FIZZ Options History — March 2019

In March 2019, FIZZ traded between $28.40 and $34.09. ATM implied volatility averaged 44.9%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 11.4% (HV 20d: 56.3%). Max pain ranged from $27.50 to $37.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.53.

Notable Days

  • 2019-03-08: Highest Volume — 13,290 contracts
  • 2019-03-12: Largest IV drop — 32.5% change
  • 2019-03-07: Highest IV Rank — 96.3%
  • 2019-03-07: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.21$28.40$34.09$33.95$28.92
Max Pain$33.05$27.50$37.50$35.00$27.50
ATM IV44.9%34.4%76.2%55.7%36.2%
Expected Move13.0%9.9%21.8%16.0%10.0%
HV 20d56.3%27.5%62.7%45.3%62.1%
HV 60d48.8%40.8%51.9%41.6%50.5%
IV Rank33.9%12.8%96.3%55.2%16.6%
IV Percentile52.9%16.3%99.2%96.8%30.6%
Term Structure-0.2%-13.1%4.5%-13.1%-1.1%
VWIV45.2%35.0%76.1%56.7%36.7%
Skew 25d3.9%1.8%5.4%4.2%3.6%
Skew 10d8.5%6.2%21.8%6.4%21.8%
Call IV 25d37.9%33.1%54.2%54.2%35.1%
Put IV 25d41.8%36.5%58.4%58.4%38.8%
Bid-Ask Spread %64.0856.2377.1776.3161.12
Gamma HHI0.290.170.480.470.18
Net GEX-362.6K-782.8K-137.7K-646.4K-137.7K
Net DEX17.0M5.7M37.0M15.9M5.7M
Net VEX-53.7K-67.9K-32.3K-67.5K-56.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.073.993.830.20
Total Volume2,179.8131813,2903,5461,662
Total OI22,282.95215,03835,61221,07417,808

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$33.95$35.0055.7%16.0%45.3%55.2%56.7%4.2%-13.1%-646.4K15.9M-67.5K3.8376.31N/AN/A7342,8128,36212,712
2019-03-04$34.03$35.0062.1%17.8%45.5%67.9%64.0%3.8%-3.6%-673.8K15.4M-67.9K2.7772.09N/AN/A1744828,41013,438
2019-03-05$33.38$35.0064.6%18.5%44.8%73.1%64.6%4.8%-4.2%-720.1K18.3M-64.4K3.7977.17N/AN/A3641,3788,51613,566
2019-03-06$33.65$35.0067.8%19.4%28.3%79.4%67.0%3.5%-3.8%-782.8K17.3M-65.2K0.4075.00N/AN/A6882728,64214,216
2019-03-07$34.09$35.0076.2%21.8%27.5%96.3%76.1%4.2%-3.5%-715.5K15.7M-67.2K1.7972.97N/AN/A8901,5928,87014,348
2019-03-08$29.06$35.0054.7%15.7%61.8%53.1%52.5%5.4%0.2%-574.6K37.0M-32.3K2.0260.74N/AN/A4,4028,8889,02815,020
2019-03-11$29.66$37.5053.1%11.8%62.7%51.8%40.1%3.0%4.2%-640.7K33.3M-48.7K3.9957.67N/AN/A1,0084,02610,99421,252
2019-03-12$29.41$37.5035.8%11.5%62.7%15.8%42.2%3.5%4.3%-385.8K34.7M-47.2K1.5757.37N/AN/A1,2461,96211,14423,680
2019-03-13$29.80$37.5035.6%11.5%62.3%15.4%41.1%2.5%4.5%-300.9K33.5M-51.0K2.6156.23N/AN/A5041,31411,73823,874
2019-03-14$29.27$37.5036.9%11.7%62.3%18.1%38.1%4.5%4.0%-234.9K30.9M-48.3K1.1856.77N/AN/A58268611,73022,638
2019-03-15$29.35$36.0534.7%11.3%62.4%13.4%38.7%4.5%4.5%-178.8K30.5M-49.1K1.5556.72N/AN/A54284211,91022,468
2019-03-18$29.93$0.0034.4%9.9%62.5%12.8%35.5%3.4%0.1%-168.1K7.4M-50.0K0.9159.31N/AN/A2922667,5447,494
2019-03-19$28.88$30.0036.2%10.1%62.2%16.6%35.0%3.9%-0.8%-196.2K8.6M-48.9K1.6661.42N/AN/A3545867,7267,550
2019-03-20$28.61$30.0035.5%10.8%61.6%15.1%37.5%3.6%2.4%-206.0K8.9M-51.9K1.1667.24N/AN/A6026987,9047,930
2019-03-21$28.55$30.0035.4%10.7%61.5%14.9%36.6%4.1%2.0%-207.1K8.3M-51.7K0.7064.94N/AN/A6304448,0787,810
2019-03-22$28.40$30.0036.5%10.8%61.3%17.2%37.3%4.8%1.1%-206.7K8.5M-50.9K0.8065.04N/AN/A5664548,1607,832
2019-03-25$28.70$30.0038.2%11.0%61.7%20.8%36.6%5.4%-0.5%-183.3K7.5M-51.4K0.1364.13N/AN/A282368,3467,644
2019-03-26$29.14$30.0037.6%10.4%61.2%19.4%36.3%1.8%-1.8%-160.3K6.7M-52.2K0.6459.05N/AN/A2401548,4547,636
2019-03-27$29.25$30.0037.7%10.6%61.3%19.6%38.0%3.5%-0.5%-144.1K6.4M-52.6K0.0760.24N/AN/A1,140808,5947,650
2019-03-28$28.43$27.5037.3%10.8%61.4%18.9%39.3%4.3%0.7%-151.2K6.6M-53.5K0.4664.17N/AN/A1,3045989,5687,658
2019-03-29$28.92$27.5036.2%10.0%62.1%16.6%36.7%3.6%-1.1%-137.7K5.7M-56.2K0.2061.12N/AN/A1,3862769,6928,116