FIZZ Options History — December 2019

In December 2019, FIZZ traded between $24.13 and $27.94. ATM implied volatility averaged 47.8%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 3.4% (HV 20d: 51.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2019-12-10: Highest Volume — 11,254 contracts
  • 2019-12-06: Largest IV drop — 38.2% change
  • 2019-12-05: Highest IV Rank — 66.1%
  • 2019-12-03: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.91$24.13$27.94$24.60$25.66
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV47.8%37.6%78.4%73.4%40.1%
Expected Move13.3%10.8%22.0%21.0%11.5%
HV 20d51.2%46.8%54.5%50.8%51.2%
HV 60d54.4%49.8%55.8%52.4%54.9%
IV Rank22.4%7.8%66.1%59.0%11.3%
IV Percentile43.4%16.7%98.8%98.0%28.2%
Term Structure0.5%-19.4%8.4%-16.8%0.0%
VWIV47.3%38.1%77.9%77.9%42.0%
Skew 25d2.4%-0.1%10.8%6.7%2.5%
Skew 10d4.3%-2.8%23.5%10.1%0.3%
Call IV 25d46.6%37.7%75.9%74.5%40.0%
Put IV 25d48.9%38.8%86.8%81.2%42.6%
Bid-Ask Spread %48.5730.5781.5577.0235.41
Gamma HHI0.230.170.430.240.25
Net GEX-237.5K-657.5K352.9K-363.0K-409.2K
Net DEX2.3M-28.1M17.0M4.5M15.6M
Net VEX-164.3K-198.5K-113.8K-151.3K-166.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.1410.551.610.14
Total Volume2,014.38113211,2544546,030
Total OI58,59437,99872,72858,23840,036

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$24.60$25.0073.4%21.0%50.8%59.0%77.9%6.7%-16.8%-363.0K4.5M-151.3K1.6177.02N/AN/A17428022,17436,064
2019-12-03$24.37$25.0076.6%22.0%50.8%63.7%77.6%10.8%-19.4%-396.5K7.2M-149.8K2.1380.49N/AN/A5001,06622,16436,312
2019-12-04$24.84$25.0072.9%20.9%51.1%58.3%77.8%4.7%-17.2%-366.1K3.1M-148.5K7.4081.55N/AN/A2601,92422,15237,192
2019-12-05$24.13$25.0078.4%16.0%51.9%66.1%58.3%4.3%-5.7%-425.3K9.5M-143.5K1.2247.39N/AN/A1,0061,22822,15036,344
2019-12-06$27.00$25.0048.4%12.6%48.1%23.3%44.5%1.1%1.6%115.7K-19.4M-124.0K1.5651.05N/AN/A1,7302,70622,44236,922
2019-12-09$27.51$25.0044.6%12.0%48.1%17.8%42.8%1.1%3.7%309.3K-25.3M-113.8K0.4645.11N/AN/A2,08096622,97236,984
2019-12-10$27.94$25.0048.6%12.8%46.8%23.6%44.0%0.3%3.8%320.3K-28.1M-116.7K10.5544.88N/AN/A97410,28023,62037,882
2019-12-11$27.08$25.0043.6%12.5%49.2%16.4%45.1%0.7%4.5%-93.6K-7.1M-198.4K0.9249.31N/AN/A93285623,88047,298
2019-12-12$27.20$25.0043.0%12.3%48.9%15.4%43.2%2.3%4.8%-42.3K-8.9M-198.5K0.4048.94N/AN/A41616624,02847,826
2019-12-13$26.12$25.0042.9%12.3%52.2%15.4%42.3%2.5%4.8%-250.8K1.9M-194.4K0.7547.71N/AN/A60645624,13047,910
2019-12-16$25.86$25.0041.0%11.8%52.7%12.7%42.0%1.8%6.7%-331.5K3.9M-185.6K0.8834.78N/AN/A43838624,33448,056
2019-12-17$25.57$25.0039.9%11.4%53.1%11.0%40.4%1.5%7.4%-410.1K7.0M-181.9K0.2837.35N/AN/A1,00028024,33448,050
2019-12-18$25.51$25.0037.8%10.8%53.1%8.1%39.9%-0.1%8.4%-461.5K6.2M-177.4K1.7230.57N/AN/A30452224,39448,078
2019-12-19$25.21$25.0038.2%10.9%53.3%8.6%38.7%0.9%8.4%-657.5K10.8M-171.9K0.5045.58N/AN/A41820824,35848,370
2019-12-20$26.09$25.0038.2%10.9%54.1%8.6%38.1%0.9%6.7%352.9K-3.7M-171.1K0.2355.34N/AN/A66815224,25648,316
2019-12-23$26.45$25.0037.6%10.8%53.9%7.8%39.3%3.0%2.2%-340.8K11.5M-171.5K0.7039.98N/AN/A1,21485211,70426,294
2019-12-24$26.07$25.0039.5%11.3%54.5%10.5%39.0%1.4%3.4%-363.1K12.8M-175.2K0.9446.32N/AN/A686412,74226,974
2019-12-26$25.76$25.0039.6%11.4%50.7%10.7%40.6%1.0%1.3%-381.9K14.6M-172.1K1.3533.70N/AN/A20427612,77226,996
2019-12-27$25.79$25.0040.2%11.5%50.5%11.5%40.0%1.4%0.8%-384.5K14.4M-171.9K0.3141.43N/AN/A1083412,79027,172
2019-12-30$25.31$25.0040.2%11.5%51.1%11.4%40.7%0.5%0.8%-408.1K17.0M-166.7K0.9446.09N/AN/A24222812,81627,186
2019-12-31$25.66$25.0040.1%11.5%51.2%11.3%42.0%2.5%0.0%-409.2K15.6M-166.2K0.1435.41N/AN/A5,30872212,81427,222