FIZZ Options History — May 2019

In May 2019, FIZZ traded between $22.64 and $28.99. ATM implied volatility averaged 43.2%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 8.7% (HV 20d: 34.5%). Max pain ranged from $27.50 to $27.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.79.

Notable Days

  • 2019-05-14: Highest Volume — 6,124 contracts
  • 2019-05-15: Largest IV drop — 24.4% change
  • 2019-05-14: Highest IV Rank — 56.8%
  • 2019-05-31: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.42$22.64$28.99$27.70$22.64
Max Pain$27.50$27.50$27.50$27.50$27.50
ATM IV43.2%37.7%55.5%38.7%51.1%
Expected Move12.0%10.6%14.6%11.1%14.6%
HV 20d34.5%29.9%41.4%30.2%38.9%
HV 60d43.8%42.6%47.1%47.1%45.8%
IV Rank31.2%19.7%56.8%21.8%47.7%
IV Percentile66.6%46.0%97.2%51.2%91.3%
Term Structure4.0%-1.3%7.7%-1.1%2.8%
VWIV42.2%37.1%51.1%37.3%50.0%
Skew 25d6.2%4.1%9.5%4.3%9.5%
Skew 10d14.2%7.7%20.9%9.1%18.1%
Call IV 25d39.8%34.4%48.2%37.4%48.2%
Put IV 25d46.0%40.1%57.8%41.6%57.8%
Bid-Ask Spread %62.4850.7170.0865.9861.81
Gamma HHI0.270.160.460.180.25
Net GEX-99.1K-270.6K91.5K-6.4K-270.6K
Net DEX6.3M785.9K13.2M4.0M13.2M
Net VEX-66.9K-73.7K-53.3K-66.5K-55.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.304.581.224.35
Total Volume1,270.1822286,1241,0601,904
Total OI18,709.63615,91822,36815,91821,756

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$27.70$27.5038.7%11.1%30.2%21.8%37.3%4.3%-1.1%-6.4K4.0M-66.5K1.2265.98N/AN/A4785827,5608,358
2019-05-02$28.48$27.5039.8%11.4%31.6%24.0%38.3%5.1%-1.3%59.9K1.9M-69.6K2.7850.71N/AN/A2466847,8768,326
2019-05-03$28.67$27.5039.1%11.2%31.2%22.7%37.1%5.7%-0.9%74.3K1.3M-70.4K1.9261.14N/AN/A2605007,9768,430
2019-05-06$28.89$27.5037.7%10.6%31.2%19.7%37.8%5.3%6.8%91.5K785.9K-69.4K1.1559.22N/AN/A1061227,9928,412
2019-05-07$28.99$27.5039.1%11.2%31.2%22.6%39.7%5.0%5.5%83.8K908.8K-70.4K0.4556.39N/AN/A2221007,9988,522
2019-05-08$28.34$27.5044.1%11.8%29.9%33.1%41.2%6.1%4.2%51.0K2.3M-68.3K0.4557.62N/AN/A4201888,0908,544
2019-05-09$27.45$27.5043.0%11.8%31.9%30.7%41.3%4.1%3.5%-15.0K4.1M-66.3K0.3062.53N/AN/A5081548,2188,666
2019-05-10$27.93$27.5039.8%11.1%30.6%24.2%38.9%4.2%6.4%18.9K3.1M-67.0K4.2766.01N/AN/A441888,2548,708
2019-05-13$27.28$27.5049.5%11.7%30.9%44.4%41.0%5.1%5.7%-32.9K4.9M-63.6K3.0060.90N/AN/A782348,2548,708
2019-05-14$25.82$27.5055.5%12.5%36.9%56.8%43.6%6.1%2.4%-156.9K8.3M-57.1K2.5363.07N/AN/A1,7344,3908,2608,730
2019-05-15$26.19$27.5041.9%12.0%37.2%28.6%42.3%6.5%3.8%-269.4K8.5M-69.4K0.7661.47N/AN/A9647289,37411,544
2019-05-16$26.34$27.5038.8%11.1%37.0%21.9%41.1%5.4%6.2%-166.1K7.6M-73.1K0.4163.50N/AN/A58224010,20811,878
2019-05-17$26.32$27.5039.0%11.2%37.0%22.4%40.2%5.2%6.3%-164.9K7.4M-73.7K0.4464.12N/AN/A49822010,47411,894
2019-05-20$26.40$27.5039.6%11.4%37.0%23.7%40.9%7.7%6.9%-146.2K5.9M-73.4K0.3962.93N/AN/A3461348,60610,418
2019-05-21$26.29$27.5038.8%11.1%35.6%22.0%40.1%6.9%7.7%-144.1K6.0M-73.3K0.3966.99N/AN/A250988,89410,420
2019-05-22$26.21$27.5042.5%12.2%33.6%29.7%44.4%6.8%3.7%-144.1K6.1M-73.1K1.0470.08N/AN/A2082169,06410,434
2019-05-23$25.36$27.5043.9%12.6%34.8%32.6%44.8%7.4%4.6%-178.4K8.0M-69.0K1.0159.03N/AN/A3783829,12210,456
2019-05-24$25.44$27.5042.0%12.1%31.9%28.8%43.0%6.8%5.0%-178.7K8.1M-69.3K1.1066.64N/AN/A3063389,28010,588
2019-05-28$23.70$27.5050.5%14.5%38.8%46.5%48.1%6.6%1.1%-221.2K11.9M-58.7K4.5857.14N/AN/A7963,6469,30010,662
2019-05-29$23.92$27.5046.2%13.2%39.3%37.4%47.1%8.3%5.9%-259.6K11.6M-61.6K2.7669.87N/AN/A5081,4009,54211,418
2019-05-30$22.89$27.5049.4%14.2%41.4%44.2%51.1%9.4%3.3%-205.7K11.9M-53.3K4.0567.46N/AN/A5082,0569,83610,562
2019-05-31$22.64$27.5051.1%14.6%38.9%47.7%50.0%9.5%2.8%-270.6K13.2M-55.5K4.3561.81N/AN/A3561,5489,93011,826