FIZZ Options History — July 2018

In July 2018, FIZZ traded between $51.13 and $54.97. ATM implied volatility averaged 37.3%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 7.7% (HV 20d: 45.0%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2018-07-12: Highest Volume — 5,984 contracts
  • 2018-07-30: Largest IV spike — 9.3% change
  • 2018-07-10: Highest IV Rank — 27.3%
  • 2018-07-11: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.50$51.13$54.97$53.87$52.73
Max Pain$52.26$50.00$52.50$50.00$52.50
ATM IV37.3%33.9%41.8%38.5%36.1%
Expected Move10.5%9.7%11.6%11.0%10.3%
HV 20d45.0%23.2%52.4%51.1%26.6%
HV 60d34.3%33.8%35.2%33.8%35.2%
IV Rank18.2%11.4%27.3%20.6%15.7%
IV Percentile30.8%8.7%60.3%40.1%21.8%
Term Structure2.1%-1.7%5.6%-1.7%4.0%
VWIV37.1%34.9%40.8%38.2%36.4%
Skew 25d3.3%2.1%4.5%4.1%3.0%
Skew 10d6.4%4.4%8.7%7.2%6.1%
Call IV 25d35.9%34.1%39.5%37.8%34.9%
Put IV 25d39.1%36.9%43.1%41.9%37.8%
Bid-Ask Spread %34.0215.9370.3018.6870.30
Gamma HHI0.180.120.400.170.13
Net GEX847.3K224.0K1.5M1.1M372.9K
Net DEX-20.5M-31.5M-6.8M-26.1M-11.8M
Net VEX-143.3K-159.9K-122.3K-159.9K-127.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.541.831.830.66
Total Volume3,361.3332,3765,9842,9602,926
Total OI24,099.61917,08229,12624,70818,708

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$53.87$50.0038.5%11.0%51.1%20.6%38.2%4.1%-1.7%1.1M-26.1M-159.9K1.8318.68N/AN/A1,0461,91415,6809,028
2018-07-03$54.97$50.0036.6%10.5%51.3%16.8%36.8%2.7%-0.3%1.3M-31.5M-159.4K1.2127.39N/AN/A1,4141,71415,7789,098
2018-07-05$54.43$52.5039.3%10.7%51.6%22.3%38.4%4.4%0.9%1.1M-28.4M-156.7K1.1124.15N/AN/A1,4521,61215,4469,070
2018-07-06$53.38$52.5040.2%10.7%52.4%24.0%38.0%3.9%0.7%972.1K-22.7M-152.8K0.9825.05N/AN/A1,4861,45815,5649,302
2018-07-09$52.85$52.5040.8%10.8%51.7%25.3%37.5%3.9%0.3%938.8K-20.3M-149.8K1.0827.43N/AN/A1,1441,23216,1909,704
2018-07-10$52.46$52.5041.8%10.7%51.8%27.3%37.4%4.5%1.5%810.7K-17.6M-149.2K1.2721.08N/AN/A1,4461,83216,2989,974
2018-07-11$54.00$52.5040.3%11.6%50.7%24.2%40.8%3.6%-1.1%1.2M-28.2M-157.2K0.7237.55N/AN/A3,3202,39616,61210,260
2018-07-12$53.30$52.5037.6%10.8%50.9%18.9%37.9%3.5%1.1%1.2M-22.7M-154.0K0.7425.90N/AN/A3,4422,54217,88011,168
2018-07-13$52.60$52.5037.4%10.7%51.0%18.3%37.3%3.4%1.5%716.7K-16.7M-147.3K0.9424.72N/AN/A1,8181,70617,06811,226
2018-07-16$53.70$52.5037.9%10.9%47.9%19.3%38.2%2.2%1.7%1.2M-23.8M-148.6K1.0121.69N/AN/A1,5721,58617,51411,228
2018-07-17$54.41$52.5036.8%10.6%47.9%17.2%37.5%2.5%1.7%1.5M-27.7M-148.9K1.0223.48N/AN/A1,8161,86017,55811,568
2018-07-18$53.95$52.5035.7%10.2%47.9%15.0%36.0%3.0%2.6%1.3M-24.4M-142.1K1.1520.15N/AN/A1,7121,97417,60011,340
2018-07-19$53.92$52.5035.9%10.3%47.9%15.4%37.1%3.4%1.8%1.4M-24.9M-139.0K1.0222.88N/AN/A1,7841,81217,61011,324
2018-07-20$54.53$52.5035.6%10.2%48.1%14.7%36.1%3.5%1.8%425.6K-24.7M-135.2K0.6466.13N/AN/A2,0801,33417,37811,112
2018-07-23$54.34$52.5034.1%9.8%47.4%11.7%35.1%2.8%4.9%435.9K-16.6M-131.3K0.6157.42N/AN/A1,7441,07010,8506,232
2018-07-24$53.45$52.5036.0%10.3%47.3%15.7%36.3%3.0%3.7%419.0K-14.1M-131.6K0.8419.80N/AN/A1,3761,15211,2266,352
2018-07-25$53.89$52.5033.9%9.7%45.7%11.4%35.9%2.1%5.6%456.4K-15.6M-132.7K0.7067.68N/AN/A1,7061,18611,3086,480
2018-07-26$53.40$52.5035.7%10.2%29.4%14.9%35.4%2.6%5.2%435.6K-14.5M-134.1K0.5415.93N/AN/A2,0501,10211,5986,576
2018-07-27$52.19$52.5035.1%10.1%23.2%13.7%34.9%3.6%4.8%373.5K-10.9M-129.2K0.6667.64N/AN/A1,9081,25212,0026,590
2018-07-30$51.13$52.5038.4%11.0%24.0%20.3%37.3%3.2%3.4%224.0K-6.8M-122.3K0.7529.37N/AN/A1,4921,12011,9026,690
2018-07-31$52.73$52.5036.1%10.3%26.6%15.7%36.4%3.0%4.0%372.9K-11.8M-127.5K0.6670.30N/AN/A1,7681,15811,9206,788