FIZZ Options History — June 2018

In June 2018, FIZZ traded between $46.99 and $57.38. ATM implied volatility averaged 38.6%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 9.3% (HV 20d: 29.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2018-06-27: Highest Volume — 8,634 contracts
  • 2018-06-11: Largest IV spike — 22.3% change
  • 2018-06-25: Highest IV Rank — 39.9%
  • 2018-06-25: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.12$46.99$57.38$46.99$53.53
Max Pain$49.76$45.00$50.00$45.00$50.00
ATM IV38.6%28.3%48.1%33.1%37.4%
Expected Move11.4%9.5%13.8%9.5%10.7%
HV 20d29.3%21.0%51.2%21.0%51.1%
HV 60d26.7%23.2%33.8%29.3%33.8%
IV Rank20.2%0.0%39.9%7.5%18.4%
IV Percentile37.9%0.0%82.1%3.2%34.1%
Term Structure-1.7%-5.2%3.6%3.6%-0.3%
VWIV40.8%32.5%50.4%32.5%37.5%
Skew 25d2.3%-0.7%5.5%1.8%3.5%
Skew 10d1.9%-12.2%8.2%5.4%7.4%
Call IV 25d39.7%32.5%50.9%32.5%36.0%
Put IV 25d42.0%34.4%51.3%34.4%39.5%
Bid-Ask Spread %40.2217.7172.2744.7017.71
Gamma HHI0.180.140.240.160.17
Net GEX845.2K595.8K1.1M713.1K1.0M
Net DEX-25.7M-39.5M-11.9M-11.9M-24.5M
Net VEX-139.8K-162.7K-112.7K-112.9K-161.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.302.571.231.24
Total Volume3,304.8571,7308,6341,7303,168
Total OI19,880.47616,94824,36616,94824,366

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$46.99$45.0033.1%9.5%21.0%7.5%32.5%1.8%3.6%713.1K-11.9M-112.9K1.2344.70N/AN/A77695411,9704,978
2018-06-04$47.20$50.0032.6%10.8%21.0%6.4%38.2%2.3%-0.3%747.2K-12.3M-112.7K1.2145.24N/AN/A8861,07612,1125,144
2018-06-05$47.97$50.0033.2%10.7%21.3%7.7%38.9%2.5%0.2%764.0K-15.4M-116.3K1.5225.95N/AN/A8001,22012,2545,306
2018-06-06$48.18$50.0031.7%10.0%21.3%4.5%35.7%1.6%1.9%757.2K-15.5M-116.4K1.3019.86N/AN/A8501,10212,3225,646
2018-06-07$48.52$50.0032.4%10.3%21.2%6.0%35.7%3.2%0.2%783.0K-17.6M-118.1K1.7337.15N/AN/A7701,33412,3585,792
2018-06-08$50.01$50.0028.3%10.2%22.5%0.0%36.3%2.4%1.1%804.8K-22.8M-125.8K1.6244.68N/AN/A1,0241,65612,4826,236
2018-06-11$49.89$50.0034.6%10.7%21.8%12.7%37.7%3.3%-0.5%811.6K-22.4M-122.9K1.1351.38N/AN/A1,4101,59812,5386,186
2018-06-12$52.05$50.0033.9%10.4%24.7%11.2%37.1%4.0%0.2%819.7K-30.8M-130.9K0.8150.04N/AN/A2,1941,77013,0386,384
2018-06-13$51.77$50.0036.4%10.4%25.1%16.4%36.5%3.3%-0.6%783.7K-29.8M-134.2K1.3256.21N/AN/A1,4201,87813,3847,028
2018-06-14$51.27$50.0036.5%10.5%25.8%16.5%36.3%3.4%-1.5%697.9K-26.4M-138.1K1.6632.77N/AN/A9361,55213,3367,512
2018-06-15$54.02$50.0044.0%12.6%30.3%31.7%43.8%2.3%-4.1%609.3K-36.1M-149.4K0.3072.27N/AN/A6,0321,80213,3847,594
2018-06-18$54.84$50.0043.9%12.6%30.3%31.4%44.3%1.1%-5.2%851.0K-30.5M-152.6K0.8559.75N/AN/A1,5301,29612,6306,366
2018-06-19$55.00$50.0042.0%12.0%30.3%27.6%42.6%-0.7%-4.1%949.8K-32.2M-154.1K1.3646.02N/AN/A1,0321,40413,1606,496
2018-06-20$55.28$50.0042.1%12.1%29.1%27.8%43.3%0.1%-3.9%976.0K-33.4M-154.0K1.5137.15N/AN/A8941,35013,3726,664
2018-06-21$55.41$50.0042.3%12.1%29.2%28.3%44.1%3.7%-3.9%999.4K-32.9M-156.6K2.5760.58N/AN/A7301,87413,5426,982
2018-06-22$56.58$50.0042.1%12.1%29.5%27.8%44.8%1.4%-3.9%1.1M-37.9M-154.5K1.4328.63N/AN/A1,2301,76013,5746,530
2018-06-25$57.38$50.0048.1%13.8%29.3%39.9%50.4%0.7%-5.0%1.1M-39.5M-151.5K0.4825.04N/AN/A2,3001,10413,5026,448
2018-06-26$55.30$50.0047.9%13.7%31.6%39.5%50.4%-0.5%-5.1%1.1M-33.7M-162.2K1.2539.54N/AN/A1,5641,96214,4946,658
2018-06-27$50.25$50.0047.7%13.7%47.9%39.1%49.3%5.5%-3.5%595.8K-12.2M-147.7K1.4527.06N/AN/A3,5305,10414,5847,356
2018-06-28$53.15$50.0040.1%11.5%51.2%23.8%40.9%2.9%-0.9%867.7K-22.3M-162.7K0.9522.85N/AN/A2,3282,20215,0768,706
2018-06-29$53.53$50.0037.4%10.7%51.1%18.4%37.5%3.5%-0.3%1.0M-24.5M-161.4K1.2417.71N/AN/A1,4141,75415,5228,844