FIZZ Options History — June 2019

In June 2019, FIZZ traded between $21.13 and $24.72. ATM implied volatility averaged 55.1%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 8.9% (HV 20d: 46.2%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 3.43.

Notable Days

  • 2019-06-11: Highest Volume — 12,778 contracts
  • 2019-06-27: Largest IV drop — 34.2% change
  • 2019-06-26: Highest IV Rank — 88.9%
  • 2019-06-26: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.70$21.13$24.72$23.45$22.38
Max Pain$26.68$25.00$27.50$27.50$25.00
ATM IV55.1%45.2%71.1%54.6%45.9%
Expected Move16.1%13.2%20.4%15.7%13.2%
HV 20d46.2%41.9%49.8%41.9%43.9%
HV 60d37.3%35.2%46.4%46.4%38.8%
IV Rank54.7%33.7%88.9%55.0%33.7%
IV Percentile91.2%72.6%99.6%96.4%72.6%
Term Structure-4.7%-12.7%6.3%0.1%4.1%
VWIV58.4%46.7%70.5%52.0%46.7%
Skew 25d8.6%6.1%10.8%9.8%7.9%
Skew 10d18.5%12.3%26.3%15.8%15.5%
Call IV 25d53.9%44.1%65.4%49.1%44.1%
Put IV 25d62.5%51.9%75.3%59.0%51.9%
Bid-Ask Spread %75.1564.1882.0364.1882.03
Gamma HHI0.310.220.440.240.36
Net GEX-362.8K-550.1K-209.6K-280.6K-398.9K
Net DEX13.4M7.9M19.5M11.5M17.6M
Net VEX-58.8K-86.6K-49.5K-61.2K-86.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.430.7011.350.906.53
Total Volume3,102.137812,7788687,458
Total OI26,201.222,55032,61822,55032,618

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$23.45$27.5054.6%15.7%41.9%55.0%52.0%9.8%0.1%-280.6K11.5M-61.2K0.9064.18N/AN/A45641210,08012,470
2019-06-04$24.72$25.0045.9%13.2%47.1%36.8%49.8%8.1%6.3%-209.6K7.9M-67.4K1.7871.37N/AN/A38869010,41412,600
2019-06-05$24.30$25.0046.7%13.4%47.0%38.5%49.5%7.4%6.0%-238.2K9.0M-64.6K1.2871.70N/AN/A34444010,50612,564
2019-06-06$24.36$27.5045.2%14.8%46.9%35.4%55.2%7.7%-5.0%-257.1K8.8M-63.4K1.1074.19N/AN/A50655610,47212,504
2019-06-07$24.35$27.5045.8%15.2%46.1%36.5%52.9%6.1%-5.6%-254.3K8.7M-63.5K0.7371.41N/AN/A78457610,59212,708
2019-06-10$23.71$27.5056.3%15.9%45.8%58.5%56.1%7.0%-5.8%-301.5K10.5M-58.6K11.3572.03N/AN/A1301,47610,44612,748
2019-06-11$22.21$27.5054.5%16.9%49.8%52.5%61.7%9.5%-7.1%-431.4K15.6M-51.6K7.2576.18N/AN/A1,54811,23010,44813,802
2019-06-12$22.54$27.5057.3%16.4%47.6%58.6%61.0%8.8%-5.8%-516.5K15.1M-58.5K3.1775.72N/AN/A7862,49211,16616,060
2019-06-13$22.55$27.5055.4%15.9%47.1%54.4%56.4%7.2%-3.9%-488.4K14.6M-57.4K1.7176.08N/AN/A6181,05611,37815,870
2019-06-14$22.41$27.5056.8%16.3%46.8%57.6%55.7%7.5%-6.5%-489.0K15.4M-55.6K1.4077.62N/AN/A51071611,56015,856
2019-06-17$22.53$27.5056.9%16.3%47.0%57.8%57.6%9.8%-6.3%-505.9K14.6M-55.6K0.7076.69N/AN/A22215611,67215,950
2019-06-18$22.13$27.5056.0%16.0%46.9%55.7%61.2%6.6%-5.3%-538.2K15.5M-52.0K2.8275.25N/AN/A26073411,79615,658
2019-06-19$21.98$27.5058.7%16.8%46.9%61.8%65.2%10.8%-8.0%-550.1K16.1M-49.5K10.2472.44N/AN/A5565,69611,86015,774
2019-06-20$21.45$27.5060.4%17.3%47.2%65.5%65.7%9.7%-10.7%-537.7K19.5M-53.7K2.8075.73N/AN/A3921,09612,14219,046
2019-06-21$21.98$27.5061.0%17.5%47.8%66.8%65.4%9.3%-10.0%-231.1K18.7M-55.7K2.4275.96N/AN/A36889012,29618,922
2019-06-24$22.30$26.0563.3%18.1%48.3%71.7%66.1%10.4%-9.6%-233.1K10.8M-55.6K1.6675.34N/AN/A8021,33410,40213,786
2019-06-25$21.65$25.0063.9%18.3%43.0%73.2%68.0%9.8%-9.3%-249.3K12.4M-55.7K1.5577.83N/AN/A7281,13010,93814,288
2019-06-26$21.13$25.0071.1%20.4%43.2%88.9%70.5%9.9%-12.7%-257.0K13.2M-55.3K1.4981.76N/AN/A1,4062,09011,23214,536
2019-06-27$21.89$25.0046.8%13.4%43.1%35.5%51.2%8.1%0.4%-287.4K11.9M-55.6K7.6779.48N/AN/A1,2709,74011,77215,092
2019-06-28$22.38$25.0045.9%13.2%43.9%33.7%46.7%7.9%4.1%-398.9K17.6M-86.6K6.5382.03N/AN/A9906,46811,94620,672