FIZZ Options History — November 2018

In November 2018, FIZZ traded between $42.60 and $51.36. ATM implied volatility averaged 46.9%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 2.2% (HV 20d: 44.7%). Max pain ranged from $48.55 to $52.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2018-11-12: Highest Volume — 2,858 contracts
  • 2018-11-12: Largest IV spike — 35.3% change
  • 2018-11-13: Highest IV Rank — 67.8%
  • 2018-11-29: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.02$42.60$51.36$47.16$43.57
Max Pain$50.17$48.55$52.50$52.50$48.55
ATM IV46.9%37.2%62.0%42.6%45.5%
Expected Move13.4%12.0%16.0%12.2%13.0%
HV 20d44.7%32.5%53.9%33.5%53.9%
HV 60d39.9%34.9%44.0%35.6%42.9%
IV Rank37.5%18.0%67.8%28.8%34.6%
IV Percentile77.3%38.9%97.6%72.2%78.2%
Term Structure-4.2%-7.5%2.4%2.4%-2.5%
VWIV45.8%40.6%52.3%45.8%46.6%
Skew 25d5.5%2.8%16.9%3.8%12.3%
Skew 10d9.9%6.8%14.7%14.3%14.7%
Call IV 25d44.7%39.6%52.6%44.2%42.4%
Put IV 25d50.1%43.4%65.3%48.0%54.7%
Bid-Ask Spread %59.7321.4087.8487.8471.80
Gamma HHI0.200.140.280.180.14
Net GEX-218.7K-714.8K105.1K-93.3K-714.8K
Net DEX8.5M-4.0M21.7M7.1M21.7M
Net VEX-93.0K-142.6K-75.0K-87.7K-142.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.291.390.660.44
Total Volume2,191.5241,8022,8582,1342,784
Total OI22,714.66719,94243,81419,94243,814

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$47.16$52.5042.6%12.2%33.5%28.8%45.8%3.8%2.4%-93.3K7.1M-87.7K0.6687.84N/AN/A1,28485012,4007,542
2018-11-02$47.48$52.5044.8%12.8%33.3%33.2%43.1%4.5%1.9%-102.6K6.4M-91.5K0.5969.11N/AN/A1,36880812,4547,860
2018-11-05$49.27$50.0044.1%12.6%36.5%31.9%42.8%4.9%-4.0%-33.2K2.3M-95.9K0.4921.40N/AN/A1,33065612,4428,136
2018-11-06$50.17$50.0042.7%12.5%33.7%29.0%43.9%3.9%-3.1%21.7K-211.7K-97.5K0.5546.91N/AN/A1,29671612,4848,186
2018-11-07$51.36$50.0037.2%12.0%34.7%18.0%41.7%4.6%-3.3%105.1K-4.0M-97.2K0.5358.06N/AN/A1,20464212,5688,264
2018-11-08$51.17$50.0039.6%12.0%33.5%22.8%40.6%3.8%-3.8%94.1K-3.6M-97.8K0.8356.86N/AN/A1,2201,01412,7748,320
2018-11-09$50.67$50.0038.7%12.5%33.2%21.0%42.2%4.2%-4.5%28.5K-1.5M-99.9K1.0242.20N/AN/A1,1981,21812,7968,600
2018-11-12$50.77$50.0052.4%13.1%32.5%48.5%43.6%3.8%-5.4%-68.3K-1.2M-101.2K1.3962.04N/AN/A1,1961,66212,8329,112
2018-11-13$45.48$50.0062.0%14.9%50.8%67.8%52.3%2.8%-7.5%-409.8K16.7M-92.8K0.8570.57N/AN/A1,4961,27412,85610,170
2018-11-14$45.48$50.0049.5%14.2%49.6%42.7%49.8%5.0%-6.0%-309.8K17.6M-92.3K0.6870.00N/AN/A1,27486013,14010,444
2018-11-15$44.75$50.0047.6%13.6%49.6%38.9%48.4%4.7%-4.0%-369.0K20.7M-85.9K1.0267.68N/AN/A1,0701,09413,09610,492
2018-11-16$45.54$50.0045.4%13.0%49.8%34.5%45.4%5.1%-3.5%-325.2K18.8M-86.5K0.7956.71N/AN/A1,3461,06613,18810,864
2018-11-19$46.72$50.0046.0%13.2%50.9%35.7%43.4%5.2%-3.2%-256.3K7.6M-90.1K0.5155.92N/AN/A1,20461412,1388,808
2018-11-20$45.38$50.0049.9%14.3%51.7%43.5%46.2%4.8%-5.0%-302.0K10.8M-88.4K0.4055.76N/AN/A1,40455612,4028,866
2018-11-21$46.14$50.0046.5%13.3%51.8%36.6%44.8%3.5%-5.0%-284.0K8.7M-88.5K0.4058.33N/AN/A1,28451812,3808,874
2018-11-23$46.52$50.0048.3%13.8%51.9%40.2%47.4%4.6%-6.5%-265.7K8.0M-90.1K0.3768.93N/AN/A1,40451412,4168,962
2018-11-26$46.29$50.0047.9%13.7%51.9%39.4%47.7%5.4%-6.0%-293.8K8.7M-85.8K0.3246.53N/AN/A1,51049012,5248,990
2018-11-27$45.38$50.0049.8%14.3%51.9%43.4%48.5%5.9%-7.1%-340.9K10.9M-82.8K0.2950.00N/AN/A1,52044212,7309,026
2018-11-28$45.51$50.0049.4%14.2%50.2%42.5%48.5%5.2%-6.1%-326.7K10.4M-83.0K0.3063.86N/AN/A1,47244012,8529,062
2018-11-29$42.60$50.0055.8%16.0%53.7%55.4%48.0%16.9%-6.4%-346.5K12.1M-75.0K0.4573.93N/AN/A1,88084413,0809,064
2018-11-30$43.57$48.5545.5%13.0%53.9%34.6%46.6%12.3%-2.5%-714.8K21.7M-142.6K0.4471.80N/AN/A1,93085425,82217,992