FIZZ Options History — April 2018

In April 2018, FIZZ traded between $42.48 and $46.09. ATM implied volatility averaged 39.0%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 8.2% (HV 20d: 30.8%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2018-04-20: Highest Volume — 2,064 contracts
  • 2018-04-03: Largest IV drop — 12.5% change
  • 2018-04-02: Highest IV Rank — 42.1%
  • 2018-04-02: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.27$42.48$46.09$43.51$44.25
Max Pain$45.60$45.00$47.50$47.50$45.00
ATM IV39.0%35.3%51.1%51.1%36.7%
Expected Move11.1%10.1%14.6%14.6%10.5%
HV 20d30.8%25.3%42.9%38.8%25.8%
HV 60d34.1%33.4%35.9%34.7%33.8%
IV Rank16.0%8.1%42.1%42.1%11.2%
IV Percentile38.6%9.5%89.3%89.3%23.0%
Term Structure0.5%-4.2%3.2%-4.2%-2.2%
VWIV38.5%32.9%47.5%47.1%36.6%
Skew 25d3.3%2.0%5.8%2.8%3.1%
Skew 10d7.3%3.7%26.4%26.4%6.9%
Call IV 25d37.6%34.3%44.9%44.9%36.3%
Put IV 25d40.9%37.7%50.2%47.7%39.5%
Bid-Ask Spread %57.3120.6683.1583.1552.51
Gamma HHI0.150.120.280.130.12
Net GEX119.9K-153.8K294.6K111.8K257.2K
Net DEX1.7M-3.1M6.6M3.8M-1.8M
Net VEX-95.0K-108.0K-83.3K-106.3K-88.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.581.381.061.20
Total Volume1,700.9521,2042,0641,9361,260
Total OI19,697.90512,00423,50021,99812,928

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$43.51$47.5051.1%14.6%38.8%42.1%47.1%2.8%-4.2%111.8K3.8M-106.3K1.0683.15N/AN/A93899815,3526,646
2018-04-03$42.48$47.5044.7%12.8%39.4%28.4%47.5%5.8%-3.4%5.2K6.6M-97.4K1.2080.20N/AN/A82098215,3166,708
2018-04-04$44.33$47.5042.0%12.0%42.9%22.6%43.2%4.4%-2.2%134.3K2.2M-108.0K1.0378.28N/AN/A9761,00615,3286,726
2018-04-05$44.41$45.0042.7%11.1%41.3%24.1%42.5%3.4%1.3%117.9K2.5M-105.4K0.9271.61N/AN/A96489015,4386,656
2018-04-06$44.47$45.0039.9%11.3%41.4%18.1%39.9%3.5%1.4%120.7K2.2M-104.9K0.9054.57N/AN/A96687215,4686,738
2018-04-09$44.22$45.0041.9%11.4%29.2%22.4%40.4%3.1%2.1%73.8K3.3M-99.5K0.7961.39N/AN/A90271415,4966,768
2018-04-10$44.40$45.0040.7%11.2%29.0%19.8%38.8%3.8%2.7%76.6K3.0M-99.3K0.9036.87N/AN/A83274815,5806,792
2018-04-11$44.63$45.0038.1%10.9%28.3%14.2%39.8%3.8%2.6%30.7K3.4M-98.2K1.3869.03N/AN/A7761,07415,5766,782
2018-04-12$44.45$45.0037.3%10.7%25.3%12.5%37.4%2.9%2.6%41.2K3.0M-96.0K1.1248.86N/AN/A77686615,6266,742
2018-04-13$44.95$45.0036.9%10.6%25.7%11.6%37.2%2.9%2.6%78.9K1.8M-96.1K0.6762.60N/AN/A1,17078415,6286,758
2018-04-16$46.09$45.0036.5%10.5%27.0%10.7%37.2%2.8%2.7%294.6K-2.2M-100.4K0.7838.88N/AN/A1,03880815,9246,756
2018-04-17$44.90$45.0035.6%10.2%28.4%8.8%35.6%2.3%3.2%108.4K2.1M-92.3K0.5855.17N/AN/A1,10464016,1646,782
2018-04-18$44.56$45.0036.0%10.3%28.4%9.7%36.3%2.0%2.5%33.2K2.9M-89.3K1.1563.57N/AN/A9221,06216,3126,914
2018-04-19$44.06$47.5035.9%10.3%28.6%9.4%35.2%4.1%2.3%-153.8K4.4M-88.2K0.6277.54N/AN/A1,12669416,3427,012
2018-04-20$43.59$47.5037.0%10.6%28.6%11.9%38.2%2.6%2.9%144.5K5.6M-83.3K1.0581.37N/AN/A1,0061,05816,4867,014
2018-04-23$44.10$45.0037.1%10.6%28.8%12.0%36.4%3.5%-1.9%149.5K-1.2M-88.2K0.6031.83N/AN/A1,0826528,1943,810
2018-04-24$43.54$45.0038.6%11.1%27.6%15.2%37.0%4.0%-2.0%176.5K-807.5K-85.7K0.7362.22N/AN/A7845768,7303,846
2018-04-25$43.64$45.0037.8%10.8%27.4%13.5%36.0%2.3%-1.5%187.9K-815.2K-85.3K0.9327.20N/AN/A7406868,8303,886
2018-04-26$44.26$45.0036.5%10.5%27.7%10.7%34.2%2.8%-1.0%240.2K-2.1M-89.8K1.3420.66N/AN/A5146908,8903,866
2018-04-27$44.82$45.0035.3%10.1%26.9%8.1%32.9%3.3%-0.7%288.0K-3.1M-92.2K1.2846.05N/AN/A5366888,9463,900
2018-04-30$44.25$45.0036.7%10.5%25.8%11.2%36.6%3.1%-2.2%257.2K-1.8M-88.7K1.2052.51N/AN/A5746869,0063,922