FIZZ Options History — September 2017

In September 2017, FIZZ traded between $57.77 and $63.24. ATM implied volatility averaged 39.7%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 15.1% (HV 20d: 24.6%). Max pain ranged from $44.25 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2017-09-08: Highest Volume — 6,014 contracts
  • 2017-09-08: Largest IV drop — 30.6% change
  • 2017-09-05: Highest IV Rank — 69.7%
  • 2017-09-01: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.11$57.77$63.24$58.52$61.98
Max Pain$48.08$44.25$52.50$52.50$49.25
ATM IV39.7%33.0%56.2%50.1%33.6%
Expected Move10.5%9.5%14.4%14.4%9.6%
HV 20d24.6%21.7%28.8%23.2%28.7%
HV 60d35.7%34.3%37.8%37.8%36.7%
IV Rank25.6%7.8%69.7%53.6%9.4%
IV Percentile36.3%5.6%96.4%87.7%7.5%
Term Structure-0.1%-8.8%1.9%-8.8%1.0%
VWIV38.0%34.3%51.9%51.9%35.2%
Skew 25d2.4%1.3%3.9%2.4%1.3%
Skew 10d4.9%2.1%8.7%7.2%2.9%
Call IV 25d36.4%33.2%47.8%47.8%34.4%
Put IV 25d38.8%35.5%50.2%50.2%35.6%
Bid-Ask Spread %49.3628.0862.2262.2256.28
Gamma HHI0.160.110.310.160.15
Net GEX781.9K401.4K1.3M832.5K848.0K
Net DEX-49.7M-69.0M-35.2M-46.1M-54.7M
Net VEX-125.9K-137.9K-105.8K-117.5K-127.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.451.351.111.00
Total Volume3,526.62,2786,0142,6923,148
Total OI29,519.426,56233,20227,30829,788

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$58.52$52.5050.1%14.4%23.2%53.6%51.9%2.4%-8.8%832.5K-46.1M-117.5K1.1162.22N/AN/A1,2781,41413,34013,968
2017-09-05$59.80$44.2556.2%11.7%24.0%69.7%41.4%2.1%-1.9%835.3K-51.3M-105.8K0.7054.52N/AN/A2,7981,96413,37013,996
2017-09-06$60.12$44.2552.1%11.5%23.7%58.8%44.6%3.4%-1.3%965.3K-53.7M-121.9K1.3054.61N/AN/A1,6502,14814,51814,690
2017-09-07$61.15$45.0055.9%11.9%23.3%69.0%42.4%2.8%-2.8%969.5K-58.5M-114.2K1.2153.34N/AN/A1,3681,65814,59214,974
2017-09-08$61.13$45.0038.8%10.8%21.7%23.3%38.3%3.3%-0.0%1.1M-60.5M-107.7K1.1856.03N/AN/A2,7583,25614,65615,138
2017-09-11$63.24$46.7545.0%10.8%23.7%39.7%38.0%2.8%0.2%982.8K-69.0M-111.8K0.6851.64N/AN/A3,3062,25415,22615,900
2017-09-12$61.02$46.7547.0%10.6%26.6%45.3%39.1%1.7%1.0%1.2M-61.2M-130.9K0.8954.15N/AN/A2,0381,80816,19216,360
2017-09-13$60.78$47.5036.0%10.3%25.7%15.6%37.6%2.4%1.4%1.3M-60.6M-127.3K0.9851.05N/AN/A1,9041,86416,32616,498
2017-09-14$60.02$47.5035.4%10.2%26.2%14.1%37.7%2.6%1.7%1.3M-57.1M-132.9K0.8346.77N/AN/A2,4682,05616,36416,838
2017-09-15$59.91$47.5034.6%9.9%23.8%11.9%35.5%3.2%1.9%401.4K-50.3M-126.9K0.4553.49N/AN/A3,2321,46215,85616,858
2017-09-18$59.88$47.5035.6%10.2%23.0%14.7%35.7%2.1%-0.6%468.0K-42.3M-126.8K0.8049.10N/AN/A1,7521,39612,28814,274
2017-09-19$59.91$49.2535.1%10.1%22.7%13.4%35.6%2.6%0.9%511.2K-42.2M-133.7K0.9337.21N/AN/A1,2541,16012,83214,578
2017-09-20$59.87$49.2535.4%10.1%22.3%14.0%36.0%3.9%0.6%537.9K-41.6M-137.7K0.9659.82N/AN/A1,3321,28213,04814,748
2017-09-21$58.48$49.2533.7%9.7%23.9%9.5%34.4%1.5%1.3%490.1K-37.9M-136.4K0.9145.66N/AN/A1,4521,31613,37614,948
2017-09-22$59.04$50.0033.0%9.5%24.1%7.8%34.3%2.9%1.2%510.3K-39.5M-137.9K0.8946.07N/AN/A1,4221,27013,43815,212
2017-09-25$57.77$50.0035.0%10.0%25.2%13.0%35.6%1.9%0.3%460.6K-35.2M-135.0K1.0443.95N/AN/A1,3161,37213,66415,256
2017-09-26$58.63$50.0034.4%9.9%25.5%11.4%35.7%2.3%0.2%515.1K-38.8M-130.5K1.3332.45N/AN/A1,1981,59213,55415,474
2017-09-27$59.24$50.0033.9%9.7%25.8%10.2%36.0%1.3%0.5%587.0K-41.5M-130.5K1.3550.76N/AN/A9701,30813,69615,340
2017-09-28$61.59$50.0033.2%9.5%28.8%8.1%34.3%2.5%0.9%744.6K-51.7M-125.5K0.7628.08N/AN/A1,8801,42813,77015,444
2017-09-29$61.98$49.2533.6%9.6%28.7%9.4%35.2%1.3%1.0%848.0K-54.7M-127.5K1.0056.28N/AN/A1,5761,57214,25415,534