FIZZ Options History — March 2018

In March 2018, FIZZ traded between $42.80 and $49.41. ATM implied volatility averaged 48.3%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 10.9% (HV 20d: 37.4%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2018-03-09: Highest Volume — 7,710 contracts
  • 2018-03-09: Largest IV drop — 46.3% change
  • 2018-03-02: Highest IV Rank — 100.0%
  • 2018-03-02: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.59$42.80$49.41$48.28$44.58
Max Pain$47.86$47.50$50.00$50.00$47.50
ATM IV48.3%35.6%78.0%61.2%40.5%
Expected Move12.2%10.2%19.6%17.5%11.6%
HV 20d37.4%33.2%40.3%36.0%38.2%
HV 60d36.0%31.0%39.3%39.3%34.9%
IV Rank41.0%10.3%100.0%93.4%19.3%
IV Percentile61.3%21.0%100.0%99.2%54.8%
Term Structure-1.2%-17.3%5.4%-12.2%-2.3%
VWIV43.5%35.7%68.5%62.8%42.8%
Skew 25d4.3%1.5%14.9%4.9%4.4%
Skew 10d8.8%-3.7%29.4%8.2%21.4%
Call IV 25d41.7%34.6%63.1%61.0%37.3%
Put IV 25d46.0%37.6%67.1%65.9%41.7%
Bid-Ask Spread %71.5154.6083.3158.5883.31
Gamma HHI0.140.120.180.170.13
Net GEX301.7K75.7K712.6K620.4K124.8K
Net DEX268.7K-15.0M11.9M-10.1M2.7M
Net VEX-134.3K-179.9K-96.9K-176.5K-109.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.361.240.481.09
Total Volume3,076.9521,6927,7103,0061,740
Total OI24,067.52420,67228,34424,04022,002

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$48.28$50.0061.2%17.5%36.0%93.4%62.8%4.9%-12.2%620.4K-10.1M-176.5K0.4858.58N/AN/A2,03697017,0726,968
2018-03-02$48.12$50.0068.2%19.6%36.0%100.0%68.5%4.0%-17.3%619.2K-10.4M-174.3K0.5964.80N/AN/A1,8781,10217,1427,050
2018-03-05$47.88$47.5070.5%14.1%35.7%100.0%49.5%3.1%-2.6%594.8K-9.1M-168.8K0.4554.60N/AN/A2,11095017,3187,304
2018-03-06$48.05$47.5074.9%14.0%34.8%100.0%48.8%3.8%-3.3%599.0K-9.0M-169.7K0.4955.91N/AN/A2,0981,02017,5027,500
2018-03-07$49.41$47.5076.3%13.8%34.2%100.0%49.0%2.8%-4.9%712.6K-14.2M-179.9K0.5160.80N/AN/A2,2461,15217,6087,718
2018-03-08$49.33$47.5078.0%14.1%33.2%100.0%49.3%2.7%-5.4%705.1K-15.0M-179.9K0.4560.71N/AN/A2,07694217,7867,956
2018-03-09$45.37$47.5041.9%11.0%38.7%24.6%38.5%4.0%3.1%112.2K7.9M-133.1K0.3673.13N/AN/A5,6822,02817,8928,040
2018-03-12$45.78$50.0042.4%10.3%38.6%25.6%39.6%8.0%5.4%162.0K5.5M-141.3K0.4880.43N/AN/A3,5401,69218,5508,738
2018-03-13$46.55$47.5041.4%10.2%39.2%23.5%35.7%2.6%3.3%252.1K2.4M-140.3K0.5171.26N/AN/A2,6041,34019,0468,840
2018-03-14$44.90$47.5036.5%10.5%40.3%13.4%36.4%2.3%3.2%143.4K9.3M-128.0K0.5877.03N/AN/A2,2101,27818,9988,896
2018-03-15$44.81$47.5036.4%10.4%40.2%13.1%37.8%1.5%4.2%227.5K9.3M-126.2K0.9275.45N/AN/A2,1441,97019,1168,800
2018-03-16$44.51$47.5035.8%10.3%39.2%11.9%37.0%3.9%4.8%212.0K11.9M-121.5K0.5475.72N/AN/A2,6761,45419,1389,206
2018-03-19$43.99$47.5036.4%10.4%38.6%13.1%37.6%3.9%1.1%188.1K1.7M-117.5K0.5175.28N/AN/A1,53678814,7925,880
2018-03-20$44.38$47.5037.0%10.6%38.6%14.4%36.6%5.6%1.1%184.7K1.7M-116.6K0.5374.57N/AN/A1,39674614,7585,998
2018-03-21$44.23$47.5035.6%10.2%38.5%10.3%37.8%3.9%1.7%178.9K2.0M-112.1K0.6273.59N/AN/A1,07066815,0585,978
2018-03-22$43.68$47.5039.1%11.2%38.6%17.8%39.2%3.1%-0.6%160.6K3.1M-107.0K0.7582.36N/AN/A96672615,1905,944
2018-03-23$43.92$47.5040.0%11.5%36.2%19.4%41.1%2.6%-0.8%198.6K2.3M-110.2K0.6476.83N/AN/A1,07868615,1865,972
2018-03-26$42.80$47.5040.5%11.6%36.7%20.2%41.9%3.5%-1.5%75.7K5.5M-96.9K0.7573.09N/AN/A1,14686215,2666,000
2018-03-27$43.23$47.5040.3%11.6%37.3%19.5%40.4%4.0%-0.8%130.6K4.4M-102.1K1.2475.36N/AN/A9241,14415,2766,140
2018-03-28$43.59$47.5041.7%11.9%37.1%22.3%43.4%14.9%-1.5%132.6K3.7M-107.9K1.1278.84N/AN/A9161,02615,3346,460
2018-03-29$44.58$47.5040.5%11.6%38.2%19.3%42.8%4.4%-2.3%124.8K2.7M-109.9K1.0983.31N/AN/A83290815,3506,652