FIZZ Options History — August 2020

In August 2020, FIZZ traded between $30.20 and $41.08. ATM implied volatility averaged 59.3%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 14.8% (HV 20d: 44.5%). Max pain ranged from $32.50 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 5.24.

Notable Days

  • 2020-08-31: Highest Volume — 33,466 contracts
  • 2020-08-27: Largest IV spike — 17.1% change
  • 2020-08-31: Highest IV Rank — 51.9%
  • 2020-08-31: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.12$30.20$41.08$30.40$40.84
Max Pain$33.10$32.50$35.00$32.50$35.00
ATM IV59.3%46.9%81.3%51.3%81.3%
Expected Move17.4%13.4%23.3%14.7%23.3%
HV 20d44.5%34.6%52.2%43.7%34.6%
HV 60d42.0%40.0%43.5%43.4%42.5%
IV Rank25.7%11.0%51.9%16.2%51.9%
IV Percentile64.4%31.3%90.9%50.4%90.9%
Term Structure-0.8%-9.2%12.5%5.7%-9.2%
VWIV63.1%50.0%82.3%54.9%82.3%
Skew 25d7.3%1.9%11.9%5.0%5.1%
Skew 10d15.9%7.6%27.2%7.6%16.7%
Call IV 25d59.2%49.0%80.4%51.8%80.4%
Put IV 25d66.6%52.6%85.5%56.8%85.5%
Bid-Ask Spread %58.5847.1275.1668.2454.76
Gamma HHI0.270.230.340.280.28
Net GEX-1.0M-1.2M-774.5K-869.1K-923.8K
Net DEX28.2M9.6M41.0M37.9M11.5M
Net VEX-159.7K-180.1K-146.1K-147.0K-177.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.240.1974.042.9974.04
Total Volume2,775.52416433,4663,35033,466
Total OI36,247.71431,01839,41032,50439,410

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$30.40$32.5051.3%14.7%43.7%16.2%54.9%5.0%5.7%-869.1K37.9M-147.0K2.9968.24N/AN/A8402,5107,17625,328
2020-08-04$30.20$32.5046.9%13.4%43.2%11.0%50.0%2.3%12.5%-955.8K40.0M-146.3K1.4367.87N/AN/A2123047,39826,898
2020-08-05$31.32$32.5047.5%13.6%44.2%11.8%50.9%6.6%8.0%-985.6K35.9M-154.7K0.1975.16N/AN/A300587,49626,948
2020-08-06$31.72$32.5047.6%16.1%42.6%11.8%58.2%3.6%-1.2%-1.0M34.5M-155.6K0.1951.62N/AN/A206407,55426,970
2020-08-07$31.59$32.5050.9%17.0%41.2%15.9%62.6%8.5%0.4%-970.3K34.6M-158.0K11.1851.52N/AN/A5005,5907,67626,988
2020-08-10$30.55$32.5055.3%17.2%42.4%21.0%63.6%7.7%-0.5%-1.1M41.0M-162.5K2.2153.48N/AN/A861907,79229,748
2020-08-11$31.01$32.5055.9%18.1%42.5%21.7%58.1%11.4%-2.9%-1.1M39.9M-163.2K0.9161.93N/AN/A2502287,83029,816
2020-08-12$31.52$32.5060.4%17.3%43.1%27.1%67.0%9.1%-0.9%-1.1M37.4M-166.5K0.9555.19N/AN/A84807,90829,948
2020-08-13$32.17$32.5061.0%17.5%43.8%27.8%64.4%9.3%-0.6%-1.1M35.5M-166.9K0.4154.86N/AN/A156647,90029,980
2020-08-14$32.15$32.5061.0%17.5%43.6%27.7%63.4%9.4%-2.1%-1.1M34.7M-165.7K1.1752.66N/AN/A1081267,96830,002
2020-08-17$32.66$32.5065.0%18.6%43.8%32.5%69.8%11.9%-7.9%-1.2M33.2M-160.9K3.3061.94N/AN/A1324368,00030,088
2020-08-18$32.89$32.5058.8%16.9%43.8%25.2%61.4%9.0%-0.8%-1.2M31.8M-157.1K0.2757.80N/AN/A4341188,04830,046
2020-08-19$33.72$32.5057.5%16.5%44.6%23.6%54.6%9.9%-0.6%-1.1M27.2M-159.6K0.2766.52N/AN/A3701008,05630,074
2020-08-20$34.20$32.5057.0%16.4%44.7%23.1%62.8%7.9%-1.2%-943.6K24.5M-158.4K0.6357.10N/AN/A1661048,16830,108
2020-08-21$34.55$32.5055.7%16.0%44.8%21.5%59.7%8.1%-1.3%-1.2M23.9M-157.4K0.2864.41N/AN/A244688,17030,118
2020-08-24$37.21$32.5060.5%17.3%51.2%27.2%63.0%7.5%-3.7%-977.4K18.3M-153.6K1.0261.06N/AN/A1,3201,3504,38826,630
2020-08-25$37.48$35.0060.9%17.5%51.1%27.7%67.0%1.9%-2.3%-1.0M16.9M-155.6K0.8555.65N/AN/A3543005,40627,830
2020-08-26$39.08$35.0064.2%18.4%52.2%31.6%65.3%5.3%-1.8%-957.9K11.8M-146.1K0.3761.89N/AN/A1,3384945,59228,002
2020-08-27$40.16$35.0075.2%21.6%52.1%44.6%73.7%9.9%-7.6%-774.5K9.6M-162.1K6.7747.12N/AN/A6564,4406,18428,406
2020-08-28$41.08$35.0070.8%20.3%41.8%39.4%73.3%4.4%2.0%-926.7K12.5M-180.1K0.5149.34N/AN/A3081566,53632,618
2020-08-31$40.84$35.0081.3%23.3%34.6%51.9%82.3%5.1%-9.2%-923.8K11.5M-177.1K74.0454.76N/AN/A44633,0206,69432,716