FIZZ Options History — April 2020

In April 2020, FIZZ traded between $20.30 and $26.47. ATM implied volatility averaged 64.5%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 2.0% (HV 20d: 66.6%). Max pain ranged from $20.00 to $27.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2020-04-27: Highest Volume — 5,960 contracts
  • 2020-04-08: Largest IV drop — 21.4% change
  • 2020-04-01: Highest IV Rank — 49.9%
  • 2020-04-01: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.40$20.30$26.47$20.59$25.18
Max Pain$22.26$20.00$27.50$27.50$22.50
ATM IV64.5%51.9%78.2%78.2%55.0%
Expected Move18.2%14.9%22.4%22.4%15.8%
HV 20d66.6%50.1%77.4%77.3%50.9%
HV 60d54.8%49.9%56.6%50.3%56.6%
IV Rank33.9%19.8%49.9%49.9%20.7%
IV Percentile77.9%59.1%89.7%89.7%64.3%
Term Structure-3.5%-6.8%-0.1%-5.3%-3.3%
VWIV64.2%53.7%77.5%77.5%53.7%
Skew 25d9.2%5.2%14.1%5.7%9.1%
Skew 10d20.1%6.9%32.9%19.2%32.9%
Call IV 25d61.0%50.9%75.8%75.8%53.5%
Put IV 25d70.2%60.2%81.5%81.5%62.6%
Bid-Ask Spread %59.7844.6979.8479.4679.84
Gamma HHI0.350.210.450.210.36
Net GEX-171.8K-283.5K-49.0K-238.5K-280.1K
Net DEX16.2M8.6M31.3M30.4M16.7M
Net VEX-90.9K-107.9K-73.7K-80.5K-100.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.1012.190.100.55
Total Volume989.3332585,960342304
Total OI33,187.52420,48041,24240,80226,290

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$20.59$27.5078.2%22.4%77.3%49.9%77.5%5.7%-5.3%-238.5K30.4M-80.5K0.1079.46N/AN/A3103215,27025,532
2020-04-02$20.30$20.0073.4%20.4%77.4%44.4%71.9%5.3%-5.1%-221.8K31.3M-73.7K0.4154.51N/AN/A68828015,44225,556
2020-04-03$20.66$20.0070.3%20.4%74.6%40.8%70.7%8.4%-6.8%-255.8K31.3M-78.3K5.9667.56N/AN/A14284615,28825,778
2020-04-06$21.67$20.0073.0%18.3%74.6%44.0%65.5%9.8%-2.3%-261.9K28.5M-82.9K0.4866.09N/AN/A52024815,29625,430
2020-04-07$23.05$20.0076.2%18.1%75.4%47.7%62.1%7.6%-3.1%-239.2K23.3M-92.9K0.4262.76N/AN/A79833815,53025,436
2020-04-08$24.52$22.5059.9%17.2%72.8%29.0%60.8%12.1%-0.5%-183.6K16.8M-100.2K0.6160.14N/AN/A67041215,52025,462
2020-04-09$25.75$22.5060.7%17.4%70.6%29.9%61.4%9.0%-1.5%-135.8K9.5M-106.6K1.4460.58N/AN/A45065015,68825,496
2020-04-13$24.87$22.5066.2%19.0%72.6%36.2%68.1%6.3%-5.5%-114.2K14.4M-92.5K1.5746.18N/AN/A60294815,70425,392
2020-04-14$26.09$22.5064.2%18.4%73.5%33.9%62.6%8.5%-3.8%-71.2K8.6M-96.7K0.1946.52N/AN/A59011215,86625,128
2020-04-15$26.14$22.5065.0%18.6%72.7%34.9%71.8%8.4%-4.2%-62.2K8.9M-95.5K0.8744.69N/AN/A44038415,80625,146
2020-04-16$25.95$22.5065.2%18.7%73.0%35.0%65.5%6.8%-3.0%-49.0K10.3M-95.2K0.2555.69N/AN/A64216015,84825,394
2020-04-17$25.32$22.5064.1%18.4%73.8%33.8%65.1%5.2%-1.6%-142.1K13.2M-89.0K0.2157.69N/AN/A98820815,44025,472
2020-04-20$24.86$22.5064.8%18.6%74.3%34.5%62.7%10.2%-5.6%-137.5K11.7M-83.3K0.2256.05N/AN/A4461007,49012,990
2020-04-21$24.55$22.5067.9%19.5%60.8%38.2%67.8%12.4%-3.7%-126.4K11.4M-85.9K0.2946.08N/AN/A272807,79613,080
2020-04-22$24.21$22.5064.5%18.5%57.1%34.2%66.2%11.2%-1.6%-115.6K12.8M-79.4K1.3755.52N/AN/A2463367,98613,142
2020-04-23$24.64$22.5063.1%18.1%55.2%32.6%65.8%14.1%-3.5%-133.9K12.4M-82.4K0.3356.34N/AN/A270907,94813,394
2020-04-24$25.64$22.5057.4%16.5%55.3%26.1%59.0%14.0%-3.0%-134.9K10.9M-88.5K0.2253.23N/AN/A212468,08413,428
2020-04-27$26.47$22.5051.9%14.9%55.2%19.8%55.9%10.8%-0.1%-141.1K9.3M-90.5K12.1963.11N/AN/A4525,5088,13213,440
2020-04-28$26.07$22.5058.6%16.8%51.1%25.0%58.8%10.7%-5.7%-283.5K13.8M-107.9K0.6565.05N/AN/A3582328,37817,362
2020-04-29$25.84$22.5055.5%15.9%50.1%21.3%54.5%7.8%-4.2%-279.7K14.5M-107.2K0.4878.31N/AN/A2481188,50817,570
2020-04-30$25.18$22.5055.0%15.8%50.9%20.7%53.7%9.1%-3.3%-280.1K16.7M-100.1K0.5579.84N/AN/A1961088,63217,658