FIZZ Options History — May 2018

In May 2018, FIZZ traded between $43.15 and $48.18. ATM implied volatility averaged 34.0%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 14.7% (HV 20d: 19.3%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2018-05-25: Highest Volume — 3,706 contracts
  • 2018-05-29: Largest IV spike — 17.0% change
  • 2018-05-01: Highest IV Rank — 14.3%
  • 2018-05-01: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.72$43.15$48.18$43.34$47.09
Max Pain$45.34$45.00$47.50$45.00$45.00
ATM IV34.0%29.5%39.2%39.2%33.7%
Expected Move9.6%8.4%11.2%11.2%9.7%
HV 20d19.3%16.3%25.4%25.4%20.8%
HV 60d30.0%28.3%33.9%33.9%29.9%
IV Rank5.1%0.0%14.3%14.3%8.8%
IV Percentile11.5%0.0%44.8%44.8%4.8%
Term Structure4.0%-2.9%6.2%-2.9%3.6%
VWIV33.7%28.2%37.8%37.0%34.4%
Skew 25d3.3%2.6%5.2%4.0%3.3%
Skew 10d8.2%5.5%38.5%7.6%5.9%
Call IV 25d32.7%27.3%37.1%37.1%32.7%
Put IV 25d36.0%30.4%41.5%41.1%36.0%
Bid-Ask Spread %43.4515.8983.6979.9856.77
Gamma HHI0.170.120.560.120.16
Net GEX430.1K168.6K1.5M196.3K712.1K
Net DEX-3.8M-16.2M646.7K-205.1K-12.4M
Net VEX-88.7K-113.7K-80.5K-82.4K-113.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.611.531.181.23
Total Volume1,796.7271,1703,7061,2861,770
Total OI14,255.09113,08816,85413,08816,854

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$43.34$45.0039.2%11.2%25.4%14.3%37.0%4.0%-2.9%196.3K-205.1K-82.4K1.1879.98N/AN/A5906969,1103,978
2018-05-02$43.15$45.0037.9%10.9%20.2%10.9%37.8%5.2%-2.2%168.6K646.7K-82.3K1.1583.69N/AN/A6046969,1063,990
2018-05-03$43.24$47.5037.7%10.3%20.2%10.3%35.5%2.9%2.5%196.9K-326.2K-81.2K1.2955.67N/AN/A5306829,1423,974
2018-05-04$43.44$47.5037.3%10.2%20.3%9.4%35.5%3.0%4.1%203.8K-379.0K-80.5K1.3830.62N/AN/A5167109,1583,982
2018-05-07$43.85$47.5037.6%10.0%20.5%10.2%34.7%3.7%3.1%230.4K-787.2K-81.6K1.3221.41N/AN/A5867749,1904,038
2018-05-08$44.03$45.0038.7%9.8%20.5%12.6%35.3%4.1%5.2%242.7K-1.0M-83.2K1.1926.11N/AN/A5446489,2744,106
2018-05-09$43.91$45.0034.1%9.8%20.5%2.3%35.1%2.6%4.9%239.0K-849.3K-83.7K1.2163.39N/AN/A5306409,3624,178
2018-05-10$44.75$45.0034.2%9.8%21.6%2.5%34.7%3.0%3.4%326.2K-2.5M-84.2K1.0255.88N/AN/A7347489,3624,176
2018-05-11$44.23$45.0033.9%9.7%21.6%1.8%33.8%2.6%4.3%275.2K-1.5M-85.2K1.2832.34N/AN/A5987669,5644,330
2018-05-14$43.93$45.0034.1%9.8%19.4%2.4%33.6%3.1%4.2%249.9K-968.7K-81.7K1.2261.58N/AN/A5887169,6524,322
2018-05-15$43.94$45.0033.8%9.7%17.3%1.7%34.7%4.0%5.3%255.4K-846.0K-82.8K1.0766.23N/AN/A8429009,7064,346
2018-05-16$44.08$45.0033.2%9.5%17.1%0.3%33.2%2.6%4.9%326.1K-1.4M-83.9K1.0523.54N/AN/A8949389,9924,326
2018-05-17$44.62$45.0032.1%9.2%17.2%0.0%32.6%2.7%5.2%468.3K-2.4M-84.7K0.8920.04N/AN/A1,6621,47410,1784,140
2018-05-18$44.79$45.0031.4%9.0%16.7%0.0%32.6%4.0%6.0%1.5M-4.0M-89.0K1.4979.14N/AN/A8661,29011,1064,392
2018-05-21$44.94$45.0029.5%8.5%16.3%0.0%30.0%3.1%6.0%363.6K-3.4M-86.8K0.8415.89N/AN/A1,1249469,6423,898
2018-05-22$44.34$45.0030.3%8.7%16.3%1.5%31.0%3.0%5.6%396.0K-2.5M-83.0K1.4222.26N/AN/A68697410,0963,954
2018-05-23$44.92$45.0030.3%8.7%16.9%1.7%30.8%3.5%6.2%469.2K-4.3M-87.9K1.1539.90N/AN/A9901,13410,3064,076
2018-05-24$45.28$45.0030.0%8.6%16.4%1.0%30.7%3.0%5.9%557.3K-5.5M-91.1K1.5315.90N/AN/A7301,12010,6604,244
2018-05-25$46.25$45.0029.5%8.4%17.4%0.0%28.2%3.1%5.2%654.2K-8.2M-95.1K0.6128.44N/AN/A2,2961,41010,7884,274
2018-05-29$48.18$45.0034.5%9.9%21.5%10.3%35.1%2.6%3.3%755.7K-16.2M-113.7K0.9043.35N/AN/A1,2781,14811,6064,566
2018-05-30$47.55$45.0034.1%9.8%20.4%9.6%34.1%3.4%3.2%721.7K-13.7M-113.3K0.9833.89N/AN/A1,0901,07011,6964,772
2018-05-31$47.09$45.0033.7%9.7%20.8%8.8%34.4%3.3%3.6%712.1K-12.4M-113.5K1.2356.77N/AN/A79497611,9244,930