FIZZ Options History — February 2020

In February 2020, FIZZ traded between $21.07 and $23.01. ATM implied volatility averaged 55.2%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 27.5% (HV 20d: 27.7%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.92.

Notable Days

  • 2020-02-14: Highest Volume — 4,348 contracts
  • 2020-02-25: Largest IV spike — 16.5% change
  • 2020-02-28: Highest IV Rank — 75.3%
  • 2020-02-28: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.85$21.07$23.01$21.24$21.07
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV55.2%42.4%85.4%44.6%85.4%
Expected Move16.1%12.2%24.5%12.8%24.5%
HV 20d27.7%23.6%34.8%24.3%34.8%
HV 60d39.8%38.5%45.5%45.2%39.5%
IV Rank31.0%11.8%75.3%17.3%75.3%
IV Percentile70.2%31.3%99.2%42.9%99.2%
Term Structure-5.4%-19.1%10.3%10.3%-19.1%
VWIV57.1%45.3%88.9%49.0%88.9%
Skew 25d-1.6%-8.4%1.5%-5.1%-8.4%
Skew 10d-4.9%-22.6%10.7%-18.7%-22.6%
Call IV 25d57.9%45.9%96.4%48.5%96.4%
Put IV 25d56.4%43.4%87.9%43.4%87.9%
Bid-Ask Spread %57.4517.4276.6529.6268.46
Gamma HHI0.270.230.410.260.23
Net GEX-367.3K-554.9K277.6K-500.7K-327.8K
Net DEX31.5M23.4M35.4M35.4M31.9M
Net VEX-107.3K-115.6K-98.4K-99.7K-103.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.162.360.411.61
Total Volume801.2631684,348628548
Total OI42,717.89536,77847,97642,48838,752

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$21.24$22.5044.6%12.8%24.3%17.3%49.0%-5.1%10.3%-500.7K35.4M-99.7K0.4129.62N/AN/A44618215,40627,082
2020-02-04$21.84$22.5044.6%12.8%27.0%16.3%45.3%-4.2%6.1%-470.8K32.5M-115.6K0.9421.50N/AN/A18017015,58027,066
2020-02-05$21.80$22.5042.4%12.2%24.6%11.8%45.6%-2.1%8.7%-487.5K32.9M-110.3K0.6917.42N/AN/A30020815,67627,034
2020-02-06$21.75$22.5042.6%15.1%24.3%12.1%53.3%0.3%-5.1%-473.2K32.9M-109.9K0.1945.40N/AN/A3847215,79827,076
2020-02-07$21.41$22.5044.9%14.1%24.2%15.5%50.2%0.6%-2.6%-499.0K32.3M-111.6K0.4667.58N/AN/A1627415,89227,070
2020-02-10$21.36$22.5048.0%15.0%24.1%20.1%52.5%-1.5%-4.7%-529.5K34.1M-98.8K2.3658.66N/AN/A8820815,87027,050
2020-02-11$21.72$22.5050.1%14.6%25.1%23.3%51.6%1.5%-3.7%-546.1K33.0M-106.9K1.9859.18N/AN/A9017815,91227,210
2020-02-12$21.63$22.5049.6%14.2%23.6%22.5%51.4%-0.2%-3.0%-554.9K33.9M-103.0K1.2762.05N/AN/A15619815,97827,360
2020-02-13$21.64$22.5050.3%14.4%23.7%23.5%50.5%-1.0%-3.9%-520.5K34.0M-98.4K0.5367.82N/AN/A1105816,04227,450
2020-02-14$22.34$22.5052.4%15.0%26.3%26.6%52.3%-1.3%-4.9%-457.6K31.6M-110.2K0.3561.94N/AN/A3,2241,12416,12027,464
2020-02-18$21.88$22.5053.2%15.3%27.1%27.8%53.0%-0.1%-4.7%-142.9K32.8M-103.7K0.3960.80N/AN/A69027018,88428,414
2020-02-19$22.49$22.5054.8%15.7%28.7%30.2%55.4%-1.0%-7.3%93.1K28.2M-115.2K0.6468.25N/AN/A24815819,21228,646
2020-02-20$22.66$22.5056.2%16.1%28.4%32.2%56.2%-2.0%-7.3%277.6K26.4M-114.3K0.1665.48N/AN/A1,33021819,31028,666
2020-02-21$23.01$22.5057.3%16.4%29.0%33.8%58.0%-3.1%-7.7%-389.6K23.4M-113.6K0.4457.53N/AN/A65628818,63028,768
2020-02-24$22.18$22.5060.2%17.3%31.8%38.1%61.0%-3.2%-8.8%-370.0K29.2M-109.9K1.7069.76N/AN/A7281,24011,71625,062
2020-02-25$21.43$22.5070.1%20.1%33.9%52.8%70.0%-0.9%-15.0%-361.0K31.7M-101.5K0.5660.84N/AN/A26214612,16026,194
2020-02-26$21.77$22.5066.8%19.1%33.9%47.8%66.2%0.5%-12.1%-368.5K31.4M-103.8K1.5172.56N/AN/A14622012,31226,256
2020-02-27$22.00$22.5076.1%21.8%31.8%61.6%73.7%0.9%-17.3%-350.4K30.1M-109.2K1.3776.65N/AN/A19626812,34226,180
2020-02-28$21.07$22.5085.4%24.5%34.8%75.3%88.9%-8.4%-19.1%-327.8K31.9M-103.6K1.6168.46N/AN/A21033812,40826,344