FIZZ Options History — November 2019

In November 2019, FIZZ traded between $20.16 and $24.77. ATM implied volatility averaged 54.6%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 12.4% (HV 20d: 67.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.23.

Notable Days

  • 2019-11-12: Highest Volume — 28,424 contracts
  • 2019-11-07: Largest IV spike — 21.7% change
  • 2019-11-29: Highest IV Rank — 51.6%
  • 2019-11-29: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.24$20.16$24.77$22.34$24.75
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV54.6%46.1%68.2%50.4%68.2%
Expected Move16.1%14.5%19.6%14.5%19.6%
HV 20d67.0%50.7%72.7%63.6%50.8%
HV 60d51.1%48.2%52.6%48.2%52.4%
IV Rank32.1%19.9%51.6%26.2%51.6%
IV Percentile80.8%50.8%95.6%73.4%95.6%
Term Structure-5.8%-13.1%4.8%4.8%-12.0%
VWIV58.2%52.8%72.8%61.5%72.8%
Skew 25d4.2%-5.5%9.0%-5.5%6.4%
Skew 10d9.1%-13.3%23.3%-13.3%9.5%
Call IV 25d56.3%50.6%70.2%58.0%70.2%
Put IV 25d60.5%52.5%76.6%52.5%76.6%
Bid-Ask Spread %82.6770.3286.9970.3277.72
Gamma HHI0.300.230.370.330.23
Net GEX-776.4K-1.7M-321.3K-1.1M-339.1K
Net DEX35.2M3.1M73.8M49.2M3.1M
Net VEX-150.4K-199.4K-115.4K-198.9K-157.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.0517.650.251.37
Total Volume3,629.529428,424330294
Total OI67,544.547,74894,69478,91058,196

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$22.34$25.0050.4%14.5%63.6%26.2%61.5%-5.5%4.8%-1.1M49.2M-198.9K0.2570.32N/AN/A2646632,01046,900
2019-11-04$22.74$25.0050.7%15.9%63.3%26.6%56.9%0.6%-6.5%-1.2M47.5M-197.3K3.2477.32N/AN/A18660232,11447,008
2019-11-05$22.85$25.0050.9%15.9%62.4%26.8%55.8%0.2%-5.9%-1.2M45.9M-199.4K4.3277.00N/AN/A4201,81632,21647,266
2019-11-06$22.48$25.0046.1%15.3%62.4%19.9%56.6%1.8%-3.3%-1.3M48.3M-186.8K0.0778.26N/AN/A1,0447232,36246,040
2019-11-07$20.18$25.0056.0%17.0%71.5%34.2%60.8%1.0%-6.2%-900.3K60.9M-141.1K1.6486.00N/AN/A1,9443,18233,32646,082
2019-11-08$20.47$25.0052.2%17.5%70.9%28.7%61.9%2.8%-8.3%-995.7K61.3M-148.4K6.6685.50N/AN/A5223,47634,09447,740
2019-11-11$20.16$25.0057.3%16.1%70.6%36.0%56.7%0.8%-3.3%-1.0M66.7M-135.1K1.2386.99N/AN/A48860034,50050,448
2019-11-12$20.84$25.0050.4%16.0%71.3%26.1%53.3%7.3%-4.6%-1.2M65.0M-145.7K17.6586.92N/AN/A1,52426,90034,70050,902
2019-11-13$21.48$25.0056.2%16.1%72.6%34.4%56.3%3.7%-6.2%-1.7M73.8M-178.4K0.0584.00N/AN/A7,41637634,72459,970
2019-11-14$21.48$25.0053.4%15.3%72.3%30.5%55.3%5.2%-4.4%-611.0K27.8M-122.5K1.0984.37N/AN/A1,7301,89035,42032,702
2019-11-15$21.63$25.0051.3%14.7%72.4%27.4%52.8%5.7%-3.8%-488.4K30.0M-119.5K0.7584.67N/AN/A43232435,07633,932
2019-11-18$21.64$25.0050.8%14.6%72.4%26.7%53.3%6.0%-4.3%-489.1K23.2M-115.4K1.1386.59N/AN/A1,6281,83217,97229,776
2019-11-19$22.05$25.0051.9%14.9%72.0%28.2%55.3%5.5%-3.5%-506.9K21.0M-124.3K1.5185.19N/AN/A39259218,62231,214
2019-11-20$22.45$25.0053.3%15.3%72.3%30.3%53.7%6.3%-5.1%-478.1K18.6M-129.8K0.2485.38N/AN/A60614618,68431,564
2019-11-21$22.34$25.0054.8%15.7%72.3%32.3%54.9%6.0%-5.8%-497.9K19.2M-127.3K0.5885.92N/AN/A81046618,78431,584
2019-11-22$22.78$25.0055.9%16.0%72.7%34.0%60.4%7.4%-6.1%-448.4K16.5M-133.5K1.4484.67N/AN/A2,1223,05019,45832,086
2019-11-25$22.98$25.0058.0%16.6%72.6%36.9%57.8%9.0%-8.3%-465.1K16.8M-141.0K0.2883.71N/AN/A2567220,34833,458
2019-11-26$24.45$25.0058.4%16.7%50.7%37.5%61.5%8.0%-9.6%-321.3K5.1M-149.5K0.6282.96N/AN/A1,02664020,39833,448
2019-11-27$24.77$25.0065.9%18.9%50.7%48.3%66.8%6.4%-13.1%-349.3K3.3M-155.8K0.5279.93N/AN/A2,2241,16020,62035,146
2019-11-29$24.75$25.0068.2%19.6%50.8%51.6%72.8%6.4%-12.0%-339.1K3.1M-157.6K1.3777.72N/AN/A12417022,13836,058