FIZZ Options History — December 2018

In December 2018, FIZZ traded between $35.67 and $43.56. ATM implied volatility averaged 47.1%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 4.0% (HV 20d: 43.1%). Max pain ranged from $43.55 to $46.05. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2018-12-14: Highest Volume — 1,978 contracts
  • 2018-12-07: Largest IV drop — 23.3% change
  • 2018-12-28: Highest IV Rank — 50.5%
  • 2018-12-28: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.51$35.67$43.56$43.56$35.73
Max Pain$45.67$43.55$46.05$46.05$43.55
ATM IV47.1%38.5%53.4%47.6%47.2%
Expected Move13.2%10.9%15.3%13.6%13.5%
HV 20d43.1%34.6%53.7%53.7%34.6%
HV 60d40.4%39.3%41.2%40.6%41.2%
IV Rank37.8%20.6%50.5%38.9%38.1%
IV Percentile80.1%46.8%93.7%81.3%79.8%
Term Structure-2.0%-9.7%3.3%-7.1%-0.9%
VWIV44.3%38.0%51.4%47.1%45.1%
Skew 25d5.1%3.7%8.0%4.3%4.9%
Skew 10d9.8%5.2%13.1%7.1%9.4%
Call IV 25d43.4%35.2%50.2%45.8%45.1%
Put IV 25d48.4%40.6%56.0%50.0%50.1%
Bid-Ask Spread %74.3266.9480.4671.8180.05
Gamma HHI0.240.140.290.280.14
Net GEX-475.0K-732.8K-189.0K-381.6K-189.0K
Net DEX17.7M10.9M24.2M10.9M16.7M
Net VEX-48.4K-73.0K-28.5K-73.0K-29.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.343.720.493.72
Total Volume1,090.92381,978696472
Total OI20,573.211,45024,04622,53012,078

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$43.56$46.0547.6%13.6%53.7%38.9%47.1%4.3%-7.1%-381.6K10.9M-73.0K0.4971.81N/AN/A46822813,3569,174
2018-12-04$42.30$46.0550.5%14.5%52.1%44.8%50.1%3.7%-7.7%-415.1K14.2M-69.3K1.0575.19N/AN/A69873413,6489,232
2018-12-05$42.33$46.0551.5%14.8%51.3%46.7%51.4%5.1%-9.7%-413.5K14.2M-68.5K1.0475.58N/AN/A70673413,6489,232
2018-12-06$41.80$46.0552.8%12.6%49.9%49.3%43.9%4.2%-4.1%-459.6K15.5M-67.0K0.6270.58N/AN/A31219413,8149,536
2018-12-07$43.28$46.0540.5%10.9%52.4%24.5%39.0%3.9%3.3%-431.1K11.1M-68.5K0.4978.91N/AN/A58028213,9869,614
2018-12-10$43.20$46.0544.5%11.1%52.5%32.6%40.7%3.9%1.8%-521.6K12.3M-64.9K0.9669.94N/AN/A15014413,9009,716
2018-12-11$42.11$46.0545.5%11.2%52.7%34.7%39.1%5.3%2.2%-648.0K15.9M-60.3K0.6473.93N/AN/A63840613,8769,746
2018-12-12$42.15$46.0538.5%11.0%36.9%20.6%38.2%4.5%1.8%-704.3K16.3M-59.1K0.3466.94N/AN/A74625213,8949,868
2018-12-13$39.92$46.0541.7%11.9%41.0%27.0%41.2%4.4%1.1%-732.8K21.2M-49.3K0.5869.58N/AN/A1,02459613,9269,486
2018-12-14$39.21$46.0542.7%12.2%41.0%29.1%38.0%4.4%0.3%-705.9K22.3M-46.6K1.1169.61N/AN/A9381,04014,0909,516
2018-12-17$38.80$46.0544.2%12.7%40.0%32.0%42.0%5.9%-0.4%-724.6K23.0M-43.4K1.0576.71N/AN/A11612214,3509,696
2018-12-18$38.09$46.0544.8%12.8%38.1%33.2%45.3%5.2%0.3%-682.8K24.2M-39.1K0.5470.94N/AN/A92650214,3649,620
2018-12-19$37.27$46.0546.1%13.2%37.7%35.9%41.1%5.3%-0.3%-593.0K24.2M-35.7K0.4276.73N/AN/A98641414,6769,276
2018-12-20$37.47$46.0546.8%13.4%36.9%37.3%42.7%5.6%-2.4%-632.1K23.8M-35.3K0.3876.51N/AN/A1,04040014,7129,196
2018-12-21$37.91$46.0546.6%13.4%37.2%36.8%41.9%6.1%-1.2%-333.9K23.3M-35.1K0.5378.22N/AN/A1,03855414,7589,014
2018-12-24$36.38$46.0553.3%15.3%38.7%50.3%50.6%6.3%-7.3%-253.4K16.9M-31.0K1.0973.56N/AN/A5005464,9786,472
2018-12-26$36.02$46.0551.6%14.8%38.6%46.9%46.7%6.2%-4.0%-236.0K17.0M-28.5K1.0274.96N/AN/A4124225,0186,434
2018-12-27$36.96$43.5551.8%14.9%40.5%47.4%50.6%8.0%-3.5%-240.8K15.0M-32.8K2.4776.24N/AN/A3608885,3346,248
2018-12-28$35.67$43.5553.4%15.3%36.2%50.5%51.2%4.5%-2.3%-201.4K16.5M-30.9K1.5880.46N/AN/A4847665,3666,616
2018-12-31$35.73$43.5547.2%13.5%34.6%38.1%45.1%4.9%-0.9%-189.0K16.7M-29.5K3.7280.05N/AN/A1003725,4366,642