FIZZ Options History — January 2019

In January 2019, FIZZ traded between $36.26 and $41.99. ATM implied volatility averaged 38.4%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 1.6% (HV 20d: 40.0%). Max pain ranged from $37.50 to $43.55. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2019-01-18: Highest Volume — 3,938 contracts
  • 2019-01-09: Largest IV drop — 9.5% change
  • 2019-01-02: Highest IV Rank — 40.9%
  • 2019-01-02: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.72$36.26$41.99$36.29$41.91
Max Pain$38.86$37.50$43.55$43.55$40.00
ATM IV38.4%32.2%48.6%48.6%32.2%
Expected Move10.9%9.7%13.9%13.9%10.9%
HV 20d40.0%35.6%44.3%35.6%39.1%
HV 60d43.4%40.8%45.2%41.3%44.2%
IV Rank20.4%7.8%40.9%40.9%7.8%
IV Percentile37.6%4.0%84.9%84.9%4.0%
Term Structure1.9%-4.7%4.6%-4.7%-2.2%
VWIV37.5%31.6%47.7%47.7%38.2%
Skew 25d4.4%2.9%5.6%4.8%2.9%
Skew 10d10.1%-0.5%15.3%9.1%7.2%
Call IV 25d36.0%31.6%46.0%46.0%36.6%
Put IV 25d40.4%36.0%50.8%50.8%39.5%
Bid-Ask Spread %70.1260.7980.6380.6369.83
Gamma HHI0.210.130.540.150.14
Net GEX-88.9K-425.9K276.7K-215.5K87.0K
Net DEX7.1M-1.4M15.5M15.5M-727.2K
Net VEX-43.1K-60.8K-31.0K-31.3K-59.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.101.951.011.29
Total Volume1,035.7141503,938766642
Total OI11,650.0959,39212,86211,94410,738

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$36.29$43.5548.6%13.9%35.6%40.9%47.7%4.8%-4.7%-215.5K15.5M-31.3K1.0180.63N/AN/A3823845,4566,488
2019-01-03$36.84$37.5048.1%13.2%35.7%39.8%46.4%4.5%-0.3%-236.6K14.8M-33.2K0.8660.79N/AN/A4143565,5046,420
2019-01-04$36.26$37.5047.0%12.0%35.7%37.7%41.6%5.4%1.8%-208.3K15.4M-31.0K0.4361.44N/AN/A8703725,5346,448
2019-01-07$37.14$37.5044.8%12.3%37.4%33.2%42.8%5.5%0.4%-199.3K14.3M-32.9K1.9566.01N/AN/A741445,8546,410
2019-01-08$39.46$37.5043.0%11.3%42.0%29.7%39.1%5.0%1.7%-313.4K11.3M-37.9K1.0668.40N/AN/A6767185,9046,416
2019-01-09$38.65$37.5038.9%11.2%42.3%21.5%38.3%4.5%1.2%-223.6K12.0M-35.2K1.4169.71N/AN/A4426226,0586,256
2019-01-10$38.87$37.5036.6%10.5%41.8%16.7%37.7%4.5%3.7%-228.9K11.4M-36.3K0.9171.88N/AN/A4624206,1746,254
2019-01-11$39.49$37.5037.3%10.7%42.4%18.1%37.6%4.6%1.6%-257.1K11.0M-37.0K0.5870.49N/AN/A3862246,1906,372
2019-01-14$39.12$37.5036.2%10.4%38.0%15.9%37.3%4.2%3.3%-222.9K11.5M-34.7K1.5768.29N/AN/A1782806,1806,382
2019-01-15$40.45$37.5036.5%10.5%39.3%16.5%35.9%5.3%2.4%-276.3K9.0M-37.1K1.6671.64N/AN/A2924846,2886,348
2019-01-16$40.57$37.5036.0%10.3%39.1%15.6%34.7%4.1%1.2%-210.2K8.4M-38.3K1.1674.01N/AN/A4325026,4566,350
2019-01-17$39.20$37.5034.7%10.0%40.6%13.0%33.1%3.8%4.6%-141.5K10.4M-36.3K1.9373.64N/AN/A4047786,5446,316
2019-01-18$40.98$40.0036.3%10.4%42.4%16.1%34.0%3.9%1.6%-425.9K6.3M-40.8K0.4270.44N/AN/A2,7641,1746,6446,218
2019-01-22$40.22$40.0038.1%10.9%43.2%19.9%37.2%4.4%3.7%111.7K1.6M-47.4K0.2372.48N/AN/A5241225,6343,758
2019-01-23$41.55$40.0036.0%10.3%44.3%15.5%33.6%5.6%3.9%276.7K-1.4M-53.1K0.1466.44N/AN/A1,2581786,0623,858
2019-01-24$41.69$40.0034.5%9.9%40.9%12.5%34.2%4.1%3.9%210.2K-864.9K-50.8K0.7465.78N/AN/A9967385,5123,886
2019-01-25$41.02$40.0035.1%10.1%41.3%13.8%33.9%4.3%3.0%111.7K808.0K-54.2K1.4370.25N/AN/A4025745,7784,436
2019-01-28$41.51$40.0036.3%10.4%40.7%16.2%36.7%3.3%2.1%167.7K-480.7K-59.6K0.4774.40N/AN/A102486,1144,854
2019-01-29$40.91$40.0036.8%10.5%38.5%17.1%36.2%3.5%2.5%104.7K956.4K-58.4K1.1473.02N/AN/A1842106,2784,890
2019-01-30$41.99$40.0033.9%9.7%39.1%11.3%31.6%4.4%3.9%223.5K-1.4M-60.8K0.1072.86N/AN/A1,4001386,3425,048
2019-01-31$41.91$40.0032.2%10.9%39.1%7.8%38.2%2.9%-2.2%87.0K-727.2K-59.3K1.2969.83N/AN/A2803625,6705,068