FIZZ Options History — May 2020

In May 2020, FIZZ traded between $24.99 and $29.20. ATM implied volatility averaged 52.7%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 11.0% (HV 20d: 41.7%). Max pain ranged from $22.50 to $27.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2020-05-08: Highest Volume — 5,088 contracts
  • 2020-05-12: Largest IV spike — 20.1% change
  • 2020-05-04: Highest IV Rank — 28.5%
  • 2020-05-01: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.58$24.99$29.20$25.16$28.45
Max Pain$25.00$22.50$27.50$22.50$27.50
ATM IV52.7%46.1%61.6%58.3%50.8%
Expected Move14.8%13.2%16.7%16.7%14.6%
HV 20d41.7%34.4%50.5%50.3%40.8%
HV 60d57.6%56.5%59.0%56.6%57.9%
IV Rank17.9%10.1%28.5%24.5%15.7%
IV Percentile53.4%28.2%75.0%71.4%50.8%
Term Structure5.2%-5.1%8.8%-5.1%7.7%
VWIV51.3%46.0%60.1%60.1%49.3%
Skew 25d8.7%6.1%12.4%9.0%6.9%
Skew 10d17.7%11.9%25.0%19.1%17.6%
Call IV 25d48.9%44.8%56.9%56.9%48.4%
Put IV 25d57.7%52.9%65.9%65.9%55.3%
Bid-Ask Spread %50.2838.0875.8275.8256.19
Gamma HHI0.320.240.470.360.24
Net GEX-329.1K-408.2K-260.7K-274.5K-276.1K
Net DEX15.5M5.7M23.2M16.3M8.4M
Net VEX-123.4K-141.9K-96.2K-103.2K-141.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.0620.560.870.11
Total Volume9951665,088254380
Total OI31,47826,49235,47626,49235,476

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$25.16$22.5058.3%16.7%50.3%24.5%60.1%9.0%-5.1%-274.5K16.3M-103.2K0.8775.82N/AN/A1361188,74217,750
2020-05-04$25.04$25.0061.6%16.3%50.5%28.5%56.8%6.7%3.1%-275.0K16.8M-97.4K1.0538.08N/AN/A2662808,71017,830
2020-05-05$25.25$25.0059.6%15.8%48.4%26.1%52.5%7.7%6.8%-274.3K16.2M-99.0K0.4149.88N/AN/A118488,92018,102
2020-05-06$25.91$25.0059.7%15.9%44.7%26.2%52.2%12.4%5.5%-266.3K14.6M-103.4K0.5944.41N/AN/A126748,96418,060
2020-05-07$25.10$25.0053.5%15.5%41.4%18.8%54.9%7.9%4.5%-274.6K17.0M-96.2K0.4238.89N/AN/A180768,96818,132
2020-05-08$26.05$25.0050.8%15.4%39.7%15.7%51.9%12.1%5.2%-260.7K14.5M-101.8K20.5653.80N/AN/A2364,8529,01418,138
2020-05-11$26.30$25.0049.6%14.2%37.6%14.2%51.5%8.6%3.6%-398.2K19.2M-129.5K0.5348.03N/AN/A3541869,14022,546
2020-05-12$25.74$25.0059.5%15.0%34.4%26.0%47.3%9.3%1.9%-408.2K21.3M-124.5K0.0849.18N/AN/A486409,20422,634
2020-05-13$25.25$25.0054.4%15.6%35.0%20.0%49.1%10.3%4.9%-388.9K22.8M-119.9K0.0639.38N/AN/A2,0461269,51822,644
2020-05-14$24.99$25.0055.1%15.8%35.1%20.8%56.6%9.3%3.6%-305.5K23.2M-119.0K0.7752.06N/AN/A29022411,43622,662
2020-05-15$26.82$25.0050.5%14.5%42.5%15.3%52.6%9.2%6.2%-383.8K15.5M-136.4K0.1652.31N/AN/A1,47623611,36822,682
2020-05-18$26.38$25.0046.4%13.3%42.4%10.5%46.7%8.4%6.4%-399.5K19.9M-127.3K0.3053.26N/AN/A46814210,38221,976
2020-05-19$26.66$25.0046.2%13.3%42.1%10.3%46.0%8.2%6.4%-390.3K18.1M-132.5K0.0859.40N/AN/A7566010,64022,062
2020-05-20$27.49$25.0050.1%14.4%42.5%14.9%50.9%10.7%6.5%-351.8K14.0M-138.0K0.2252.65N/AN/A1,82641011,14022,034
2020-05-21$27.59$25.0052.0%14.9%42.3%17.2%51.3%8.6%5.9%-336.6K12.8M-141.9K0.1249.56N/AN/A4545411,53022,374
2020-05-22$27.54$25.0050.4%14.4%40.4%15.2%50.2%8.3%6.4%-355.8K13.4M-139.7K0.2250.30N/AN/A3327411,57022,414
2020-05-26$28.43$25.0049.5%14.2%40.4%14.1%47.6%7.1%7.8%-321.7K9.3M-139.2K0.4042.90N/AN/A66626611,72022,428
2020-05-27$29.20$25.0046.1%13.2%40.6%10.1%48.7%7.8%7.7%-317.9K5.7M-139.5K0.3247.42N/AN/A46614811,73222,524
2020-05-28$28.34$25.0049.1%14.1%42.3%13.7%49.6%6.1%8.8%-322.7K9.9M-138.0K0.0752.00N/AN/A1,3289611,78622,608
2020-05-29$28.45$27.5050.8%14.6%40.8%15.7%49.3%6.9%7.7%-276.1K8.4M-141.2K0.1156.19N/AN/A3423812,80422,672