FIZZ Options History — January 2020

In January 2020, FIZZ traded between $21.43 and $24.25. ATM implied volatility averaged 41.6%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 7.7% (HV 20d: 33.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2020-01-22: Highest Volume — 3,088 contracts
  • 2020-01-13: Largest IV spike — 16.8% change
  • 2020-01-13: Highest IV Rank — 22.2%
  • 2020-01-31: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.05$21.43$24.25$24.25$21.43
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV41.6%38.4%47.7%40.6%46.3%
Expected Move11.7%11.0%13.3%11.6%13.3%
HV 20d33.9%24.3%55.2%55.2%24.3%
HV 60d52.6%44.4%55.8%55.8%45.2%
IV Rank13.5%8.9%22.2%12.0%20.2%
IV Percentile32.3%19.4%61.5%30.2%53.6%
Term Structure5.8%0.8%8.5%0.8%3.8%
VWIV43.5%40.2%48.6%41.9%47.0%
Skew 25d-3.0%-5.8%3.0%-1.9%-5.8%
Skew 10d-10.8%-17.9%2.1%-9.4%-17.9%
Call IV 25d44.7%41.4%49.5%43.8%49.5%
Put IV 25d41.7%39.1%44.8%42.0%43.7%
Bid-Ask Spread %41.9422.4758.3222.4744.15
Gamma HHI0.290.240.420.240.26
Net GEX-475.9K-595.2K-377.6K-435.0K-489.4K
Net DEX30.4M22.6M36.2M22.6M33.7M
Net VEX-140.1K-154.8K-114.1K-154.8K-114.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.142.860.950.69
Total Volume1,203.9051143,0882,306998
Total OI44,566.1938,48650,17642,67242,172

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$24.25$25.0040.6%11.6%55.2%12.0%41.9%-1.9%0.8%-435.0K22.6M-154.8K0.9522.47N/AN/A1,1841,12215,24427,428
2020-01-03$24.10$25.0040.9%11.7%54.8%12.5%43.2%-1.4%1.0%-451.8K24.2M-153.7K0.5640.08N/AN/A75842615,61027,750
2020-01-06$24.11$25.0042.6%11.9%53.8%15.0%43.4%-2.1%4.6%-479.9K24.8M-150.6K0.7235.71N/AN/A71851815,82027,936
2020-01-07$23.28$25.0043.1%11.8%35.0%15.7%42.6%-4.3%6.4%-490.4K28.9M-140.4K0.9243.73N/AN/A1,4961,38016,09428,204
2020-01-08$23.46$25.0043.6%11.7%34.1%16.4%43.4%-3.4%6.9%-504.6K29.0M-143.0K1.3227.67N/AN/A1,2061,59416,72028,810
2020-01-09$23.09$25.0043.0%12.0%33.1%15.5%48.6%-2.7%5.7%-516.0K31.9M-149.2K0.7431.03N/AN/A1,7681,30017,69029,976
2020-01-10$23.18$25.0040.8%11.5%32.4%12.4%44.0%-3.9%6.7%-541.6K33.4M-153.9K0.5442.71N/AN/A22412018,42430,760
2020-01-13$23.06$25.0047.7%11.6%32.1%22.2%47.4%-3.7%6.2%-552.7K34.3M-145.6K0.3650.72N/AN/A55219618,54830,782
2020-01-14$23.52$25.0044.3%11.7%31.2%17.4%46.2%-3.8%5.5%-535.5K33.7M-148.2K0.7655.76N/AN/A44233418,86030,844
2020-01-15$23.45$25.0040.0%11.5%31.1%11.3%43.7%-5.0%6.1%-512.2K33.7M-150.0K0.5457.13N/AN/A23412619,13431,042
2020-01-16$23.03$25.0039.1%11.2%31.4%9.9%42.6%-5.2%5.3%-595.2K36.2M-137.4K0.2358.32N/AN/A78218219,08431,046
2020-01-17$22.89$25.0038.4%11.0%31.4%8.9%40.7%-4.6%7.9%-377.6K34.0M-144.4K1.4448.90N/AN/A55680019,09631,036
2020-01-21$22.56$25.0038.9%11.2%31.5%9.7%43.4%-4.3%4.3%-399.0K29.5M-134.1K0.4548.67N/AN/A91241213,89224,594
2020-01-22$22.86$25.0038.5%11.0%28.7%9.1%42.3%-1.9%5.4%-392.6K28.7M-132.1K2.8644.13N/AN/A8002,28814,36624,510
2020-01-23$22.88$25.0039.6%11.4%27.8%10.7%40.2%-0.1%7.0%-439.9K29.7M-133.7K0.6656.36N/AN/A29819614,68226,640
2020-01-24$22.80$25.0039.3%11.3%27.7%10.2%42.5%-1.6%8.5%-448.8K29.4M-135.7K0.1430.94N/AN/A1001414,86226,816
2020-01-27$22.79$25.0043.2%12.4%27.7%15.8%44.7%-2.3%6.6%-439.2K29.1M-135.7K0.7244.36N/AN/A22816414,91626,820
2020-01-28$23.14$25.0041.1%11.8%28.7%12.7%41.7%3.0%7.7%-436.7K28.9M-134.1K0.2728.88N/AN/A1464014,93626,832
2020-01-29$22.32$25.0040.5%11.6%30.4%11.9%42.6%-1.9%7.9%-467.4K29.6M-132.4K0.9939.39N/AN/A16216015,03026,854
2020-01-30$21.96$25.0041.5%11.9%29.6%13.4%42.4%-5.6%7.8%-487.2K32.4M-119.1K2.3329.73N/AN/A10424215,09826,932
2020-01-31$21.43$25.0046.3%13.3%24.3%20.2%47.0%-5.8%3.8%-489.4K33.7M-114.1K0.6944.15N/AN/A59240615,09827,074