FIZZ Options History — September 2019

In September 2019, FIZZ traded between $20.34 and $23.63. ATM implied volatility averaged 52.4%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 11.9% (HV 20d: 40.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.32.

Notable Days

  • 2019-09-05: Highest Volume — 14,030 contracts
  • 2019-09-06: Largest IV drop — 57.0% change
  • 2019-09-03: Highest IV Rank — 100.0%
  • 2019-09-04: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.21$20.34$23.63$20.75$22.23
Max Pain$24.75$22.50$25.00$22.50$25.00
ATM IV52.4%43.7%102.0%82.4%44.8%
Expected Move14.6%12.5%25.7%23.6%12.8%
HV 20d40.6%34.7%47.0%37.7%39.3%
HV 60d39.6%36.4%40.8%38.9%39.4%
IV Rank31.3%16.5%100.0%100.0%18.1%
IV Percentile63.6%45.6%100.0%100.0%52.0%
Term Structure-0.6%-27.6%7.1%-19.7%1.9%
VWIV51.8%44.1%90.2%84.1%46.5%
Skew 25d4.5%1.8%7.9%7.9%2.5%
Skew 10d11.9%4.8%17.5%17.2%13.0%
Call IV 25d50.0%42.9%84.9%79.5%46.3%
Put IV 25d54.6%47.7%90.7%87.4%48.8%
Bid-Ask Spread %70.2033.6881.9036.9174.12
Gamma HHI0.390.290.620.310.44
Net GEX-619.0K-1.1M2.4M-534.6K-1.0M
Net DEX30.1M16.0M43.3M26.7M40.0M
Net VEX-125.7K-148.4K-81.3K-88.1K-131.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.287.452.091.20
Total Volume2,498.218214,0301,4841,068
Total OI53,228.139,58462,77239,58449,372

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$20.75$22.5082.4%23.6%37.7%100.0%84.1%7.9%-19.7%-534.6K26.7M-88.1K2.0936.91N/AN/A4801,00411,64027,944
2019-09-04$20.34$22.5089.7%25.7%38.0%100.0%90.2%5.7%-27.6%-517.1K29.2M-81.3K7.0533.68N/AN/A7385,20011,99428,402
2019-09-05$20.43$25.00102.0%18.2%37.3%100.0%65.0%1.8%-6.0%-577.2K29.0M-88.5K7.4576.21N/AN/A1,66012,37012,52632,190
2019-09-06$20.38$25.0043.9%13.6%34.7%16.8%46.8%7.7%3.2%-1.1M41.8M-93.9K3.8177.81N/AN/A1,5225,80413,63038,706
2019-09-09$22.04$25.0043.9%13.1%45.1%16.8%47.0%6.7%3.6%-869.6K32.4M-129.0K0.6175.05N/AN/A81249413,96243,084
2019-09-10$22.75$25.0046.7%13.7%46.4%20.8%48.4%4.9%2.3%-780.3K25.1M-133.9K0.4081.90N/AN/A1,13645214,14643,040
2019-09-11$23.33$25.0047.2%13.5%47.0%21.5%46.8%5.4%0.4%-721.0K19.4M-137.6K1.4879.98N/AN/A45066814,87442,986
2019-09-12$23.63$25.0046.6%13.4%41.9%20.7%44.6%5.3%0.3%-733.8K16.0M-131.0K2.1978.44N/AN/A1,2962,84214,91443,042
2019-09-13$23.21$25.0044.5%12.8%42.8%17.7%44.9%4.0%2.6%-735.7K22.3M-148.4K0.2880.27N/AN/A91025215,00645,770
2019-09-16$22.83$25.0047.0%13.5%42.7%21.2%47.1%3.1%2.4%-618.2K25.6M-141.3K1.0975.51N/AN/A23225215,10845,808
2019-09-17$23.18$25.0047.3%13.5%42.7%21.6%47.8%5.9%2.1%-548.6K22.2M-141.0K1.6475.94N/AN/A16026215,16245,888
2019-09-18$23.45$25.0046.1%13.2%42.8%20.0%46.3%4.6%2.7%-647.6K19.5M-141.1K0.5176.10N/AN/A31015815,18645,950
2019-09-19$23.25$25.0044.6%12.8%38.1%17.8%45.0%3.0%3.9%-612.3K21.0M-137.2K0.5672.79N/AN/A1,8101,01015,27846,014
2019-09-20$22.59$25.0044.6%12.8%40.1%17.9%47.8%3.1%7.1%2.4M27.9M-137.7K4.3963.32N/AN/A5602,45816,12846,644
2019-09-23$22.39$25.0043.7%12.5%38.1%16.5%46.4%5.0%1.6%-1.0M36.7M-129.9K1.0866.73N/AN/A64870210,29835,450
2019-09-24$21.82$25.0046.8%13.4%39.6%20.9%50.8%5.0%1.0%-936.0K42.2M-131.6K1.7270.98N/AN/A23440210,67637,748
2019-09-25$22.11$25.0045.1%12.9%38.7%18.5%45.6%3.9%2.4%-980.0K41.2M-131.1K0.8665.78N/AN/A988410,74637,744
2019-09-26$21.83$25.0044.1%12.6%39.1%17.0%44.1%3.2%3.2%-940.7K40.8M-129.2K7.3167.44N/AN/A13095010,81237,500
2019-09-27$21.75$25.0047.4%13.6%39.1%21.9%49.8%2.3%0.9%-914.2K43.3M-129.8K0.7074.98N/AN/A20414210,80438,390
2019-09-30$22.23$25.0044.8%12.8%39.3%18.1%46.5%2.5%1.9%-1.0M40.0M-131.6K1.2074.12N/AN/A48658210,98238,390