FIZZ Options History — February 2019

In February 2019, FIZZ traded between $34.19 and $42.04. ATM implied volatility averaged 44.2%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 3.5% (HV 20d: 47.6%). Max pain ranged from $35.00 to $42.50. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.31.

Notable Days

  • 2019-02-27: Highest Volume — 8,564 contracts
  • 2019-02-05: Largest IV spike — 21.0% change
  • 2019-02-27: Highest IV Rank — 52.3%
  • 2019-02-27: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.90$34.19$42.04$41.51$34.47
Max Pain$39.47$35.00$42.50$40.00$35.00
ATM IV44.2%32.6%54.3%32.6%54.2%
Expected Move12.9%10.8%15.6%10.8%15.6%
HV 20d47.6%38.6%55.1%39.4%45.4%
HV 60d43.9%41.5%48.1%43.4%41.5%
IV Rank32.0%8.7%52.3%8.7%52.2%
IV Percentile68.0%6.0%95.6%6.0%95.6%
Term Structure-5.9%-11.7%-1.7%-1.7%-11.7%
VWIV45.5%37.7%58.2%37.7%58.2%
Skew 25d4.8%3.0%6.9%3.8%6.2%
Skew 10d9.1%3.6%11.7%7.5%9.5%
Call IV 25d43.4%36.2%54.3%36.2%53.4%
Put IV 25d48.2%40.0%59.6%40.0%59.6%
Bid-Ask Spread %73.2366.5578.8766.5578.87
Gamma HHI0.220.130.510.130.40
Net GEX-352.4K-1.0M132.2K70.1K-493.3K
Net DEX9.0M-1.4M13.2M-55.4K13.2M
Net VEX-54.3K-68.1K-45.5K-59.3K-68.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.095.781.265.78
Total Volume1,551.4743128,5646642,942
Total OI14,437.89511,03620,30211,03620,302

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-02-01$41.51$40.0032.6%10.8%39.4%8.7%37.7%3.8%-1.7%70.1K-55.4K-59.3K1.2666.55N/AN/A2943705,8325,204
2019-02-04$42.04$40.0033.4%11.1%38.6%10.3%39.4%4.0%-3.2%132.2K-1.4M-59.0K1.4067.35N/AN/A1301825,9405,224
2019-02-05$37.83$42.5040.4%12.3%55.1%24.4%46.8%4.8%-5.1%-195.2K7.6M-48.6K2.1572.39N/AN/A1,1502,4686,0545,326
2019-02-06$36.69$40.0041.8%12.0%51.4%27.3%44.9%3.5%-3.0%-382.2K11.6M-53.1K0.8371.93N/AN/A1,2381,0246,8047,184
2019-02-07$36.63$40.0042.6%12.2%51.0%28.9%43.2%4.7%-3.8%-396.6K11.3M-57.8K0.4971.83N/AN/A7503687,4767,894
2019-02-08$36.63$40.0042.0%12.0%50.9%27.6%42.4%3.5%-3.3%-422.6K11.1M-57.7K1.6674.01N/AN/A7081,1727,5227,878
2019-02-11$36.46$40.0043.0%12.3%50.4%29.6%42.0%4.9%-3.9%-613.9K12.3M-56.1K0.0972.41N/AN/A476447,6768,766
2019-02-12$37.16$40.0043.4%12.4%51.0%30.4%43.4%5.5%-5.3%-510.7K9.8M-57.4K0.3570.41N/AN/A3201127,8748,760
2019-02-13$37.10$40.0042.4%12.1%49.3%28.3%42.5%3.0%-4.6%-523.9K9.8M-56.3K0.4373.14N/AN/A4361867,9288,746
2019-02-14$36.92$40.0042.5%12.2%49.2%28.7%41.1%5.1%-4.3%-514.0K10.5M-53.9K0.3871.56N/AN/A5101947,9508,776
2019-02-15$37.62$40.0041.8%12.0%48.5%27.3%40.6%5.0%-4.6%-1.0M7.2M-54.5K0.3973.40N/AN/A5402128,0288,800
2019-02-19$36.08$40.0046.8%13.4%47.2%37.3%46.1%5.1%-7.0%-255.3K9.2M-49.1K0.5470.21N/AN/A4682545,6546,568
2019-02-20$36.48$40.0044.7%12.8%47.3%33.0%44.9%5.5%-5.6%-231.4K8.4M-52.4K0.7174.91N/AN/A3822726,0046,734
2019-02-21$36.54$40.0044.1%12.7%45.3%31.9%44.3%5.1%-4.8%-236.0K8.5M-52.1K0.5573.52N/AN/A4302386,0586,812
2019-02-22$36.66$40.0046.2%13.2%45.3%36.0%46.9%6.9%-7.1%-222.5K8.3M-52.3K1.1777.61N/AN/A2322726,2026,830
2019-02-25$35.84$37.5050.7%14.5%45.6%45.2%49.6%5.3%-10.7%-256.8K9.7M-47.2K2.2476.94N/AN/A2164846,2386,804
2019-02-26$34.34$37.5051.9%14.9%46.7%47.6%53.9%4.9%-10.9%-305.4K12.1M-45.5K1.5278.39N/AN/A7301,1106,3307,164
2019-02-27$34.19$37.5054.3%15.6%46.7%52.3%56.4%5.0%-10.9%-318.3K12.7M-51.6K2.9975.92N/AN/A2,1466,4186,8988,080
2019-02-28$34.47$35.0054.2%15.6%45.4%52.2%58.2%6.2%-11.7%-493.3K13.2M-68.1K5.7878.87N/AN/A4342,5088,33211,970