 0.18 0.10 Net GEX 431.1K -27.5K 1.3M 476.8K 180.5K Net DEX -42.3M -99.8M -8.4M -56.2M -16.3M Net VEX -144.9K -207.7K -109.0K -112.8K -109.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.86 0.40 1.44 0.40 1.44 Total Volume 4,306.636 2,912 6,254 6,010 2,912 Total OI 40,075.727 22,368 64,380 38,956 23,096
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2017-06-01 $46.88 $26.75 35.2% 10.1% 40.4% 16.8% 40.8% 2.7% 3.0% 476.8K -56.2M -112.8K 0.40 69.10 N/A N/A 4,296 1,714 17,200 21,756 2017-06-02 $47.24 $27.50 39.5% 11.3% 26.1% 27.7% 39.4% 1.1% -2.6% 1.2M -97.2M -207.7K 0.42 63.64 N/A N/A 4,412 1,842 30,366 33,904 2017-06-05 $47.42 $32.50 44.5% 11.6% 25.6% 40.8% 43.3% 2.1% -2.9% 1.3M -99.8M -199.9K 0.45 57.53 N/A N/A 4,228 1,884 30,356 33,844 2017-06-06 $46.74 $32.50 38.0% 11.0% 26.6% 24.1% 40.6% 2.1% -0.2% 1.2M -92.2M -197.1K 0.45 58.07 N/A N/A 4,306 1,922 30,476 33,904 2017-06-07 $47.22 $31.00 36.8% 10.9% 26.5% 20.8% 39.4% 3.1% -0.9% 1.2M -92.0M -185.0K 0.48 47.25 N/A N/A 3,794 1,822 29,022 33,230 2017-06-08 $47.03 $30.00 36.7% 10.9% 25.6% 20.8% 39.3% 3.7% -0.4% 961.0K -87.5M -174.0K 0.49 52.89 N/A N/A 3,612 1,758 27,062 33,070 2017-06-09 $43.63 $30.00 40.7% 11.2% 37.2% 31.0% 42.4% 1.6% -0.4% 672.2K -62.4M -177.6K 0.65 57.73 N/A N/A 3,458 2,252 26,582 32,500 2017-06-12 $43.95 $35.00 46.4% 11.3% 37.3% 45.5% 43.1% 2.7% -0.8% 181.6K -40.5M -162.4K 1.37 57.27 N/A N/A 1,500 2,056 19,558 30,014 2017-06-13 $43.98 $35.00 45.6% 11.3% 36.2% 43.5% 41.6% 2.3% -0.3% 147.7K -39.7M -159.3K 1.05 32.08 N/A N/A 1,876 1,976 19,630 29,938 2017-06-14 $44.09 $36.75 39.4% 11.3% 36.2% 27.7% 41.9% 4.3% -1.3% 238.4K -40.4M -155.1K 1.15 51.56 N/A N/A 1,554 1,782 19,000 29,982 2017-06-15 $44.57 $36.75 38.5% 11.0% 34.7% 25.4% 41.2% 2.2% -0.5% 338.9K -44.2M -136.9K 0.93 42.17 N/A N/A 2,148 2,006 18,756 28,236 2017-06-16 $44.79 $36.75 38.9% 11.2% 34.6% 26.4% 40.6% 1.7% -1.0% 681.0K -49.3M -135.6K 0.79 41.65 N/A N/A 2,482 1,964 19,418 26,186 2017-06-19 $45.07 $36.75 39.9% 11.5% 33.2% 29.0% 41.5% 3.1% -4.2% -27.5K -8.4M -128.9K 0.95 43.10 N/A N/A 1,766 1,676 7,396 15,022 2017-06-20 $45.37 $39.25 38.4% 11.0% 33.0% 25.0% 41.9% 1.9% -1.6% -22.7K -9.0M -131.7K 0.97 32.90 N/A N/A 1,722 1,664 7,620 15,356 2017-06-21 $45.86 $39.25 40.1% 11.5% 32.4% 29.4% 41.4% 2.8% -1.8% 5.9K -10.4M -127.8K 0.89 24.62 N/A N/A 1,854 1,654 7,714 15,404 2017-06-22 $46.07 $39.25 38.7% 11.1% 31.0% 25.8% 40.8% 3.1% -0.8% 81.3K -12.6M -116.0K 0.83 59.91 N/A N/A 1,974 1,644 7,926 14,442 2017-06-23 $47.27 $39.25 38.3% 11.0% 32.3% 24.9% 39.6% 2.8% -0.2% 124.0K -15.5M -114.6K 1.15 40.46 N/A N/A 1,682 1,938 7,986 14,456 2017-06-26 $46.12 $39.25 41.2% 11.8% 33.2% 32.2% 45.6% 2.0% -2.1% 98.7K -13.1M -113.4K 1.04 69.95 N/A N/A 1,634 1,698 8,110 14,556 2017-06-27 $46.24 $39.25 40.8% 11.7% 33.2% 31.2% 42.8% 1.7% -1.9% 108.3K -13.2M -113.2K 1.01 61.13 N/A N/A 1,668 1,682 8,162 14,600 2017-06-28 $46.94 $40.00 41.2% 11.8% 33.3% 32.3% 42.6% 2.3% -2.7% 130.1K -14.9M -116.7K 0.95 44.78 N/A N/A 1,730 1,652 8,246 14,680 2017-06-29 $47.06 $40.00 40.7% 11.7% 32.4% 31.0% 42.3% 1.8% -2.0% 182.0K -15.9M -113.4K 0.99 47.85 N/A N/A 1,782 1,770 8,454 14,450 2017-06-30 $47.05 $40.00 41.4% 11.9% 32.3% 32.7% 42.3% 1.1% -2.3% 180.5K -16.3M -109.0K 1.44 35.14 N/A N/A 1,192 1,720 8,496 14,600
« May 2017 | All History | Jul 2017 » Home FIZZ History June 2017