FIZZ Options History — January 2018

In January 2018, FIZZ traded between $47.59 and $55.44. ATM implied volatility averaged 38.1%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 1.8% (HV 20d: 36.3%). Max pain ranged from $47.50 to $52.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2018-01-24: Highest Volume — 6,858 contracts
  • 2018-01-29: Largest IV spike — 9.4% change
  • 2018-01-30: Highest IV Rank — 34.0%
  • 2018-01-30: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.01$47.59$55.44$49.09$55.24
Max Pain$50.71$47.50$52.50$52.50$52.50
ATM IV38.1%35.8%41.4%38.5%39.3%
Expected Move11.0%10.6%11.9%11.0%11.3%
HV 20d36.3%28.0%50.5%49.5%28.2%
HV 60d41.1%39.2%43.7%43.1%39.2%
IV Rank24.1%17.0%34.0%25.1%27.5%
IV Percentile48.5%27.0%71.0%48.8%58.3%
Term Structure3.4%0.4%5.0%0.7%3.5%
VWIV38.9%37.0%43.3%40.3%43.3%
Skew 25d2.5%0.7%5.8%2.0%4.5%
Skew 10d5.8%-4.1%20.7%4.4%20.7%
Call IV 25d38.4%36.0%42.3%38.2%41.2%
Put IV 25d40.9%38.2%47.3%40.3%45.7%
Bid-Ask Spread %72.5457.6986.1262.8786.12
Gamma HHI0.220.100.410.100.38
Net GEX332.3K-566.3K1.2M-321.6K1.1M
Net DEX-8.3M-26.4M13.6M7.3M-25.7M
Net VEX-123.1K-161.7K-100.2K-117.0K-161.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.090.840.680.29
Total Volume3,441.6192,1086,8583,1182,570
Total OI22,713.33310,88428,49024,89818,494

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$49.09$52.5038.5%11.0%49.5%25.1%40.3%2.0%0.7%-321.6K7.3M-117.0K0.6862.87N/AN/A1,8541,26411,99212,906
2018-01-03$47.59$52.5039.4%11.3%50.4%27.9%40.3%1.6%0.4%-491.5K13.6M-110.3K0.5372.40N/AN/A2,3561,24212,08613,232
2018-01-04$47.74$50.0036.5%11.0%50.5%19.1%40.0%3.6%4.0%-566.3K12.9M-116.7K0.3866.19N/AN/A2,58499212,56413,602
2018-01-05$48.70$47.5035.8%10.8%49.8%17.0%38.1%0.7%5.0%-389.8K8.4M-118.9K0.4657.69N/AN/A2,5281,16012,95013,670
2018-01-08$49.67$47.5036.9%10.8%48.5%20.5%38.8%2.3%3.7%-265.0K3.0M-121.4K0.3367.13N/AN/A2,69089413,14413,996
2018-01-09$51.81$47.5037.2%10.6%32.1%21.3%37.4%0.9%3.4%183.0K-8.3M-125.6K0.6170.67N/AN/A2,3341,43013,42814,064
2018-01-10$51.38$50.0037.0%10.6%32.2%20.5%37.9%2.7%4.2%176.8K-5.8M-122.3K0.8466.06N/AN/A2,0641,73013,69214,094
2018-01-11$50.12$50.0037.0%10.6%33.5%20.7%37.9%1.5%4.8%-42.6K1.4M-117.0K0.7172.74N/AN/A2,0341,44813,77013,812
2018-01-12$50.65$50.0037.1%10.6%33.5%20.9%37.3%2.2%4.5%83.6K-1.2M-117.4K0.6674.19N/AN/A1,9101,25613,85614,186
2018-01-16$50.81$50.0038.8%11.1%32.2%25.9%40.3%2.7%3.2%123.8K-3.0M-111.0K0.4166.84N/AN/A2,39498013,87014,268
2018-01-17$52.50$50.0037.1%10.6%33.9%20.8%38.0%1.5%4.0%900.8K-14.2M-110.7K0.4672.24N/AN/A2,08696214,15014,340
2018-01-18$52.72$50.0038.4%11.0%33.6%25.0%38.9%1.3%3.2%1.1M-14.3M-106.9K0.4677.10N/AN/A1,93888813,85614,348
2018-01-19$53.71$50.0039.2%11.3%34.1%27.4%37.6%4.1%2.6%237.7K-19.7M-104.5K0.2976.82N/AN/A3,13891613,79214,358
2018-01-22$52.77$50.0038.6%11.1%34.6%25.3%39.3%2.8%3.9%247.6K-8.9M-100.2K0.5065.17N/AN/A1,8869446,6184,266
2018-01-23$53.08$52.5038.3%11.0%33.3%24.6%38.3%1.9%1.8%266.6K-9.2M-102.8K0.4172.14N/AN/A1,4986106,9904,608
2018-01-24$54.08$52.5038.4%11.0%33.2%24.8%37.0%4.1%3.9%286.0K-10.8M-104.8K0.0975.64N/AN/A6,3105487,0424,728
2018-01-25$54.69$52.5038.8%11.1%31.9%26.0%38.9%1.8%2.3%933.2K-21.0M-140.8K0.2078.49N/AN/A3,39667611,2704,936
2018-01-26$55.20$52.5036.8%10.6%31.9%20.2%37.5%3.2%4.9%1.2M-25.6M-155.4K0.2381.10N/AN/A2,22250812,7084,978
2018-01-29$55.20$52.5040.3%11.6%28.0%30.6%40.5%1.4%4.9%1.1M-26.4M-158.9K0.2579.04N/AN/A2,81470213,0325,094
2018-01-30$55.44$52.5041.4%11.9%28.0%34.0%40.2%5.8%1.6%1.1M-26.4M-160.9K0.4182.59N/AN/A1,78273612,8025,388
2018-01-31$55.24$52.5039.3%11.3%28.2%27.5%43.3%4.5%3.5%1.1M-25.7M-161.7K0.2986.12N/AN/A1,99058012,9485,546