FIZZ Options History — July 2017

In July 2017, FIZZ traded between $46.60 and $54.28. ATM implied volatility averaged 40.0%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 2.4% (HV 20d: 42.4%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2017-07-13: Highest Volume — 7,412 contracts
  • 2017-07-12: Largest IV drop — 19.4% change
  • 2017-07-11: Highest IV Rank — 56.1%
  • 2017-07-03: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.52$46.60$54.28$46.60$51.16
Max Pain$47.13$40.00$50.00$40.00$50.00
ATM IV40.0%34.8%50.5%43.4%39.8%
Expected Move11.0%10.0%12.4%12.4%11.4%
HV 20d42.4%27.4%52.0%32.4%52.0%
HV 60d39.0%34.2%41.9%34.2%38.0%
IV Rank28.3%15.8%56.1%37.9%26.0%
IV Percentile46.9%17.5%88.1%67.1%47.6%
Term Structure0.8%-4.2%4.1%-4.2%0.8%
VWIV40.1%36.2%47.3%45.9%40.9%
Skew 25d2.9%0.8%4.5%3.0%2.0%
Skew 10d7.6%3.1%18.9%7.8%4.7%
Call IV 25d38.4%35.2%43.9%43.9%39.7%
Put IV 25d41.3%37.6%47.7%46.9%41.8%
Bid-Ask Spread %45.5323.6478.2278.2236.74
Gamma HHI0.110.090.180.100.11
Net GEX443.9K192.5K1.3M192.5K397.2K
Net DEX-26.5M-51.4M-15.5M-15.5M-21.4M
Net VEX-123.4K-143.0K-102.4K-109.4K-138.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.421.601.590.90
Total Volume3,842.52,1227,4123,1062,538
Total OI27,131.521,94434,19423,41625,286

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$46.60$40.0043.4%12.4%32.4%37.9%45.9%3.0%-4.2%192.5K-15.5M-109.4K1.5978.22N/AN/A1,1981,9088,73614,680
2017-07-05$47.28$40.0042.8%12.3%32.5%36.4%47.3%4.5%-2.4%198.1K-16.2M-112.8K1.5376.20N/AN/A1,2841,9648,73614,890
2017-07-06$47.17$45.0043.6%11.2%32.3%38.3%38.5%3.7%-1.8%240.3K-16.7M-111.4K1.3025.31N/AN/A1,3381,7349,05014,868
2017-07-07$48.33$45.0045.7%11.3%33.4%43.8%41.0%0.8%-0.6%293.2K-20.9M-104.8K1.1125.60N/AN/A2,6522,9328,93614,896
2017-07-10$51.58$45.0049.9%11.6%27.4%54.5%41.2%3.6%-2.0%339.4K-31.2M-102.4K0.4242.53N/AN/A3,8181,6109,75416,096
2017-07-11$51.59$45.0050.5%11.5%27.5%56.1%41.7%2.9%-1.7%474.7K-32.2M-116.5K0.7823.64N/AN/A1,8481,45011,15216,634
2017-07-12$52.52$47.5040.7%11.7%27.6%30.9%42.8%3.8%-1.2%537.4K-36.3M-109.6K1.6042.61N/AN/A1,4242,28011,50016,884
2017-07-13$48.35$47.5039.4%11.3%42.7%27.6%38.8%2.9%0.4%210.0K-17.7M-125.7K0.9756.42N/AN/A3,7543,65811,61617,188
2017-07-14$50.16$47.5035.7%10.2%44.1%18.1%36.8%3.1%2.5%467.8K-28.7M-123.7K0.7448.36N/AN/A2,7162,00012,53817,848
2017-07-17$49.27$47.5037.2%10.7%44.9%22.1%38.9%2.9%1.1%473.8K-25.4M-123.9K0.9740.34N/AN/A1,7141,66612,99218,112
2017-07-18$50.08$47.5037.2%10.7%45.1%21.9%41.1%3.0%2.5%709.3K-29.3M-126.5K0.8628.34N/AN/A1,5041,28813,57218,616
2017-07-19$52.31$47.5034.8%10.0%47.1%15.8%36.2%2.4%4.1%901.2K-40.8M-123.0K0.4344.28N/AN/A3,8281,65813,52618,650
2017-07-20$54.28$47.5036.1%10.4%48.3%19.2%37.8%2.9%1.9%1.3M-51.4M-122.0K0.6039.56N/AN/A3,2561,96014,40619,086
2017-07-21$51.89$50.0036.8%10.6%51.9%21.0%37.9%1.6%2.5%341.0K-38.7M-128.1K0.5952.28N/AN/A3,0881,81014,47219,722
2017-07-24$52.89$50.0038.3%11.0%51.6%24.6%40.2%3.0%1.8%375.8K-24.9M-134.7K1.1340.04N/AN/A1,3781,5569,82612,118
2017-07-25$51.63$50.0036.5%10.5%51.6%17.1%38.5%2.0%3.2%364.6K-22.4M-133.9K1.0155.73N/AN/A1,2021,21610,26012,724
2017-07-26$50.99$50.0037.4%10.7%52.0%19.3%38.5%2.8%2.5%302.9K-19.5M-136.3K0.8367.68N/AN/A1,6461,36610,40412,960
2017-07-27$50.95$50.0037.6%10.8%51.9%19.9%38.5%2.0%2.7%348.4K-20.2M-141.5K0.6156.58N/AN/A1,54694011,29613,378
2017-07-28$51.40$50.0036.3%10.4%51.9%16.4%39.3%4.3%3.3%403.3K-21.2M-143.0K0.8030.24N/AN/A1,17694611,71013,512
2017-07-31$51.16$50.0039.8%11.4%52.0%26.0%40.9%2.0%0.8%397.2K-21.4M-138.6K0.9036.74N/AN/A1,3381,20011,73413,552