FIZZ Options History — August 2019

In August 2019, FIZZ traded between $19.89 and $23.09. ATM implied volatility averaged 60.9%, placing in the 65.9% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 18.0% (HV 20d: 42.8%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 3.14.

Notable Days

  • 2019-08-14: Highest Volume — 6,312 contracts
  • 2019-08-14: Largest IV spike — 33.7% change
  • 2019-08-27: Highest IV Rank — 96.9%
  • 2019-08-27: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.21$19.89$23.09$21.61$20.48
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV60.9%46.0%74.8%46.0%73.3%
Expected Move17.9%13.2%21.4%13.2%21.0%
HV 20d42.8%32.5%48.1%32.5%38.6%
HV 60d41.0%38.6%42.8%39.3%38.8%
IV Rank65.9%33.9%96.9%33.9%93.5%
IV Percentile91.6%68.3%99.6%68.3%99.2%
Term Structure-6.5%-17.2%7.3%7.3%-17.2%
VWIV63.8%46.7%76.8%46.7%71.6%
Skew 25d7.9%3.9%10.2%6.9%6.9%
Skew 10d16.7%5.9%21.2%15.7%17.7%
Call IV 25d59.8%45.3%70.6%45.3%69.9%
Put IV 25d67.7%52.2%80.8%52.2%76.8%
Bid-Ask Spread %46.4232.1678.3875.5835.80
Gamma HHI0.370.320.450.430.32
Net GEX-432.4K-612.8K-241.9K-370.1K-524.9K
Net DEX24.0M14.3M29.6M20.7M29.1M
Net VEX-92.2K-110.3K-77.5K-97.4K-80.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.140.1625.080.571.02
Total Volume1,132.0912366,3121,1583,150
Total OI35,035.63631,94239,39031,94237,126

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$21.61$22.5046.0%13.2%32.5%33.9%46.7%6.9%7.3%-370.1K20.7M-97.4K0.5775.58N/AN/A7384209,89422,048
2019-08-02$23.09$22.5050.1%14.4%40.6%42.9%50.5%7.4%5.9%-362.8K14.3M-110.3K0.4978.38N/AN/A1,30063810,26022,162
2019-08-05$22.32$22.5060.6%17.2%42.2%65.9%60.9%8.8%-4.1%-330.9K17.3M-106.6K1.0433.16N/AN/A31833210,94222,436
2019-08-06$22.00$22.5053.2%16.6%38.5%49.6%57.8%7.4%-3.8%-318.1K18.7M-101.4K0.1632.16N/AN/A68010810,93422,368
2019-08-07$21.48$22.5052.0%16.7%39.4%47.1%63.4%8.0%-4.4%-297.9K21.0M-95.7K1.6640.28N/AN/A25842811,20422,346
2019-08-08$22.23$22.5049.9%16.4%40.8%42.5%58.1%9.2%-4.4%-290.7K17.8M-100.5K2.0835.47N/AN/A9620011,24222,470
2019-08-09$21.89$22.5046.9%16.0%41.1%35.8%57.9%7.8%-2.9%-279.5K19.6M-95.5K3.5938.11N/AN/A9835211,27422,466
2019-08-12$21.86$22.5053.9%16.8%40.8%51.2%62.9%7.2%-3.9%-256.2K19.9M-96.1K1.4243.46N/AN/A13018411,30822,696
2019-08-13$21.70$22.5050.2%16.3%40.0%41.0%60.0%8.1%-4.6%-241.9K21.0M-91.4K0.5346.15N/AN/A1548211,41022,728
2019-08-14$20.57$22.5067.1%19.2%44.3%79.5%66.9%7.7%-4.5%-346.8K24.4M-81.2K25.0846.47N/AN/A2426,07011,48422,724
2019-08-15$20.79$22.5067.7%19.4%44.5%80.8%67.8%7.6%-7.9%-530.8K28.5M-95.5K2.0746.17N/AN/A8417411,47427,866
2019-08-16$21.36$22.5062.8%18.0%45.6%69.7%65.2%6.7%-7.3%-565.1K26.8M-98.9K5.3546.52N/AN/A12667411,48427,906
2019-08-19$21.68$22.5056.8%16.3%44.6%56.1%57.2%7.5%-3.6%-612.8K24.6M-96.5K0.6049.82N/AN/A1,0266208,73425,502
2019-08-20$21.73$22.5054.8%15.7%44.4%51.4%56.2%7.6%-3.9%-606.6K24.2M-98.8K0.7246.59N/AN/A1621169,56825,882
2019-08-21$20.67$22.5064.5%18.5%48.1%73.5%64.3%8.9%-7.9%-542.1K28.3M-86.6K5.9648.01N/AN/A2901,7289,71425,964
2019-08-22$20.72$22.5067.0%19.2%47.3%79.3%67.5%8.1%-8.3%-534.5K26.7M-90.0K8.4846.01N/AN/A1301,1029,78425,832
2019-08-23$20.07$22.5070.4%20.2%45.9%86.9%72.2%8.2%-12.2%-487.9K28.3M-83.8K1.2947.00N/AN/A1982569,85025,542
2019-08-26$20.29$22.5073.2%21.0%46.1%93.3%76.8%9.9%-13.7%-507.4K28.1M-82.6K0.8346.38N/AN/A1381149,88025,664
2019-08-27$19.89$22.5074.8%21.4%45.8%96.9%72.4%10.2%-15.4%-484.1K29.4M-77.5K1.0047.85N/AN/A33233210,01425,770
2019-08-28$20.18$22.5073.0%20.9%45.8%92.9%70.9%9.0%-13.4%-504.5K28.6M-83.0K0.5546.21N/AN/A29416210,27026,036
2019-08-29$20.11$22.5070.4%20.2%45.7%86.8%75.5%3.9%-13.4%-517.7K29.6M-79.4K4.5145.75N/AN/A15871210,46026,066
2019-08-30$20.48$22.5073.3%21.0%38.6%93.5%71.6%6.9%-17.2%-524.9K29.1M-80.4K1.0235.80N/AN/A1,5621,58810,52426,602