FIZZ Options History — November 2017

In November 2017, FIZZ traded between $46.91 and $55.21. ATM implied volatility averaged 48.1%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 12.8% (HV 20d: 35.4%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2017-11-20: Highest Volume — 4,452 contracts
  • 2017-11-27: Largest IV spike — 9.7% change
  • 2017-11-30: Highest IV Rank — 94.4%
  • 2017-11-29: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.59$46.91$55.21$47.92$54.60
Max Pain$49.88$47.50$50.00$50.00$50.00
ATM IV48.1%40.6%56.6%41.6%55.1%
Expected Move14.0%11.9%16.2%11.9%15.8%
HV 20d35.4%22.6%42.3%40.8%36.1%
HV 60d37.1%35.0%39.7%36.1%39.7%
IV Rank49.4%27.9%94.4%30.7%94.4%
IV Percentile86.2%57.5%99.6%65.5%98.4%
Term Structure-5.9%-11.9%4.0%4.0%-11.1%
VWIV49.3%45.9%56.1%45.9%56.1%
Skew 25d2.9%1.4%5.2%2.1%3.4%
Skew 10d6.0%3.9%8.4%5.3%5.8%
Call IV 25d48.0%42.4%54.9%42.4%54.4%
Put IV 25d51.0%44.5%57.7%44.5%57.7%
Bid-Ask Spread %56.7838.2373.6373.6360.27
Gamma HHI0.110.090.190.110.09
Net GEX114.4K-268.5K585.6K-180.5K390.3K
Net DEX-4.2M-21.1M11.5M7.5M-21.1M
Net VEX-142.5K-149.9K-134.6K-143.8K-147.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.501.371.220.89
Total Volume3,470.4762,7524,4523,6143,014
Total OI25,434.1920,36228,34825,58624,238

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$47.92$50.0041.6%11.9%40.8%30.7%45.9%2.1%4.0%-180.5K7.5M-143.8K1.2273.63N/AN/A1,6281,98612,65812,928
2017-11-02$46.91$50.0040.6%12.9%41.1%27.9%46.1%3.7%-3.3%-268.5K11.5M-142.6K1.0344.91N/AN/A1,9622,01412,85013,090
2017-11-03$46.95$50.0040.9%13.2%41.2%28.7%46.5%2.2%-4.3%-199.0K11.0M-141.5K1.2046.78N/AN/A1,8442,21413,30813,080
2017-11-06$47.60$50.0044.5%13.7%41.4%38.5%47.2%2.3%-4.5%-92.5K8.2M-140.3K1.2147.87N/AN/A1,7302,08613,57613,044
2017-11-07$48.67$50.0044.4%13.7%41.9%38.2%47.7%3.0%-4.9%75.9K2.7M-145.7K1.0948.22N/AN/A1,7781,93813,75612,958
2017-11-08$49.17$47.5046.8%13.4%42.3%44.6%47.0%1.4%-5.2%150.9K51.6K-145.9K1.1351.06N/AN/A1,6021,81013,89013,034
2017-11-09$48.38$50.0047.9%13.7%38.5%47.5%47.7%3.4%-5.2%40.1K3.8M-142.3K1.0958.62N/AN/A1,6881,84213,91013,076
2017-11-10$48.27$50.0047.4%13.6%38.4%46.2%46.7%5.2%-4.8%29.8K5.1M-140.6K1.3763.06N/AN/A1,3681,87414,16613,230
2017-11-13$48.16$50.0047.1%13.5%37.5%45.4%48.1%4.5%-4.5%-11.6K6.0M-135.4K1.0663.44N/AN/A1,3341,41814,32213,398
2017-11-14$49.37$50.0047.5%13.6%22.6%46.4%48.4%3.2%-5.0%203.2K-95.5K-138.6K1.1757.61N/AN/A1,3581,59414,35013,786
2017-11-15$49.95$50.0048.4%13.9%23.0%48.7%49.1%3.5%-6.6%272.5K-2.3M-139.8K0.6555.72N/AN/A2,0961,35214,36613,934
2017-11-16$50.98$50.0048.6%13.9%24.0%49.4%49.4%2.5%-5.9%585.6K-8.8M-139.5K0.7761.62N/AN/A1,6881,30814,22414,000
2017-11-17$51.09$50.0048.3%13.9%23.2%48.7%47.5%2.8%-6.2%10.1K-11.0M-135.4K0.6763.93N/AN/A2,5801,73814,27614,072
2017-11-20$54.85$50.0048.2%13.8%33.0%48.2%48.7%2.1%-6.1%179.1K-17.5M-134.6K0.5138.23N/AN/A2,9541,4989,62610,736
2017-11-21$55.21$50.0047.4%13.6%32.7%46.1%47.4%2.4%-6.6%310.0K-21.1M-143.9K0.5052.41N/AN/A2,2121,10410,77211,026
2017-11-22$52.90$50.0050.2%14.4%36.5%53.8%49.8%3.6%-7.2%157.7K-12.8M-143.8K0.8959.46N/AN/A1,8681,66410,57411,116
2017-11-24$53.01$50.0049.8%14.3%36.4%52.6%51.2%2.8%-4.1%132.8K-11.7M-149.2K1.1162.62N/AN/A1,4941,66010,88211,672
2017-11-27$52.09$50.0054.7%15.7%37.3%65.6%55.0%1.5%-9.7%87.7K-8.9M-144.9K0.5161.21N/AN/A2,1841,10810,93611,714
2017-11-28$52.77$50.0054.5%15.6%37.4%65.3%54.2%3.4%-10.6%204.5K-12.7M-148.3K0.5560.86N/AN/A2,1481,19011,63611,804
2017-11-29$53.59$50.0056.6%16.2%37.1%70.9%56.0%2.1%-11.9%323.3K-17.0M-149.9K0.7860.78N/AN/A1,6561,29612,07612,028
2017-11-30$54.60$50.0055.1%15.8%36.1%94.4%56.1%3.4%-11.1%390.3K-21.1M-147.6K0.8960.27N/AN/A1,5981,41612,12212,116