FIZZ Options History — December 2017

In December 2017, FIZZ traded between $48.33 and $56.38. ATM implied volatility averaged 43.4%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 5.7% (HV 20d: 49.1%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2017-12-08: Highest Volume — 6,312 contracts
  • 2017-12-07: Largest IV drop — 26.8% change
  • 2017-12-04: Highest IV Rank — 100.0%
  • 2017-12-01: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.70$48.33$56.38$53.22$48.69
Max Pain$52.38$50.00$52.50$50.00$52.50
ATM IV43.4%35.3%63.4%54.8%35.5%
Expected Move11.3%10.1%15.7%15.7%10.2%
HV 20d49.1%36.6%56.8%36.6%49.9%
HV 60d43.9%39.0%46.1%39.8%43.1%
IV Rank41.2%15.6%100.0%93.2%16.0%
IV Percentile58.0%21.4%100.0%98.0%23.4%
Term Structure0.9%-10.2%3.6%-10.2%2.5%
VWIV39.9%36.4%56.7%56.7%36.6%
Skew 25d2.5%-1.5%4.6%-1.5%1.3%
Skew 10d5.9%-1.5%11.3%4.2%3.2%
Call IV 25d39.2%35.2%57.5%57.5%36.4%
Put IV 25d41.7%37.3%56.1%56.1%37.7%
Bid-Ask Spread %57.3540.1274.1865.6543.10
Gamma HHI0.100.080.160.090.10
Net GEX42.5K-373.5K749.8K293.6K-318.0K
Net DEX-6.6M-32.4M9.3M-15.6M7.7M
Net VEX-126.5K-146.7K-109.8K-146.4K-120.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.471.511.510.53
Total Volume3,616.22,2566,3124,6803,254
Total OI25,247.821,19829,42424,42824,816

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$53.22$50.0054.8%15.7%36.6%93.2%56.7%-1.5%-10.2%293.6K-15.6M-146.4K1.5165.65N/AN/A1,8682,81212,14612,282
2017-12-04$53.06$52.5060.6%12.7%36.7%100.0%44.5%3.1%-1.9%232.8K-14.0M-146.7K0.7040.12N/AN/A1,6121,13612,67213,440
2017-12-05$52.91$52.5063.4%12.9%36.7%100.0%44.5%3.4%-2.5%198.9K-12.9M-144.0K0.6943.96N/AN/A1,6501,13612,71813,542
2017-12-06$54.47$52.5059.1%13.1%37.2%87.0%46.3%3.4%-2.8%311.6K-19.5M-142.3K0.5254.59N/AN/A2,1101,10612,71213,560
2017-12-07$56.38$52.5043.3%10.9%38.6%39.5%39.0%3.9%1.1%749.8K-32.4M-132.7K0.7858.98N/AN/A3,2402,53013,14613,620
2017-12-08$50.42$52.5046.0%11.6%56.8%47.5%40.2%3.6%2.8%-229.1K463.5K-133.7K0.5465.66N/AN/A4,0902,22213,07014,032
2017-12-11$50.62$52.5049.5%11.2%56.8%58.1%39.2%2.5%2.7%-203.6K-152.2K-127.6K0.6245.79N/AN/A2,3681,46214,02014,630
2017-12-12$50.64$52.5048.9%10.9%56.7%56.6%38.3%2.6%3.4%-171.7K-563.0K-127.3K0.6651.99N/AN/A2,0561,35814,39214,848
2017-12-13$51.13$52.5038.9%11.1%56.2%26.3%38.3%2.7%2.3%5.9K-4.7M-125.9K0.8063.41N/AN/A1,8761,49414,50014,924
2017-12-14$52.41$52.5037.1%10.6%56.7%21.0%37.5%2.9%3.3%361.5K-13.5M-123.2K0.6757.68N/AN/A2,1321,43214,55814,754
2017-12-15$51.54$52.5037.2%10.7%56.7%21.1%37.4%3.0%3.2%16.1K-6.7M-120.0K0.6256.60N/AN/A2,6661,65014,21614,770
2017-12-18$52.22$52.5035.3%10.1%56.8%15.6%36.7%4.6%3.6%-2.3K-5.6M-119.3K0.6974.18N/AN/A1,7681,21210,17011,140
2017-12-19$52.70$52.5036.1%10.4%50.6%18.0%38.3%2.7%2.1%106.2K-8.5M-117.2K0.9556.52N/AN/A1,6121,52410,31010,888
2017-12-20$53.02$52.5035.8%10.3%50.6%17.1%36.6%2.1%1.3%164.9K-10.6M-116.7K0.7756.77N/AN/A1,27698010,44811,030
2017-12-21$51.66$52.5036.1%10.3%49.2%17.8%36.4%2.5%1.9%63.3K-5.9M-118.2K0.8059.58N/AN/A1,3021,04010,70411,142
2017-12-22$50.80$52.5036.5%10.5%49.4%19.2%36.5%1.2%1.8%-28.1K-2.8M-116.3K0.9964.58N/AN/A1,2441,22810,77411,320
2017-12-26$49.69$52.5039.1%11.2%49.7%27.0%39.0%1.3%-0.9%-145.4K1.7M-109.8K0.9066.28N/AN/A2,1301,92410,79611,352
2017-12-27$50.13$52.5037.0%10.6%49.5%20.7%37.6%1.6%2.2%-183.9K1.5M-125.9K0.6258.05N/AN/A2,1961,37211,53212,204
2017-12-28$48.33$52.5037.8%10.8%50.4%23.0%38.8%2.7%2.1%-373.5K9.3M-115.9K0.4763.43N/AN/A2,8961,36011,48012,298
2017-12-29$48.69$52.5035.5%10.2%49.9%16.0%36.6%1.3%2.5%-318.0K7.7M-120.7K0.5343.10N/AN/A2,1261,12811,99012,826