FIZZ Options History — February 2018

In February 2018, FIZZ traded between $47.49 and $55.16. ATM implied volatility averaged 51.7%, placing in the 64.7% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 18.3% (HV 20d: 33.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.46.

Notable Days

  • 2018-02-23: Highest Volume — 4,736 contracts
  • 2018-02-05: Largest IV spike — 17.7% change
  • 2018-02-28: Highest IV Rank — 93.6%
  • 2018-02-28: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.12$47.49$55.16$55.16$49.07
Max Pain$52.50$50.00$55.00$55.00$50.00
ATM IV51.7%41.2%61.3%41.2%61.3%
Expected Move14.8%12.8%17.6%12.8%17.6%
HV 20d33.4%24.9%36.4%24.9%35.9%
HV 60d40.5%39.2%42.7%39.2%39.4%
IV Rank64.7%33.2%93.6%33.2%93.6%
IV Percentile91.8%69.0%99.6%69.0%99.6%
Term Structure-5.3%-13.9%-0.4%-2.6%-13.9%
VWIV52.6%46.9%60.8%46.9%60.8%
Skew 25d3.5%0.8%7.2%1.9%1.3%
Skew 10d8.5%-1.6%24.8%8.4%6.4%
Call IV 25d51.1%44.0%60.2%44.0%59.6%
Put IV 25d54.7%45.9%63.4%45.9%61.0%
Bid-Ask Spread %69.0056.2481.7356.2463.85
Gamma HHI0.200.150.370.370.17
Net GEX459.2K107.4K1.0M1.0M646.0K
Net DEX-9.5M-24.8M1.2M-24.8M-13.1M
Net VEX-144.4K-180.4K-123.6K-155.0K-179.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.320.850.320.47
Total Volume3,199.8952,3404,7362,3403,438
Total OI20,128.52616,93423,35018,13823,350

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$55.16$55.0041.2%12.8%24.9%33.2%46.9%1.9%-2.6%1.0M-24.8M-155.0K0.3256.24N/AN/A1,76857212,6145,524
2018-02-02$54.11$55.0044.9%13.4%26.6%44.5%48.1%1.9%-1.6%963.9K-21.3M-149.9K0.3677.24N/AN/A1,75263012,6105,462
2018-02-05$52.58$55.0052.9%14.6%28.8%68.4%52.9%3.9%-2.9%717.2K-15.5M-143.9K0.5179.87N/AN/A2,2601,15612,6245,528
2018-02-06$50.58$55.0049.0%13.6%31.8%56.6%47.8%1.9%-2.6%370.2K-6.5M-130.6K0.6072.22N/AN/A2,4401,45612,2446,030
2018-02-07$51.62$52.5045.9%13.2%28.9%47.4%47.5%3.3%-2.7%391.4K-9.3M-141.8K0.4166.78N/AN/A1,66868613,1126,726
2018-02-08$48.48$52.5052.5%15.0%36.4%67.2%53.2%4.5%-2.2%140.2K-192.5K-130.0K0.4574.67N/AN/A1,70276213,1986,744
2018-02-09$47.69$52.5055.0%15.8%35.9%74.8%56.6%3.2%-0.6%129.3K777.1K-127.6K0.4281.73N/AN/A2,18691413,4346,874
2018-02-12$47.49$52.5050.9%14.6%35.5%62.5%52.3%6.2%-2.3%107.4K1.2M-123.6K0.3379.82N/AN/A2,16070613,8127,016
2018-02-13$48.41$52.5047.6%13.7%36.4%52.7%50.4%5.2%-0.4%171.6K-735.2K-131.0K0.3868.27N/AN/A2,13281814,6847,094
2018-02-14$48.45$52.5047.8%13.7%34.0%53.1%48.5%2.9%-4.8%213.7K-310.6K-126.0K0.3766.46N/AN/A2,08276414,9247,038
2018-02-15$49.42$52.5047.4%13.6%34.9%52.0%48.6%3.6%-2.7%157.3K-4.8M-134.0K0.8566.91N/AN/A1,9261,64415,3427,062
2018-02-16$50.16$52.5050.1%14.4%34.6%60.1%49.5%2.8%-5.1%414.0K-10.1M-138.9K0.3566.32N/AN/A2,9161,01615,2027,570
2018-02-20$49.16$52.5052.6%15.1%34.7%67.6%53.5%6.1%-4.3%383.0K-7.5M-133.6K0.4363.47N/AN/A2,26497411,5945,340
2018-02-21$49.20$52.5054.0%15.5%34.6%71.8%55.8%3.6%-6.6%450.0K-9.4M-142.8K0.5861.27N/AN/A1,63094812,4465,562
2018-02-22$49.12$52.5054.9%15.7%33.6%74.5%54.2%4.1%-8.0%461.1K-8.8M-143.4K0.6172.88N/AN/A1,7201,04612,7825,706
2018-02-23$50.74$50.0057.2%16.4%35.7%81.3%57.1%7.2%-9.8%590.5K-15.3M-155.8K0.3763.13N/AN/A3,4501,28613,2345,898
2018-02-26$50.53$50.0057.6%16.5%35.4%82.4%57.8%2.9%-13.2%677.1K-16.7M-175.8K0.4362.36N/AN/A2,6841,14215,1886,462
2018-02-27$50.31$50.0058.9%16.9%35.3%86.6%58.9%0.8%-13.7%702.8K-17.2M-180.4K0.4567.52N/AN/A2,8241,27615,8426,570
2018-02-28$49.07$50.0061.3%17.6%35.9%93.6%60.8%1.3%-13.9%646.0K-13.1M-179.8K0.4763.85N/AN/A2,3441,09416,5226,828