FIZZ Options History — July 2019

In July 2019, FIZZ traded between $20.46 and $22.71. ATM implied volatility averaged 45.9%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 10.2% (HV 20d: 35.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.62.

Notable Days

  • 2019-07-09: Highest Volume — 3,766 contracts
  • 2019-07-29: Largest IV spike — 20.0% change
  • 2019-07-10: Highest IV Rank — 43.9%
  • 2019-07-10: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.43$20.46$22.71$22.52$21.88
Max Pain$22.71$22.50$25.00$25.00$22.50
ATM IV45.9%39.2%50.6%47.9%40.5%
Expected Move13.3%11.2%14.5%13.7%11.6%
HV 20d35.7%33.2%41.9%41.9%33.9%
HV 60d39.1%38.2%39.9%38.6%39.4%
IV Rank33.6%18.9%43.9%38.0%21.8%
IV Percentile68.8%38.5%84.9%78.6%42.5%
Term Structure6.5%0.3%10.7%0.3%10.7%
VWIV46.1%41.7%55.2%48.1%42.5%
Skew 25d7.2%4.1%13.2%8.6%13.2%
Skew 10d15.9%9.1%27.9%17.8%19.2%
Call IV 25d43.2%33.0%47.8%45.1%33.0%
Put IV 25d50.4%45.5%54.6%53.7%46.2%
Bid-Ask Spread %58.7942.1980.4880.4875.21
Gamma HHI0.440.370.540.390.43
Net GEX-537.4K-756.8K-375.3K-526.4K-375.3K
Net DEX25.4M20.2M30.0M21.5M20.3M
Net VEX-92.1K-108.2K-78.1K-100.3K-98.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.277.881.021.10
Total Volume1,362.8184643,7662,188780
Total OI35,806.63627,30240,69636,46031,788

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$22.52$25.0047.9%13.7%41.9%38.0%48.1%8.6%0.3%-526.4K21.5M-100.3K1.0280.48N/AN/A1,0841,10412,01424,446
2019-07-02$22.10$23.5544.6%12.8%36.9%30.7%45.5%7.2%3.5%-528.9K22.7M-98.3K1.2277.13N/AN/A64679012,63824,800
2019-07-03$22.71$23.5543.9%12.6%38.5%29.2%44.3%6.7%5.0%-514.2K20.2M-101.8K3.7277.77N/AN/A6482,40812,67824,776
2019-07-05$22.71$22.5044.7%14.0%38.4%31.0%55.2%8.0%5.4%-564.9K22.7M-108.2K1.2245.59N/AN/A60874212,62026,832
2019-07-08$22.41$22.5045.3%14.1%38.5%32.3%49.3%7.3%5.1%-615.7K24.3M-106.7K3.0850.78N/AN/A3561,09612,86827,072
2019-07-09$21.34$22.5046.0%14.0%41.0%33.9%50.3%5.7%5.1%-734.2K29.1M-98.6K7.8842.19N/AN/A4243,34213,02227,674
2019-07-10$21.13$22.5050.6%14.5%34.5%43.9%48.8%5.5%5.8%-671.5K28.7M-92.7K1.9461.46N/AN/A38073813,16426,396
2019-07-11$20.86$22.5048.8%14.0%34.0%40.0%47.6%7.2%6.6%-707.5K30.0M-90.3K1.4058.29N/AN/A33246613,21826,460
2019-07-12$21.14$22.5047.6%13.7%34.5%37.4%47.2%4.9%7.6%-703.2K29.1M-89.9K1.8757.80N/AN/A6161,15013,19426,384
2019-07-15$20.91$22.5049.3%14.1%34.6%41.1%48.7%6.9%5.4%-756.8K29.9M-89.1K1.4159.04N/AN/A22231413,36426,958
2019-07-16$21.45$22.5046.2%13.2%36.0%34.2%47.3%4.1%6.5%-668.0K27.8M-89.9K1.7858.71N/AN/A26046213,40826,788
2019-07-17$21.24$22.5049.2%14.1%35.7%40.9%47.1%7.1%5.0%-513.7K28.3M-87.3K1.1160.28N/AN/A29032213,38426,828
2019-07-18$21.13$22.5047.2%13.5%35.7%36.4%43.9%6.2%6.2%-534.1K27.9M-86.5K1.0549.79N/AN/A63066013,43426,452
2019-07-19$21.14$22.5047.5%13.6%34.7%37.1%44.7%6.5%7.5%-456.8K26.9M-88.3K1.6952.42N/AN/A50886013,89426,506
2019-07-22$20.55$22.5046.6%13.3%34.6%35.1%44.7%8.2%8.2%-451.7K25.4M-78.9K0.5046.80N/AN/A9584786,18221,120
2019-07-23$20.84$22.5047.0%13.5%34.5%36.0%42.4%8.5%6.5%-439.8K24.7M-84.6K0.4550.67N/AN/A4161886,89021,448
2019-07-24$20.95$22.5045.5%13.0%33.2%32.7%46.1%7.3%7.3%-434.4K24.7M-84.8K0.8655.56N/AN/A2502147,19021,470
2019-07-25$20.46$22.5043.9%12.6%33.2%29.2%43.1%6.0%8.6%-424.3K26.0M-78.1K0.4750.46N/AN/A8864127,20021,530
2019-07-26$21.34$22.5039.2%11.2%34.3%18.9%42.5%4.8%9.6%-445.9K23.6M-87.5K0.2749.36N/AN/A1,8405027,81021,756
2019-07-29$21.14$22.5047.0%13.5%33.2%36.1%43.3%8.1%7.3%-378.0K22.8M-89.9K0.6365.68N/AN/A4102589,17821,672
2019-07-30$21.55$22.5041.4%11.9%34.0%23.7%41.7%10.4%9.7%-377.8K21.4M-95.8K0.9567.96N/AN/A4784549,46021,780
2019-07-31$21.88$22.5040.5%11.6%33.9%21.8%42.5%13.2%10.7%-375.3K20.3M-98.7K1.1075.21N/AN/A3724089,73822,050